资产配置与金融工程 证券研究报告 A股领涨全球权益，股债负相关性达高位 ——大类资产周报（20250818-20250822） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年8月25日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 本周宏观增长因子继续向上，通胀高频因子反弹态势减弱，价格压力仍然较高。A股领涨全球（上证+3.49%、创业板+5.85%）， 科技成长主导，50ETF隐含波动率（IV）上升至19.78%，美股分化，道指创新高（+1.53%）而纳指回调（-0.58%），鲍威尔降息 预期提振风险偏好，国内债市调整显著（30年期国债期货跌1.43%），股债负相关性达历史高位，"跷跷板效应"凸显，外盘商品 强势（布油+2.14%、COMEX黄金+1.02%）受地缘风险与通胀对冲驱动，内盘商品普跌（南华商品指数-0.44%）；美元趋弱（美 元指 ...

上半年最鲜明的特征就是美元指数大幅下跌，跌幅超过10%，进而导致全球流动性泛滥，和流动性相关 的资产涨幅都非常好，比如说黄金、新兴市场股指、新兴市场货币等。 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025YTD | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 发元区四级 | 1 3 1 | Brentishe | M5CIST 56 | 中国家居 | 200 2000 | 1金, 25.1 | Brent - on | Brent Stin | 标题 500 | 開金,27-2% | 商金25.9% | | 13.196 | 9.3% | 52,475 | 34.5% | 4.496 | 28.9% | | 50.72% | 10.5% | 24.2% | | | | 第六届歌 | DOTE SEE LE | 的元都的益 | Stoook欧洲 | 家元区 感恩 | MSCHARE | ...

王爷说财经讯：突发！扛不住了！美联储主席鲍威尔暗示降息！ 那么为什么美联储要降息？这对中国又会有何影响？今天这篇文章就和大家一起来聊聊！ 1、美联储主席鲍威尔暗示降息！ 当地时间8月22日，美联储主席鲍威尔在杰克逊霍尔全球央行年会上发言，那话里话外，竟然暗示了美联储可能在接下来几个月里降息！ 这消息一传出，全球金融市场瞬间像炸开了锅，要知道美联储的决策，向来都是牵一发而动全身，影响着世界经济的走向。 8月22日，美股三大指数暴涨，道指创新高；美元暴跌超1%；黄金冲破3400美元/盎司。 鲍威尔在会上表示，美国经济在高关税和收紧移民政策的双重压力下，虽然展现出一定韧性，但劳动力市场和经济增长放缓的迹象已愈发明显。 尽管通胀问题仍不容忽视，可就业市场面临的风险正在上升，这很可能推动美联储在9月采取降息举措。 2、美联储为何要降息？ 那鲍威尔为啥突然暗示降息呢？ 从数据层面来看，今年上半年美国经济增长放缓至1.2%，仅仅是2024年同期的一半，消费支出的疲软"贡献"不小。 劳动力市场方面，新增非农就业数据也出现了向下修正的情况。虽说通胀依旧高于美联储2%的目标，但鲍威尔认为关税所带来的影响或许只是一次性冲 击。 此 ...

Group 1 - Federal Reserve Chairman Jerome Powell hinted at potential interest rate cuts in the coming months despite ongoing inflation risks, marking a rare signal for rate reduction this year [1] - Following Powell's remarks, the US dollar index fell, while major US stock indices rose significantly, with the Nasdaq and Dow Jones increasing nearly 2%, and the S&P 500 up by 1.6% [1] - The current high yield of US Treasury bonds, particularly the 10-year yield at around 4.3%, suggests that if the Fed signals rate cuts, bond prices may rise, presenting capital gain opportunities for bondholders [1] Group 2 - The logic behind the current global capital rebalancing is driven by weakening fundamentals in the US, leading the Fed to potentially restart rate cuts, which may redirect funds towards non-US assets with stronger short-term economic prospects [2] - Historical trends indicate that after each round of Fed rate cuts, both A-shares and Hong Kong stocks have generally experienced upward movements, suggesting a similar pattern may occur following the anticipated cuts [2] - The gold market is closely monitoring Powell's statements for insights into future interest rate paths, with current technical analysis indicating that as long as gold prices remain above $3,200 per ounce, the overall upward trend is likely to continue [2]

