关注集思录微信 特别提示 本文不构成任何投资建议，仅为信息分享。任何因本文导致的投资行为发生的亏损，本公众 号及作者概不承担任何责任。 去年年底我想 25年这一年涨了不少， 还依稀记得24年惨淡的行情， 我要保守， 26年能挣 5%我就满足了。 这开年第一周，科创板指数都已经涨了10% 连转债等权指数都涨了5.44% 去年年底我想 25年这一年涨了不少 还依稀记得24年惨淡的行情 我要保守 26年能挣5%我就 满足了 这开年第一周，科创板指数都已经涨了10% 连转债等权指数都涨了5.44% | | 指数涨幅统计(刷新) 历史数据 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 代码 | 名称 | 现价 | | | 本日涨幅 本周涨幅 本月涨幅 本季涨幅 本年涨幅 | | | | 000680 | 科创综指 | 1803.40 | 2.09% | 10.19% | 10.19% | 10.19% | 10.19% | | 000688 | 科创50 | 1475.97 | 1.43% | 9.80% | 9.80% | 9.80 ...

Group 1 - The 30-year government bond futures main contract fell by 0.31% on November 21, closing at 115.570 yuan, while the 10-year, 5-year, and 2-year contracts showed minor fluctuations [1] - The China Securities Convertible Bond Index decreased by 1.05% to 482.94 points, with notable gains in Dongshi Convertible Bond (+7.29%) and Fuxin Convertible Bond (+2.81%), while Guocheng Convertible Bond saw a significant drop of 17.06% [1] - On November 21, the top ten stocks by net capital inflow included Kaimete Gas and Yidian Tianxia, with inflows ranging from 254 million to 768 million yuan, particularly highlighting the media sector [1] Group 2 - Barclays Research recently released a global economic outlook report, predicting that the AI-driven growth narrative will continue to deepen until 2026, indicating an irreversible trend [2] - UBS Wealth Management's Chief Investment Office raised its gold price forecast for 2026, while major state-owned banks like Bank of China and Agricultural Bank of China are viewed as safe havens amid economic uncertainty, with significant stock price increases [3] - The latest report from Chaos Tiansheng Research Institute indicates that lithium carbonate prices are rising due to improved demand expectations in the lithium battery industry, predicting a tight balance in global lithium resource supply and demand by 2026 [3]

Core Viewpoint - The bond market showed slight weakness on November 13, with government bond futures declining across the board, while interbank bond yields rose by approximately 0.5 basis points. The central bank's latest monetary policy report emphasizes stable growth and removes the "preventing capital outflow" statement, maintaining a favorable outlook for the bond market [1][8]. Market Performance - Government bond futures closed lower, with the 30-year main contract down 0.26% at 116.13, the 10-year main contract down 0.1% at 108.41, the 5-year main contract down 0.08% at 105.885, and the 2-year main contract down 0.01% at 102.462 [2]. - Interbank bond yields generally increased slightly, with the 30-year "25 Super Long Special Government Bond 06" yield rising by 0.5 basis points to 2.15%, and the 10-year "25 National Development Bank 15" yield up by 0.35 basis points to 1.876% [2]. International Market Trends - In North America, U.S. Treasury yields varied, with the 2-year yield up 1.67 basis points to 3.568%, and the 30-year yield down 0.29 basis points to 4.665% [3]. - In Asia, Japanese bond yields mostly rose, with the 10-year yield increasing by 1.2 basis points to 1.697% [4]. - In the Eurozone, yields on 10-year bonds generally fell, with the French yield down 4.7 basis points to 3.375% and the German yield down 1.5 basis points to 2.642% [4]. Funding Conditions - The central bank conducted a 1900 billion yuan 7-day reverse repurchase operation at a rate of 1.40%, resulting in a net injection of 972 billion yuan for the day [7]. - Short-term Shibor rates mostly declined, with the overnight rate down 10.0 basis points to 1.315% [7]. Institutional Insights - Huatai Fixed Income noted that recent regulatory measures by the central bank could help open up space for easing and improve the transmission of interest rates from short to long [8]. - CITIC Securities suggested that in the current environment of fluctuating long-term rates, investors should focus on coupon strategies and maintain a flexible approach to enhance returns [9].

