上海半夏投资 半夏宏观对冲基金-2025 年 7 月 业绩表现和风险指标（半夏低波动主基金数据） 归因分析（以半夏低波动主基金为基准示例） 半夏宏观对冲资产分布（图中展示的是半夏低波动主基金数据，以持仓的名义本金计算净仓，即不同品种正负轧差后的绝对值） 免责声明：本报告由上海半夏投资管理中心（有限合伙）撰写，本报告不能作为投资决策的依据，不能作为道义的、责任的和法律的 依据或者凭证。对于本报告所提供信息所导致的任何直接或者间接的投资盈亏后果不承担任何责任。本报告在未经授权下，均不可被 复制或转发，亦不可向任何第三方公开披露。一旦阅读本报告，即被视为同意此条款。 上海半夏投资 经济和市场回顾及展望: 过去一个月实体经济可以描述为心动，但帆并没有动。反内卷的预期一度推升了商品价格，情绪退潮后，大 部分品种，又都跌回了大部分的涨幅。 在需求侧没有明显变化的情况之下，后续大宗商品的走势应该是分化，供应端出现切实收缩的品种，可能表 现会相对强一些，供应端没有实际变化的品种，可能会维持之前的低迷。 市场现在的主要矛盾是从存量资金市场变成了增量资金市场，由于市场中的部分品种体现出了明显的赚钱效 应，在低利率和资产荒的背景之 ...

Summary of Key Points from the Conference Call Industry Overview - The macroeconomic environment shows a continuation of previous trends, with the US AI sector maintaining high capital expenditure and fiscal deficits offsetting contractions in other private sectors [12][10] - The US labor market remains robust, with state government employment expanding, contributing to market stability despite recession fears [12][10] - In China, economic policies have not yet gained momentum, with ongoing issues in real estate and infrastructure funding, leading to a persistent decline in second-hand housing prices [12][10] Economic and Market Insights - The US stock market has rebounded to new highs despite concerns over economic weakness [12][10] - China's second-hand housing market is experiencing a monthly decline of 1%, with PPI and CPI remaining negative, indicating ongoing deflationary pressures [12][10] - The overall economic fundamentals and corporate earnings in China are weak, yet the equity market continues to attract capital inflows due to asset scarcity [12][10] Commodity Performance - Commodity prices are showing signs of strength despite weak demand, categorized into three types: 1. Domestic industrial commodities experiencing supply shrinkage near cash cost levels [13] 2. Commodities with significant overseas pricing components, such as non-ferrous metals, benefiting from expectations of fiscal expansion from the US [14] 3. Oil prices rising due to geopolitical tensions in the Middle East [15] Banking Sector Risks - A significant potential risk is emerging from rising bad debts in the banking sector, particularly in long-term loans to residents, which amount to nearly 60 trillion yuan [16] - The bad debt rate for retail loans has accelerated, reaching levels not seen since early 2016, with second-hand housing prices continuing to decline [17] - A 30% decline in the second-hand housing index could lead to increased default probabilities as collateral values drop below loan amounts [17][18] Investment Strategy Adjustments - The current risk-reward profile for holding bank stocks has shifted negatively, leading to a complete reduction of bank stock holdings in Q2 [18] - Future fiscal policies, especially in real estate, are expected to gain traction as bad debt risks materialize [18] - A significant market style shift is anticipated as these risks unfold [19] Investment Plans - **Gold**: The acceleration of stablecoin issuance is reducing gold's allocation in portfolios [20][21] - **Interest Rates**: Reallocation towards medium-term government bond futures as interbank liquidity stabilizes [22] - **Commodities**: Maintaining net long positions in industrial commodities as prices approach cash cost levels [23] - **Equities**: No significant changes in equity positions compared to the previous month [24] Long-term Holdings - 40% of long-term positions are in stocks with favorable characteristics such as low price-to-book ratios and high dividends, including state-owned enterprises in construction and materials [25] - 15%-20% of positions are in stock index futures, providing protection against potential downturns [25]

今年以来，市场的表现显著弱于我的预期。我们的净值也出现了下跌，半夏宏观对冲的今年的跌幅大于沪深300小于中证500，去年年中高点以来的 最大回撤达到了25%。 我们也接到不少投资者的询问，我写了一封很长的致投资人的信。我的同事们建议我不要发出去，不要公开说话，私下逐一相应解释就好。说如果 发了信，肯定会被媒体到处转载，肯定会被到处群嘲。但我想了一下，人有责任也应该有勇气承认和面对自己的错误。做错了就是做错了，被批评 被群嘲也是正常的。我还是打算发出来，公开说明一下，清晰一些。也算帮同事们分担一些解释说明的工作量。 开年以来，无论经济还是市场的表现，宏观政策的力度，的确都低于我之前的预期。 我过去几个月的确犯了速胜论的错误，不够谨慎不够耐心，对 中短期政策的响应机制理解不够深刻。在看到右侧信号明确之前，我做好了打持久战的准备。首先是做好防守，保存实力。 我依然相信二十年一遇的牛市仍会到来，并且不会太远，但之前可能需要多等待若干个月或几个季度的底部震荡分化。 半夏的一位投资人，几天前通过同事，给我发了这样的一段话： 这么多年来以蓓总的功力，对宏观或经济形势的判断都是非常正确的，投资策略也是有效的，所以才会有过去多 ...