...... 第一条建议，送外卖的电瓶车先别扔。 今天A股和港股的科技板块，都迎来了大跌，如果要找原因的话，宏观和行业层面，都有可以说道说道的。 宏观层面，因为近期欧洲（法国）和小日子的政坛震荡，导致美元指数"被动"走强，昨晚， 自8月1日以来，美元指数首次向上突破99 ，这导致 降息预期+弱美元的宏观假设，有所变化，对非美市场不是什么好事情，今天恒生指数跌了1.7%，而日经225也跌超1%，是其9月1日以来，首次 跌超1个点。 行业层面的利空，其实主要也和宏观有关，11月10日，也就是1个月后，中美要再次商贸会谈，因此，大家近期也能看到，两边都在加紧搞事 情，收集筹码，昨晚提到的咱们对 锂电 的出口管制，就导致今天锂电板块领跌A股和港股。 另外，昨天提到的，静态市盈率超300倍后，股票融资时的折算率归零的规定，加剧了部分杠杆资金的恐慌情绪（因为下跌导致市盈率变化，今 晚，部分券商又对部分个股采取了上调折算率的操作，如果情绪配合，可能导致反弹回来），导致今天在韩国的两家芯片龙头企业涨的飞起的同 时，A股和H股 芯片 却继续大暴跌。 而且，有时候，悲观情绪，会带来更多的悲观情绪，比如，今天 机器人 板块的两则利 ...

证券研究报告 港股择时宏观框架与量化策略 ——跨境投资洞察系列报告之三 证券分析师 郭子睿 投资咨询资格编号：S1060520070003 任书康 投资咨询资格编号：S1060525050001 陈 瑶 投资咨询资格编号：S1060524120003 研究助理 2025年10月9日 高 越 一般从业资格编号：S1060124070014 请务必阅读正文后免责条款 主要观点 风险提示：1）历史数据梳理不构成投资建议；2）量化规律失效风险；3）策略回测风险；4）宏观环境剧烈变动风险。 1 港股市场概述。恒生综合指数、恒生指数等代表性指数聚焦于大市值公司，恒生综合指数平均市值略高于中证800，恒生指数平均市值介 于沪深300和上证50之间。A股、港股相对表现存在显著周期性波动，长期来看港股风险、收益水平整体低于A股，中证800下跌行情中恒 生指数具有一定抗跌属性，但部分上涨行情中港股也具有更好的进攻属性。AH股溢价受到美元指数周期的影响，美元指数下行有利于港 股市场上涨，促进AH股溢价回落。两地市场定价环境的差异是A股、港股相对表现的主导因素，对宏观环境的敏感性差异可能是重要原因。 港股宏观驱动因素。 1）海外宏观 ...

来源：市场资讯 （来源：一德期货） | 标的品种 | 9月30日 | 10月9日 | 假期涨跌幅 | | --- | --- | --- | --- | | | 15:00报价 | 07:00报价 | | | 马棕油 | 4369 | 4546 | 4.05% | | COMEX黄金 | 3883.9 | 4039.9 | 4.02% | | COMEX铜 | 4.8810 | 5.0670 | 3.81% | | 德DAX 30 | 23775.12 | 24597.13 | 3.46% | | CBOT豆油 | 49.67 | 51.34 | 3.36% | | LmeS铝 | 2664.5 | 2750.5 | 3.23% | | LmeS锡 | 35125 | 36250 | 3.20% | | LmeS铜 | 10375.0 | 10701.0 | 3.14% | | COMEX白银 | 46.965 | 48.250 | 2.74% | | 美天然气 | 3.253 | 3.341 | 2.71% | | LmeS锌 | 2917.5 | 2995.0 | 2.66% | | CBOT大豆 | 1 ...

你有没有发现，最近这股子行情有点反常，美股天天创新高，黄金也跟着上天，一般人看了都以为世界要发财了。可偏偏美国这边搞了个大新 闻，7年之后又一次关门。你说气不气？按理说这是风险事件，可华尔街却硬是看成美联储10月要降息的信号。 但问题来了，鲍威尔之前的表态可不是这么松。他一再强调通胀依然高企，虽然往下走但没到安全区。美联储内部还在反复权衡，不可能完全听 市场喊就立刻松口子。所以我觉得这次所谓100%降息，更多是华尔街自己脑补出来的情绪，带点赌的意味。 反而从市场反应来看，最直接受益的是港股。昨天恒生指数和恒生科技指数都大涨，这个很明显就是提前把"美联储要放水"的逻辑消化进去了。 资金最爱的是预期，不是真实动作。只要美联储可能降息，资本就敢抢跑，尤其是在外围流动性紧绷的背景下，香港市场格外敏感。 我也在想，美股现在的上涨到底是真基本面支撑，还是纯粹靠情绪。标普500一路新高，可如果你去看企业盈利增速，其实没多大改善。反而是 裁员潮、就业放缓这些信号在堆积。路透社9月的数据就显示，美国非农新增岗位已经放缓到了15万人以下，远低于去年动辄30万的水平。这些 都是硬指标，不是靠嘴能忽悠过去的。 换句话说，现在的市场像 ...

