宏观经济 | 证券研究报告 — 总量周报 2026 年 1 月 12 日 宏观和大类资产配置周报 本周沪深 300 指数上涨 2.79% 大类资产配置顺序：股票>大宗>债券>货币。 宏观要闻回顾 资产表现回顾 本周沪深 300 指数上涨 2.79%，沪深 300 股指期货上涨 3.20%；焦煤期货 本周上涨 6.50%，铁矿石主力合约本周上涨 3.23%；余额宝 7 天年化收益 率下跌 2BP 至 1.03%；十年国债收益率上行 4BP 至 1.88%，活跃十年国债 期货本周下跌 0.05%。 资产配置建议 2025 年 12 月美国非农就业数据公布，美国就业数据"喜忧参半"。一方 面，新增就业人数延续下滑，2025 年 12 月新增非农就业人数 5.0 万人， 环比下滑 1.4 万人，私营部门就业仍较弱势，其中制造业当月新增就业人 数为负，下滑 0.8 万人。另一方面，当月薪资、失业率表现维持韧性，美 国劳动力市场需求相对稳健。2025 年 12 月，非农私营部门平均时薪同比 增长 3.8%，环比加快 0.1 个百分点，商品、服务平均时薪同比增速分别为 4.1%和 3.7%，环比分别加快 0.2 和 0.1 ...

Macro Economic Overview - The report indicates a downward trend in the Shanghai Composite Index, which fell by 0.59% this week, while the CSI 300 index futures decreased by 0.06% [1][11] - The report highlights a mixed performance in commodity futures, with coking coal futures down by 0.76% and iron ore futures up by 2.00% [1][11] - The yield on ten-year government bonds increased by 1 basis point to 1.85%, while active ten-year government bond futures dropped by 0.36% [1][11] Asset Allocation Recommendations - The recommended order for asset allocation is equities > commodities > bonds > currency, reflecting a positive outlook on A-shares and stable bond yields [2][4] - The report suggests that the U.S. dollar's safe-haven status is weakening, prompting international capital to seek alternatives, with RMB assets being a top choice due to their stability and growth potential [2][4] - The report anticipates that commodity prices will be influenced by supply pressures in oil and demand dynamics in cyclical goods, while agricultural products will be affected by supply factors [2][4] Key Economic Indicators - The manufacturing PMI for December was reported at 50.1, indicating a slight expansion, while the non-manufacturing PMI was at 50.2, returning to the expansion zone [18] - The report notes that the upcoming National People's Congress will convene on March 4, 2026, which may influence economic policies [18][19] Market Performance Insights - The report details a significant decline in the real estate market, with a notable drop in transaction volumes for new homes in major cities, indicating potential market stabilization due to recent policy changes [36][41] - The automotive sector is experiencing a downturn, with wholesale and retail sales of passenger vehicles showing negative growth for four consecutive weeks [36][41] Bond Market Analysis - The yield on ten-year government bonds has risen to 1.85%, with a noted increase in the yield of ten-year policy bank bonds to 2.00% [46] - The report highlights a significant rise in yields for low-rated credit bonds, indicating a shift in market sentiment [46]

近日债市维持偏弱状态，十年国债ETF（511260）当日微涨0.01%，近5日下跌0.23%。对于利率债而 言，2025年是一个充满纠结的年份，在基本面始终偏弱叠加货币政策维持宽松的环境下，长债走出超预 期的阴跌行情。但首先，超长债的超额下跌，进一步验证了十年国债这一品种在配置上的稳健性与代表 性；其次，我们预期26年的债市定价更加回归理性、回归基本面。我国经济的"K"型分化，以及地产、 消费的疲软或会逐渐被定价。投资者可以关注十年国债ETF（511260）、国债ETF（511010）。 （数据来源：wind，截至2025/12/30，通信ETF规模为141.98亿元，在同类15只产品中排名第一；矿业 ETF年内涨幅106.11%，在有色板块10只ETF中排名第一。风险提示：提及个股仅供参考，不作为股票 推荐，不构成投资建议和承诺。指数/个股短期涨跌仅供参考，不代表未来表现。观点随市场环境变 化，不构成投资建议。提及基金风险收益水平各不相同，请选择与自身风险偏好匹配的产品，谨慎投 资。如涉及基金收益分配原则详见基金法律文件） 今日A股全日震荡。上证综指上涨0.09%，报3968.84点，深证成指下跌0.58% ...