Core Viewpoint - The bond market remains in a loose liquidity environment, with fluctuations driven by changes in risk sentiment and equity market volatility, resulting in a slight increase in the 10-year government bond yield to around 1.75% [1][4]. Market Review - From October 13 to October 17, the yields on various maturities of government bonds showed mixed movements, with the 1-year yield increasing by 7.43 basis points (BP) and the 30-year yield decreasing by 3.26 BP [2][3]. - The 10-year government bond yield rose by 0.4 BP to 1.8246% as of October 17 [3]. Specific Market Movements - On October 14, the 10-year government bond yield rose by 1.8 BP to 1.761% due to improved risk sentiment and strong import-export data [4]. - The bond market experienced fluctuations throughout the week, with the 10-year yield ending the week at 1.7475%, a net increase of 0.45 BP for the week [4][6]. Primary Market Activity - A total of 47 bonds were issued last week, amounting to 450.66 billion yuan, including 4 government bonds totaling 276 billion yuan [8]. - The Ministry of Finance completed the issuance of 400 billion yuan of 20-year special government bonds, marking the completion of this year's issuance of 1.3 trillion yuan of such bonds [8]. International Market Context - U.S. Treasury yields experienced a slight decline, with the 10-year yield dropping by 2 BP to 4.00% amid market concerns following the failure of two regional banks [10][12]. Institutional Perspectives - Huachuang Securities suggests that while there are no strong bullish factors driving a significant decline in yields, the market may find a new equilibrium around 1.75% [19]. - According to Fangzheng Securities, the bond market is expected to return to fundamental logic, with potential early issuance of local government refinancing bonds, although the scale is likely to be lower than last year [20].

Group 1: Bond Futures Market - On October 14, major bond futures contracts closed higher, with the 30-year bond futures (TL2512) closing at 114.760 yuan, up 0.390 yuan, a rise of 0.34% [1] - The 10-year bond futures (T2512) closed at 108.170 yuan, up 0.120 yuan, a rise of 0.11% [1] - The 5-year bond futures (TF2512) closed at 105.775 yuan, up 0.110 yuan, a rise of 0.10% [1] - The 2-year bond futures (TS2512) closed at 102.384 yuan, up 0.018 yuan, a rise of 0.02% [1] Group 2: ETF Market Performance - On October 14, ETF performance was mixed, with the Xinhua Dividend Low Volatility ETF (560890) rising by 2.85% and the Alcohol ETF (512690) increasing by 2.77% [1] - Conversely, the Sci-Tech Semiconductor ETF (588170) fell by 6.85%, and the Semiconductor Equipment ETF (159516) decreased by 6.81% [1] - The Easy Fund Semiconductor Equipment ETF (159558) also dropped by 6.74% [1] Group 3: Convertible Bonds and Indices - On October 14, the China Convertible Bond Index fell by 0.78%, closing at 479.83 points [1] - Notable gainers included the Wenke Convertible Bond, which rose by 4.52%, and the Bojun Convertible Bond, which increased by 4.28% [1] - Significant decliners included the Zhenhua Convertible Bond, which fell by 8.35%, and the New 23 Convertible Bond, which dropped by 7.61% [1] Group 4: Stock Market Insights - UBS's China equity strategy head, Wang Zonghao, noted that the MSCI China Index has risen approximately 36% since early April, with potential short-term profit-taking expected [2] - Wang expressed a preference for A-shares over H-shares, anticipating that the CSI 300 Index will show greater resilience [2] - In a volatile market environment, investment manager Jiang Shan emphasized the importance of identifying certain investment themes, remaining optimistic about both A-share and Hong Kong markets [2] Group 5: Gold Market Outlook - In the context of gold, strategist Zhao Yaoting from Invesco indicated that the upward trend in gold prices may continue to be supported [2] - Despite achieving double-digit returns in 2023 and 2024, investor participation through ETFs remains relatively low [2] - Strong performance in gold in 2025 has begun to attract investors back into the market, with positive ETF fund inflows potentially driving prices higher [2]