- 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]

Core Viewpoint - The Federal Reserve has lowered the federal funds rate to a range of 4.00%-4.25%, indicating the start of a global easing trend, which will impact various asset prices and investment strategies [1][5]. Group 1: Impact on Different Asset Classes - Historical data from 1970 shows that during global easing cycles, the return hierarchy is: equities > gold > bonds > US dollar > other commodities [5]. - In the context of the US economy, the prevailing view on Wall Street is a mild recession, with the current rate cut being termed as "preemptive" to ensure a soft landing [5][6]. Group 2: A-shares and H-shares - A-shares and H-shares have experienced six instances of Federal Reserve rate cuts, with three being "preemptive" (1995, 1998, 2019), showing inconsistent market responses [6]. - For example, during the 1995 rate cut, the Shanghai Composite Index initially rose but then fell significantly, while in 1998, it showed a clear upward trend [7]. - The H-share market tends to respond more positively to rate cuts due to its sensitivity to US dollar liquidity, benefiting from the influx of capital when the Fed eases [10]. Group 3: Bonds - Bonds generally appreciate during rate cut cycles, with long-term bonds showing more significant gains compared to short-term ones [8]. - The logic is straightforward: a rate cut leads to lower bond yields, which in turn raises bond prices [8][17]. Group 4: Gold - While many factors influence gold prices, historical evidence suggests that "preemptive" rate cuts have a limited impact on gold, although its financial and anti-inflation properties remain strong [12]. Group 5: US Stocks - Historically, during five instances of "preemptive" rate cuts, major US stock indices have generally risen, with an average increase of over 17% across various periods [15][16]. - The most recent preemptive cut in 2019 saw modest gains in major indices, indicating that while returns can be positive, they may vary significantly based on economic conditions [15]. Group 6: US Dollar Index - The relationship between rate cuts and the US dollar index is complex; while rate cuts can reduce the dollar's attractiveness, a stronger US economy can still support a rising dollar [20][21]. - Historical data shows mixed results for the dollar index during rate cut cycles, with three instances of decline and one of increase [22].

Group 1: Federal Reserve Rate Cut Expectations - The market anticipates the Federal Reserve will initiate a rate cut in September, with discussions focusing on the magnitude of the cut, speculated to be between 25 to 75 basis points, with a 74% probability for a 75 basis point cut as of September 14, 2025[2][11] - Historical data indicates that Hong Kong stocks are more sensitive to changes in U.S. monetary policy due to the linked exchange rate system between the Hong Kong dollar and the U.S. dollar[10] Group 2: Historical Performance of Hong Kong Indices - In previous rate cut cycles, the three major Hong Kong indices (Hang Seng Index, Hang Seng Tech Index, Hang Seng China Enterprises Index) typically exhibit a volatile pattern in the 30 trading days leading up to the cut, followed by a period of adjustment post-cut[22][29] - The Hang Seng Tech Index tends to show smaller declines immediately after a rate cut and greater gains in the subsequent period compared to the other indices[29][31] Group 3: Market Reactions Post Rate Cut - On average, the three indices tend to decline in the two trading days before the cut, rise on the day before, and then drop on the day of the cut and the following two days[33][39] - After a rate cut, the Hang Seng Tech Index has historically shown a stronger recovery, with average returns of 1.03% in the four weeks following the cut, compared to 0.08% for the Hang Seng Index[19][24] Group 4: Comparison with Previous Rate Cut Cycles - The current environment is more complex than previous rate cut cycles in 2019 and 2024, with persistent inflation and economic slowdown concerns[49][51] - Historical examples of "recessionary rate cuts" show that the performance of the indices can vary significantly based on economic fundamentals and corporate earnings, indicating that a recessionary context does not guarantee a decline in stock prices[56][62] Group 5: Risk Factors - Potential risks include historical data bias, extrapolation risks, and the possibility that the magnitude and frequency of rate cuts may be lower than expected[61]