报道称，对于境外股票交易属于财产转让，中国按次计征，简单来讲，就是转让一次股票，就需要按照当次转让所得缴纳个人所得税。为了更加合理的征 收，中国税务部门在征管时，允许纳税人按照纳税年度盈亏相抵，但不允许跨年互抵。 中国加强对纳税居民境外收入征税，央行主管媒体《金融时报》发文明确，境外买卖股票收入也要缴税。 据《金融时报》8月4日报道，记者了解到近期有纳税人收到了税务部门通知，告知其需要依法办理境外所得申报并缴纳相应税款。 对此，吉林财经大学税务学院院长张巍解释，根据中国个人所得税法，个人股票交易所得属于财产转让所得，应当适用20%的税率按次征收。其中，个人 在境内二级市场的股票交易所得暂免征收个人所得税；在境外直接进行股票交易所得没有免税规定，需要在取得所得的次年申报纳税。 报道引述业内人士称，加强境外所得税收监管是加大对高收入调节的重要举措，有利于促进法治公平和共同富裕。依法纳税是每个公民应尽的义务，如取 得境外所得应依法申报纳税。 据了解，中国已参加国际间金融账户涉税信息自动交换制度，也就是CRS。这是经济合作与发展组织开发的全球税务信息自动交换标准。利用CRS可以获 取居民个人境外金融账户相关数据，通过 ...

Group 1: Market Performance - A-shares and the ChiNext index led global gains with an increase of 8.6%[27] - The Hang Seng Index rose by 3.0% and the Nikkei 225 increased by 3.7%[27] - Emerging markets, particularly A-shares, outperformed developed markets, with the overall A-share market up by 3.0% last week[31] Group 2: Currency and Commodity Trends - The US dollar index fell by 0.4%, while the euro, pound, and yen appreciated by 0.5%, 0.8%, and 0.4% respectively[5] - Since the beginning of the year, the US dollar index has decreased by 9.8%, with the euro, pound, and yen rising by 13%, 8.3%, and 6.4% respectively[5] - Commodity prices saw a general increase, with the South China and CRB commodity indices both rising by 0.5%[71] Group 3: Bond Market Insights - The yield curve for Chinese bonds exhibited a "bear steepening" pattern, with the 10-year yield rising by 5.7 basis points to 1.75%[45] - The 10-year to 2-year yield spread for US bonds also expanded, indicating a "bear steepening" trend, with the 10-year yield increasing by 6 basis points to 4.33%[50] Group 4: Risk Premium Analysis - The risk premium for the CSI 300 relative to 10-year government bonds decreased to 5.7%, down by 0.14% from the previous value[19] - The risk premium for the S&P 500 relative to 10-year US Treasuries fell to -0.8%, a decrease of 0.10%[19]

Summary of Conference Call Records Industry Overview - The records primarily discuss the **U.S. employment market** and its implications for the **U.S. economy** and **capital markets**. Additionally, there is a focus on the **A-share and Hong Kong stock markets**. Key Points and Arguments U.S. Employment Market - The U.S. job market data has shown weakness, with May and June's job additions revised down by **260,000**, and July's additions at only **73,000**. The unemployment rate rose to **4.2%**, providing justification for the Federal Reserve's three expected rate cuts in 2025 [1][2] - The significant downward revision in July's job additions to **14,000** from an initial estimate of **147,000** indicates a **90% reduction**. This adjustment is concentrated in the government, leisure, hospitality, and construction sectors, which collectively accounted for **70%** of the total downward revision [2] Federal Reserve Policy - Following the Federal Reserve's leadership change, a continuation of **loose monetary policy** is expected. Short-term forecasts suggest a decline in the **U.S. dollar index** and **2-year Treasury yields**, while the **10-year Treasury yield** remains uncertain due to inflation risks [5] - The anticipated rate cuts are expected to support the U.S. stock market, which is projected to achieve a soft landing in the medium to long term, despite short-term fluctuations [5] Domestic Market Performance - The domestic market is on a positive trajectory, with expectations for the A-share and Hong Kong markets to surpass their September 2024 highs. This is driven by improved external pressures, anti-involution policies, and new infrastructure projects [6][7] - Factors supporting the domestic capital market include resilience in fundamentals, improved liquidity, and increased willingness of individual investors to enter the market [7][8] Market Sentiment and Fund Flows - Despite recent market pullbacks, the number of high-performing stocks remains significant, indicating that thematic investment sentiment among small and medium-sized investors has not diminished [8] - Long-term funds, such as insurance and MVC, have consistently entered the market, providing support during fluctuations [8] Future Market Outlook - Three main factors are expected to support the stock market's upward trajectory in the second half of the year: the development of emerging industries, verification of mid-year performance, and favorable external risk preferences [9][10] - The stock index is anticipated to be relatively easy to rise in August and the following month, with expectations of a slight upward trend [10] Bond Market - In the previous week, **263 credit bonds** were issued, totaling **255.1 billion** yuan, a **57%** decrease from the previous period. The average issuance term was **3.67 years**, with an average coupon rate of **2.26%** [11] Fund Performance - July saw a positive performance in the A-share market, with a significant increase in the number of rising stocks. High-risk preference among retail funds is recovering, while stable long-term funds have increased their positions [12] - Event-driven investment opportunities have performed well, with notable excess returns from institutional research combinations [12][13] Conclusion - The overall sentiment towards the equity market remains optimistic, although a slight pullback may occur in the short term. The medium to long-term outlook suggests a return to a sustained upward trading trend [14]