- The Black-Litterman (BL) model is an improved version of the mean-variance optimization (MVO) model developed by Fisher Black and Robert Litterman in 1990. It combines Bayesian theory with quantitative asset allocation models, allowing investors to incorporate subjective views into asset return forecasts and optimize portfolio weights. This model addresses MVO's sensitivity to expected returns and provides a more robust framework for efficient asset allocation[12][13][14] - The BL model was implemented for both global and domestic assets. For global assets, it utilized indices such as the S&P 500, Hang Seng Index, and COMEX Gold. For domestic assets, it included indices like CSI 300, CSI 1000, and SHFE Gold. Two variations of the BL model were constructed for each asset category[13][14][18] - The Risk Parity model, introduced by Bridgewater in 2005, aims to equalize risk contributions across asset classes in a portfolio. It calculates initial asset weights based on expected volatility and correlation, then optimizes deviations between actual and expected risk contributions to determine final portfolio weights[17][18][20] - The Risk Parity model was applied to both global and domestic assets. Global assets included indices such as CSI 300, S&P 500, and COMEX Gold, while domestic assets incorporated CSI 300, CSI 1000, and SHFE Gold. The model followed a three-step process: selecting assets, calculating risk contributions, and solving optimization problems for portfolio weights[18][20][21] - The Macro Factor-based Asset Allocation model constructs a framework using six macroeconomic risk factors: growth, inflation, interest rates, credit, exchange rates, and liquidity. It employs Factor Mimicking Portfolio methods to calculate high-frequency macro factors and integrates subjective views on macroeconomic conditions into asset allocation decisions[22][24][25] - The Macro Factor-based model involves four steps: calculating factor exposures for assets, determining benchmark factor exposures using a Risk Parity portfolio, incorporating subjective factor deviations based on macroeconomic forecasts, and solving for asset weights that align with target factor exposures[22][24][25] Model Performance Metrics - Domestic BL Model 1: Weekly return -0.11%, September return -0.14%, 2025 YTD return 3.23%, annualized volatility 2.19%, maximum drawdown 1.31%[14][17] - Domestic BL Model 2: Weekly return -0.11%, September return -0.13%, 2025 YTD return 2.84%, annualized volatility 1.99%, maximum drawdown 1.06%[14][17] - Global BL Model 1: Weekly return 0.04%, September return 0.11%, 2025 YTD return 0.84%, annualized volatility 1.99%, maximum drawdown 1.64%[14][17] - Global BL Model 2: Weekly return 0.00%, September return 0.03%, 2025 YTD return 1.84%, annualized volatility 1.63%, maximum drawdown 1.28%[14][17] - Domestic Risk Parity Model: Weekly return -0.06%, September return 0.05%, 2025 YTD return 2.99%, annualized volatility 1.35%, maximum drawdown 0.76%[20][21] - Global Risk Parity Model: Weekly return -0.07%, September return 0.13%, 2025 YTD return 2.50%, annualized volatility 1.48%, maximum drawdown 1.20%[20][21] - Macro Factor-based Model: Weekly return 0.04%, September return 0.26%, 2025 YTD return 3.29%, annualized volatility 1.32%, maximum drawdown 0.64%[26][27]

Market Overview - On September 25, A-shares experienced a volatile upward trend, with the ChiNext Index rising over 2% at one point, reaching a three-year high [1] - The Shanghai Composite Index closed at 3853.30 points, down 0.01%; the Shenzhen Component Index closed at 13445.90 points, up 0.67%; and the ChiNext Index closed at 3235.76 points, up 1.58% [1] - The total trading volume in the Shanghai and Shenzhen markets was 239.18 billion yuan, an increase of 44.6 billion yuan compared to the previous trading day [1] International Indices - The Nikkei 225 Index closed up 0.27% at 45754.93 points, while the Korean Composite Index fell 0.03% to 3471.11 points on the same day [2] - Domestic commodity futures saw most main contracts rise, particularly in copper [2] Bond Market - On September 25, the performance of government bond futures was mixed, with the 30-year bond futures (TL2512) closing at 114.110 yuan, up 0.120 yuan (0.11% increase) [2] - The 10-year bond futures (T2512) closed at 107.610 yuan, down 0.010 yuan (0.01% decrease) [2] - The 5-year bond futures (TF2512) closed at 105.525 yuan, down 0.015 yuan (0.01% decrease) [2] - The 2-year bond futures (TS2512) closed at 102.314 yuan, down 0.010 yuan (0.01% decrease) [2] ETF Performance - On September 25, various ETFs showed mixed results, with the Cloud 50 ETF (560660) rising 4.02%, and the Big Data Industry ETF (516700) increasing by 3.60% [3] - Conversely, the Hong Kong Dividend ETF (513690) fell by 1.77%, and the Hong Kong Dividend Low Volatility ETF (520890) decreased by 1.64% [3] Institutional Insights - Guohai Securities' strategy team released a report indicating that A-shares are expected to advance further in Q4 2025, driven by policy and liquidity, with a more balanced style [4] - Barclays' research team noted that the Federal Reserve's loose monetary policy, global economic slowdown, and reduced market volatility create favorable conditions for emerging market assets [4] - UBS Wealth Management's CIO office suggested that gold prices may have further upside potential due to expected declines in U.S. real interest rates amid continued high inflation [4] - Luo Zhiheng, Chief Economist at Yuekai Securities, stated that the current A-share rally is based on a more solid foundation, with sustainability likely to exceed most historical trends [4]