货币政策宽松预期受限，市场担忧政府债供给放量，山东债单日供给近 千亿，引发市场对筹码结构不稳固的担忧，空头力量未完全消退。 2026 年初债市预计震荡，十年国债利率波动区间 1.75%-1.85%，30 年国债利率约 2.3%。社融增速预计小幅上升 0.1%，政府债净融资预计 超万亿，银行杠杆票息策略空间有限。 通胀方面，小金属和贵金属价格上涨对 PPI 影响有限，因有色金属在 PPI 权重较低。预计 2026 年一季度 PPI 不会连续为正，明年 2 月 CPI 同比 预计达 1.5%，受春节错位和技术问题影响。 股市春节躁动对债市压力可控，单周涨幅超 10%才会对债券收益率产生 明显压力。央行通过流动性宽松和买入操作维稳市场，大型银行和保险 公司积极配置，无需过度担心政府债供给。 当前阶段应注重空间选择而非时间选择，十年国债利率区间 1.75%- 1.85%，30 年国债约 2.3%。银行杠杆票息策略舒适，调控空间有限， 应关注具体投资品种及其位置。 Q&A 2025 年债券市场在年底出现了较大调整，主要原因是什么？ 固收- 1 月债市展望 20251229 摘要 2025 年年底债券市场的调整主要有两个 ...

Macroeconomic Overview - The central economic work conference emphasized the continuation of a more proactive fiscal policy, maintaining necessary fiscal deficits, total debt scale, and expenditure levels, with expectations for fiscal spending and financing to remain strong next year [2][21][24] - The monetary policy is set to continue with moderate easing, utilizing various tools such as reserve requirement ratio cuts and interest rate reductions to promote stable economic growth and reasonable price recovery [2][21][22] Asset Allocation Recommendations - The report maintains the asset allocation order as: equities > commodities > bonds > cash, indicating a preference for equities in the current market environment [3][4] - The focus on the implementation of "incremental" policies is highlighted for equities, suggesting an overweight position [4][38] - Bonds are recommended for underweight allocation due to potential short-term impacts from the "stock-bond seesaw" effect [4][43] - Commodities are suggested for standard allocation, with attention to the progress of fiscal incremental policy implementation [4][49] Market Performance - The Shanghai Composite Index decreased by 0.08% this week, while the CSI 300 index futures fell by 0.07% [1][12] - The futures for coking coal dropped significantly by 11.72%, and iron ore main contracts fell by 3.49% [1][12] - The ten-year government bond yield decreased by 1 basis point to 1.84%, with active ten-year government bond futures rising by 0.10% [1][12][43] Financial Data Insights - In the first eleven months, RMB loans increased by 15.36 trillion yuan, and the total social financing scale increased by 33.39 trillion yuan, exceeding last year's total by 3.99 trillion yuan [24] - The CPI rose by 0.7% year-on-year in November, marking the highest increase since March 2024, while the PPI saw a year-on-year decline of 2.2% [24][25] Sector-Specific Insights - The A-share market showed mixed performance, with the ChiNext Index leading gains at 2.74%, while the Shanghai Dividend Index saw a decline of 2.63% [38] - Key sectors such as telecommunications and defense showed strong performance, while coal and oil sectors faced declines [38][39]