Core Viewpoint - The Hong Kong economy shows sustained growth momentum, driven by exports, local consumption, and fixed investment, with GDP increasing by 3.1% year-on-year in Q2 2023, marking the tenth consecutive quarter of positive growth [1][2]. Economic Performance - In Q2 2023, Hong Kong's GDP grew by 3.1% year-on-year, with a 0.4% increase compared to Q1 2023 [1]. - Private consumption expenditure rose by 1.9% year-on-year, while government consumption expenditure increased by 2.5% [1]. - Fixed capital formation grew by 2.9% year-on-year, with merchandise exports up by 11.5% and imports up by 12.7% [1]. - Service output increased by 7.5% year-on-year, and service input rose by 7% [1]. Real Estate and Retail Market - The retail sales value recorded a slight year-on-year growth of 0.3% in Q2 2023, with expectations of mild growth in the restaurant sector [2]. - Residential property prices remained stable, with rental performance strong and transaction volume significantly increasing by approximately 37% quarter-on-quarter [2]. - The number of negative equity cases decreased by 7% to over 37,000 as property prices stabilized [2]. Stock Market and Investment - The total market capitalization of Hong Kong stocks reached HKD 42.7 trillion in the first half of the year, a year-on-year increase of 33% [2]. - Hong Kong led the global IPO market with 52 IPOs raising HKD 124 billion, a 590% increase year-on-year [2]. Government Initiatives and Events - The Hong Kong government is actively promoting investment and talent attraction, which has increased demand for office space [2]. - Upcoming major events, such as the National Games and the Wine and Dine Festival, are expected to boost tourism and economic activity [3]. - The government aims to leverage high-value tourism and various events to enhance local consumption and market sentiment [3].

Group 1 - The core viewpoint of the article is that despite an increase in the money supply (M2), there is no corresponding rise in consumer prices (CPI) or asset prices, leading to questions about the flow of this new money [1][3] - M2 increased by 8.3% year-on-year, reaching 330.29 trillion yuan, while CPI rose slightly to 0.1% and PPI fell to -3.6% [1][3] - The majority of the new money is not reaching consumers directly, as only 7% of the M2 increase is reflected in household loans, indicating a disconnect between money supply and consumer spending [4][5] Group 2 - Approximately 30% of the new money is directed towards government financing through bonds, which is used for debt servicing and infrastructure investments [4] - About 60% of the new money flows to enterprises, primarily for production expansion, but this leads to overproduction and price deflation, preventing price increases [5] - The phenomenon of "capital outflow" occurs as export companies do not convert their foreign currency earnings back to RMB, instead investing abroad, which further complicates domestic monetary conditions [9][11] Group 3 - The article emphasizes the need for these funds to return to the domestic market, suggesting that enhancing the capital market, particularly in Hong Kong, could attract these funds back [10][12] - The Hong Kong market is positioned as a key area for attracting both foreign investment and repatriated funds, especially with the anticipated easing of monetary policy by the Federal Reserve and expectations of RMB appreciation [10][12] - The article suggests that investors should consider allocating funds to quality assets in the Hong Kong market as a long-term investment strategy [12]

来源：华尔街情报圈 - 黄金则发挥了避险功能，重新上涨。 对于下跌的原因，人们的看法非常一致——因为非农数据不佳——但这只是看到了皮毛。 第一，真正令市场深感不安，不是7月非农数据本身，而是5月和6月数据被大幅下修，累计下修25.8万。一个月不会引发市场过度关注，但现在连续三个 月数据表现都不佳。 第二，更加令人震撼的是——市场的底层逻辑被动摇，资金的信仰开始动摇。一方面，这是市场第一次进入"坏消息就是坏消息"的叙事；另一方面，过去 市场沉浸在"完美剧本"中"通胀逐步下降 + 就业温和放缓 + 经济没有衰退"。而现在，市场不再相信软着陆剧本，美国资产也不再是"避风港"，"美国例外 论"开始失效。 一觉醒来，一切都在暴跌： - 道琼斯指数跌1.23%，纳指急挫2.24%；标普 500 指数跌1.6%——创下两个月最大单日跌幅。 - 油价暴跌3%； - 美元暴跌1.3%（相当于股市3%-4%的跌幅），一天跌去了过去三天的涨幅。 第三，过去人们并不支持"解雇鲍威尔"，认为特朗普做得过头了。而昨晚过后，人们开始理解特朗普，并成为特朗普——呼喊9月降息的声音将越来越浓 厚。甚至正常降息25基点都不能满足市场的预期，而是 ...