Group 1 - The core viewpoint of the article revolves around the anticipation of a potential interest rate cut by the Federal Reserve, particularly following the release of the August CPI data, which has led to a decline in the 10-year U.S. Treasury yield below 4% for the first time since April 7 [2][4] - The expectation for a rate cut has been building since the June FOMC meeting, which indicated two potential cuts within the year, with August being a critical month for this development [4] - Market discussions are ongoing regarding whether the Federal Reserve will implement a 25 basis points (bp) or 50 bp cut, with a higher expectation for a 25 bp cut in September [4][5] Group 2 - Key economic indicators leading up to the anticipated rate cut include: 1. August non-farm payrolls exceeding expectations but showing a downward revision in previous values [5] 2. CPI remaining flat and below expectations, while PPI exceeded expectations [5] 3. Comments from Powell regarding "employment and inflation rebalancing" being interpreted as a hint towards a rate cut [5] 4. Continued decline in non-farm employment numbers and rising unemployment claims, with the unemployment rate reaching 4.3% [6][7] Group 3 - Historical analysis of asset price movements following rate cuts indicates that: 1. U.S. Treasury yields and term spreads tend to show a narrowing in short-term declines, with steepening term spreads and even increases in long-term yields [13] 2. Equity and commodity assets generally maintain upward trends or exhibit more positive momentum post-rate cuts [13] - The article provides a comparative analysis of asset performance before and after previous rate cuts, highlighting trends in various indices and commodities [14][16] Group 4 - The current market sentiment reflects a strong consensus on the likelihood of a rate cut in September, with risk assets already adjusting to expectations of liquidity easing [15] - The Federal Reserve's benchmark interest rate trajectory is crucial for multi-asset allocation, as it influences the outlook for various macroeconomic factors [17]

Group 1 - The core viewpoint of the article highlights the weakening U.S. employment data, which has led to an increase in expectations for interest rate cuts by the Federal Reserve [2][54][62] - The S&P 500 index rose by 0.3%, while the Hang Seng Index increased by 1.4% during the week [2][3] - The U.S. 10-year Treasury yield fell by 13.0 basis points to 4.1%, and the dollar index decreased by 0.1% to 97.74 [2][3] Group 2 - The article notes that the U.S. added only 22,000 jobs in August, significantly below the expected 75,000, with the unemployment rate rising to 4.3% [62][73] - The ADP reported an increase of 54,000 jobs in August, also below the expected 68,000 [62] - Job openings in July were reported at 7.181 million, lower than the expected 7.382 million, indicating a weakening demand in the labor market [62] Group 3 - The article discusses the performance of various sectors, with communication services, consumer discretionary, and healthcare sectors showing increases of 5.1%, 1.6%, and 0.3% respectively in the S&P 500 [7] - In the Hang Seng Index, healthcare, materials, and consumer discretionary sectors rose by 7.1%, 6.6%, and 3.6% respectively [10] - Conversely, energy, financials, and utilities sectors in the S&P 500 saw declines of 3.5%, 1.7%, and 1.1% respectively [7] Group 4 - The article highlights that the market is now shifting from rate cut expectations to recession trading due to the disappointing employment data [72] - The Federal Reserve's expectation for a 50 basis point rate cut in September has increased following the weak employment figures [54][62] - The article emphasizes the importance of upcoming CPI data and the potential for further adjustments in employment figures [54][62]

Group 1 - The core viewpoint of the article highlights that the U.S. non-farm payroll data for August significantly underperformed expectations, with only 22,000 jobs added compared to the forecast of 75,000, and the unemployment rate rising to a new high of 4.3% [1][6][8] - The employment situation across most sectors has deteriorated, particularly in cyclical industries, which saw a reduction of 48,000 jobs, a decline that expanded by 26,000 from the previous month [1][6][10] - The private sector added only 38,000 jobs in August, which is also below expectations, while the government sector saw a decrease of 16,000 jobs [1][6][10] Group 2 - The labor market is currently characterized by a fragile balance of weak supply and demand, with the unemployment rate expected to continue rising slightly [2][14][23] - The credibility of the August non-farm data is questioned due to a low response rate of 56.7%, the lowest in recent years, and historical trends suggest that these figures may be revised upwards in subsequent months [2][14][20] - Leading indicators, such as small business hiring plans and unemployment claims, suggest that the labor market still possesses some resilience, indicating that a significant deterioration is not imminent [2][14][23] Group 3 - Following the release of the non-farm data, market sentiment shifted from "rate cut trading" to "recession trading," with expectations for a 50 basis point rate cut in September rising to 11% [3][6][14] - The market anticipates two rate cuts by the end of the year, although the likelihood of three cuts hinges on the unemployment rate reaching 4.6% or higher, which remains a low probability scenario [3][6][14] - The current equilibrium level of job additions in the U.S. labor market is projected to fall to between 30,000 and 80,000 jobs per month, with the unemployment rate likely to rise if job additions remain at the low level of 22,000 [2][23][32]