Core Viewpoints - The presentation emphasizes the importance of understanding where deposits will be allocated in the future, as this will influence valuations, styles, and financial conditions for the coming year [4][5][6] - The year 2026 is anticipated to be a critical year for awakening the investment value in the Chinese stock market, breaking the stereotype of short-lived bull markets [7][8] Economic and Policy Outlook for 2026 - The nominal GDP growth rate for 2026 is projected to be around 4.5%, slightly higher than the estimated 4% for 2025 [10][11] - Fixed asset investment is expected to remain low, with a neutral forecast around 1%, while consumption is likely to align with nominal GDP growth [11][12] - Export growth is anticipated to be resilient, potentially exceeding nominal GDP growth, with a forecast of around 5% [11][12] Price Trends for 2026 - CPI growth is expected to turn positive, while PPI growth trends are uncertain, with a potential for recovery but no guarantee of turning positive [13][14][15] - The housing market's recovery signals are difficult to identify, but a key indicator is whether mortgage rates fall below rental yields [16][17][18] Structural Changes in the Economy - The middle stream of the economy is expected to show the most significant improvement, with overseas profit margins for middle stream companies surpassing domestic margins for the first time [23][24] - The supply-demand dynamics in the middle stream are changing, with policies targeting this sector leading to adjustments in market conditions [24][25] Financial Conditions and Deposit Allocation - The total amount of deposits will determine valuations and market styles, with M2 growth expected to slow down to around 7.4% to 7.5% [33][34] - The allocation of deposits between residents, enterprises, and non-bank financial institutions will significantly impact economic dynamics and stock market activity [36][38] Investment Insights and Asset Allocation - The focus for 2026 will be on stock investments, with expectations of continued market activity but with a potential slowdown in growth rates compared to 2025 [52][53] - The bond market is expected to face challenges due to increased volatility, with a cautious outlook on interest rates [59] Uncertain Factors - Key uncertainties include the performance of the US stock market, the stability of dollar liquidity, and the potential for infrastructure investments in China to rebound as expected [60]

Group 1 - The scale of private equity funds in mainland China reached a historical high of 22.05 trillion yuan in October, with the existing private securities investment funds surpassing 7 trillion yuan for the first time [1] - The Chinese stock market is expected to have upward potential in 2026, with A-shares showing a relatively high dividend and risk premium compared to ten-year government bonds, indicating a better value proposition for stocks over bonds [1][3] - In 2025, global equity assets are anticipated to rise significantly, with Chinese stocks still having a valuation advantage compared to major overseas markets, suggesting potential for catch-up growth in A-shares in 2026 due to domestic and global market dynamics [3] Group 2 - Citic Securities released a strategy report indicating that breaking the current market deadlock will require significant positive changes in the fundamentals, emphasizing the importance of domestic demand in the future [3] - The report suggests maintaining investment in resource sectors and traditional manufacturing, as well as focusing on companies expanding overseas, as key strategies until substantial changes in the market occur [3]

Market Overview - The futures market shows a bearish sentiment with 23 contracts rising and 56 contracts falling, indicating a concentration of trading activity in declining varieties [2] - The main contracts with significant price increases include pure benzene (+2.04%), eggs (+1.95%), and apples (+1.26%), while low-sulfur fuel oil (-3.5%) and coking coal (-3.17%) experienced notable declines [5][6] Capital Flow - The most significant capital inflows were observed in the CSI 500 (3.693 billion), CSI 300 (2.605 billion), and CSI 1000 (1.334 billion), indicating strong interest from major funds [9] - Conversely, the largest capital outflows were seen in gold futures (-2.804 billion) and ten-year government bonds (-0.852 billion), suggesting a withdrawal of funds from these assets [9] Position Changes - Notable increases in open interest were recorded for styrene (+14.53%) and silicon iron (+13.71%), indicating heightened trading activity and potential new capital inflows [10] - Significant decreases in open interest were noted for pulp (-12.52%) and ten-year bonds (-12.74%), suggesting a potential exit of major funds from these positions [10] Key Events - The Shanghai Gold Exchange emphasized the importance of risk control amid market volatility, urging members to maintain emergency plans and manage investor risks effectively [11] - Jiangsu Province issued a yellow alert for heavy pollution, although steel production in the affected areas remains unaffected for now [12] Commodity Insights - The lithium carbonate contract saw a slight increase of 0.84%, with market expectations of demand potentially softening in the coming months, suggesting caution in trading strategies [20] - Coking coal prices have been on a downward trend, with recent prices hitting a two-and-a-half-month low, reflecting cautious purchasing behavior from downstream industries [21] - The glass market is experiencing a dual weakness in supply and demand, with prices continuing to decline and no significant positive indicators in the fundamentals [22]