Market Overview - The bond market experienced fluctuations and a pullback on August 28, with government bond futures closing lower across the board, particularly in the long-end segment [1][2] - The interbank bond yield rose by approximately 2 basis points, indicating a shift in market sentiment [1][2] Bond Yield Movements - The 30-year government bond yield increased by 2.1 basis points to 2.015%, while the 10-year government bond yield rose by 2 basis points to 1.875% [2] - The 10-year government bond with interest saw a yield increase of 1.25 basis points to 1.7775% [2] Market Activity - The China Securities Convertible Bond Index rose by 0.19%, with a trading volume of 110.826 billion yuan [2] - Notable gainers in the convertible bond market included Chongda Convertible Bond and Weida Convertible Bond, with increases of 12.03% and 11.29% respectively [2] International Bond Market - In North America, U.S. Treasury yields fell across the board, with the 2-year yield dropping by 6.19 basis points to 3.611% [3] - In Asia, Japanese bond yields mostly declined, with the 10-year yield down by 0.9 basis points to 1.619% [3] - In the Eurozone, the 10-year French bond yield rose by 2 basis points to 3.516%, while the 10-year German bond yield fell by 2.3 basis points to 2.698% [3] Primary Market Results - The China Development Bank's 3-year and 7-year financial bonds had winning yields of 1.6355% and 1.8209%, respectively, with bid-to-cover ratios of 2.87 and 4.28 [4] - Inner Mongolia's local bonds showed strong demand, with bid-to-cover ratios exceeding 23 times for both 10-year and 15-year bonds [4] Liquidity and Funding - The People's Bank of China conducted a reverse repurchase operation of 416.1 billion yuan at a rate of 1.40%, resulting in a net injection of 163.1 billion yuan for the day [5] - Short-term Shibor rates increased, with the overnight rate rising by 0.1 basis points to 1.316% [5] Institutional Insights - CITIC Securities noted that the bond market is experiencing a bear steepening phase, driven by market sentiment rather than economic fundamentals [7] - Longjiang Fixed Income highlighted the diversification of funding sources in the convertible bond market, with banks and insurance funds playing a significant role [7] - Guosheng Fixed Income pointed out that recent market adjustments have made short-term brokerage subordinated bonds more attractive, suggesting a focus on investment value in this segment [7]

Core Viewpoint - The bond market is experiencing a weak consolidation phase, with government bond futures mostly declining and interbank bond yields rising slightly, indicating a potential shift in market dynamics driven by supply-side policies aimed at increasing corporate profits and subsequently boosting demand [1][2][7]. Market Performance - Government bond futures closed mostly lower, with the 30-year main contract down 0.31% and the 10-year main contract down 0.04% [2]. - Interbank bond yields generally increased, with the 30-year government bond yield rising by 0.7 basis points to 1.963% and the 10-year government bond yield increasing by 0.25 basis points to 1.72% [2]. - The China Convertible Bond Index fell by 0.25%, with significant declines in several convertible bonds, while others saw notable gains [2]. International Market Trends - In North America, U.S. Treasury yields collectively decreased, with the 10-year yield falling by 0.58 basis points to 4.281% [3]. - In Asia, Japanese bond yields rose, with the 10-year yield increasing by 1.4 basis points to 1.504% [4]. - In the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain all increased, indicating a regional trend of rising yields [4]. Primary Market Activity - The China Development Bank issued financial bonds with yields of 1.5193%, 1.6562%, and 1.7942% for 2-year, 5-year, and 10-year maturities, respectively, with strong bid-to-cover ratios [5]. - Agricultural Development Bank also issued 2-year financial bonds with competitive yields and high bid-to-cover ratios, reflecting strong demand [5]. Liquidity Conditions - The central bank conducted a reverse repurchase operation of 1146 billion yuan at a rate of 1.40%, resulting in a net withdrawal of 461 billion yuan for the day [6]. - Short-term Shibor rates mostly increased, indicating tightening liquidity conditions in the market [6]. Institutional Insights - Dongwu Securities noted that the current low yield environment for 10-year government bonds is under pressure from commodity price rebounds, but a significant bearish trend is unlikely without demand-driven factors [7]. - CITIC Securities highlighted the need to monitor risks in the convertible bond market, suggesting a focus on equity strategies and convertible bonds with favorable conversion premiums [8]. - China International Capital Corporation indicated that credit demand remains stable, with a low risk of credit spreads widening significantly in the current environment [8].

Group 1 - The overall market for convertible bonds opened flat, indicating stability in the sector [1] - Tongguang Convertible Bond increased by nearly 6%, showing strong investor interest [1] - Qizheng Convertible Bond and Weichip Convertible Bond both rose over 4%, reflecting positive market sentiment [1] Group 2 - Hailiang Convertible Bond saw an increase of nearly 3%, contributing to the overall positive performance [1] - Emergency Convertible Bond surged over 10%, indicating significant demand [1] - Hongfeng Convertible Bond and Jing23 Convertible Bond rose by over 3% and 2.5% respectively, further highlighting the upward trend in the market [1]