Core Viewpoint - The bond market is expected to experience low volatility and a stable trend in 2024, primarily due to weak demand and a slow improvement in household income, indicating a longer-than-expected economic structural transition [1] Group 1: Economic Environment - The central government is expected to support structural demand during the transition, with fiscal measures increasing the deficit to stimulate economic demand [1] - The reliance on issuing long-term or ultra-long-term government bonds is highlighted, as significant increases in long-term interest rates would raise interest expenses for the fiscal department [1] - The risk of a substantial rise in bond yields is considered low under the current macroeconomic environment [1] Group 2: Interest Rate Outlook - A neutral judgment suggests a potential for around 20 basis points (BP) of interest rate cuts and 50-100 BP of reserve requirement ratio (RRR) cuts in 2024 [2] - The central tendency of interest rates is expected to decrease by 20 BP from the current 1.7%-1.8%, leading to a projected range of 1.5%-1.6% for the ten-year government bond yield [2] - The volatility in the bond market is anticipated to be lower in 2024 compared to 2023, with yields gradually declining as broader market interest rates decrease [2][3] Group 3: Fiscal Policy and Market Dynamics - The fiscal spending rhythm has shown significant differences year-on-year, with 2023 seeing a late surge in spending, while 2024 is expected to have a more proactive fiscal approach [3] - The effectiveness of fiscal measures in supporting the transition to a consumption-driven economy is under scrutiny, particularly regarding the implementation of consumer subsidies [3] - The bond market's performance will be closely tied to the pace of fiscal stimulus and inflation expectations, with two critical periods to monitor: significant fiscal spending and inflation trading phases [2][3] Group 4: Investment Opportunities - The introduction of the ten-year government bond ETF (511260) allows investors to easily access government bonds, with a duration of approximately 6.5-10 years [4] - The ETF offers high trading flexibility and is recommended for inclusion in investment portfolios during the current and upcoming favorable market conditions [4] - The bond market is seen as entering a period of low risk and high allocation value, with the ten-year government bond being particularly attractive for investors [4]

Core Viewpoint - The fourth quarter is expected to be a process of asset allocation rebalancing, with significant importance placed on asset allocation this year, particularly in the context of the equity market's substantial rise in the second and third quarters [1] Group 1: Bond Market Dynamics - The People's Bank of China (PBOC) has recently announced the resumption of bond buying, which is a liquidity injection tool aimed at addressing short-term liquidity pressures in the bond market [1][2] - The PBOC's bond buying in October was limited to 20 billion, but if extended over a month, it could return to a normal level of around 100 billion, indicating a continued commitment to maintaining a loose monetary environment [2] - The resumption of bond buying is expected to stabilize the bond market, particularly for ten-year government bonds, suggesting that the market will enter a period of reduced volatility [2] Group 2: Market Conditions and Supply Pressure - The bond market is expected to return to its allocation characteristics, with a focus on longer-duration bonds that exhibit lower volatility, particularly the ten-year bonds [3] - There is significant supply pressure in the bond market due to weak demand from the real economy, but this pressure is expected to ease towards the end of the year, especially after November [3][4] - The year-end period is typically a time when large traditional bond investment institutions, such as banks and insurance companies, engage in pre-allocating bonds for the upcoming year, leading to a temporary imbalance in supply and demand [3] Group 3: Economic Stimulus and Market Outlook - Current fiscal stimulus measures are expected to be moderate, with a focus on 500 billion in policy financial tools and another 500 billion in advance local government bond issuance, which may support stable economic growth but not lead to significant upturns [4] - The overall economic environment remains weak, with indicators such as PMI and financing data suggesting that the economy is still in a bottoming phase, which is reflected in the real estate sector as well [4] - The bond market is seen as relatively favorable under these conditions, with limited upward risks and a stable environment expected through the year-end window [5] Group 4: Investment Recommendations - The bond market is viewed as having high allocation value, particularly from November to the pre-Spring Festival period, with limited space for further declines in yields [5] - The central bank's lack of intent to lower interbank funding prices suggests that the bond market will maintain a stable yield level, with the ten-year government bond being a key focus for investors seeking both allocation and trading opportunities [5][6] - The ten-year government bond ETF (511260) is highlighted as an advantageous investment tool, providing easy access to the bond market and supporting flexible trading options for investors [6]