证券研究报告 | 2026年02月28日 多资产周报 "暴走"的汇率 核心观点 经济研究·宏观周报 | 证券分析师：邵兴宇 证券分析师：田地 | | --- | | 010-88005483 0755-81982035 | | shaoxingyu@guosen.com.cntiandi2@guosen.com.cn | S0980523070001 S0980524090003 "暴走"的汇率。春节前后，人民币汇率显著走强，特别是节后日均升 幅一度达到 239 个基点，在短短几天内连续跌破 6.85、6.80 等关键心 理关口。从原因来看，春节错位所带来的结汇需求在近期集中爆发。2026 年 1、2 月份的工作日分布不均，导致大量本该分散在年初的报关和结 汇需求，在 2 月下旬集中爆发。同时，过去 2-3 年，由于各种因素，约 有 1 万亿美元的出口创汇资金留存在海外账户。人民币汇率短时间内的 快速上涨，触发了这部分巨量资金的"避险式结汇"，形成了所谓的"羊 群效应"。此外，金融机构在处理企业的结汇套保业务时，往往处于汇 率空头地位。随着升值预期转强，机构为了对冲风险，必须在即期市场 回补人民币，这进一步放 ...

Report Summary 1. Core View - The report presents the price changes of various international varieties from February 13th, 15:00 to February 23rd, 18:00 in 2026, including stock indices, commodities, and currency indices [3]. 2. Key Points by Category Stock Indices - The FTSE A50 Index rose from 14,684 to 14,919, a 1.60% increase [3]. - The Hang Seng Index increased from 26,595.15 to 27,081.91, a 1.83% rise [3]. - The Dow Jones Industrial Index went up from 49,451.98 to 49,625.97, a 0.35% increase [3]. - The S&P 500 Index climbed from 6,832.76 to 6,909.51, a 1.12% gain [3]. - The NASDAQ Composite Index advanced from 22,597.15 to 22,886.07, a 1.28% increase [3]. - The Nikkei 225 Index dropped from 56,941.97 to 56,825.7, a 0.20% decline [3]. Commodity Indices - The Baltic Dry Index decreased from 2,083 to 2,043, a 1.92% fall [3]. Energy Commodities - Brent Crude Oil rose from $67.55 to $71.04, a 5.17% increase [3]. - US Crude Oil increased from $62.83 to $66.23, a 5.41% rise [3]. Precious Metals - CMX Gold climbed from $4,986.7 to $5,170.1, a 3.68% gain [3]. - CMX Silver advanced from $77.105 to $86.515, a 12.20% increase [3]. Base Metals - LME Copper rose from $12,894.5 to $12,966, a 0.55% increase [3]. - LME Aluminum increased from $3,062.5 to $3,102.5, a 1.31% rise [3]. - LME Zinc went up from $3,352.5 to $3,377.5, a 0.75% increase [3]. - LME Lead dropped from $1,976.5 to $1,963, a 0.68% decline [3]. - LME Nickel advanced from $17,255 to $17,600, a 2.00% increase [3]. - LME Tin climbed from $46,940 to $47,500, a 1.19% gain [3]. Iron Ore - TSI Iron Ore decreased from $97.15 to $95.85, a 1.34% fall [3]. Agricultural Commodities - CBOT Soybeans rose from $1,134.75 to $1,146.75, a 1.06% increase [3]. - CBOT Soybean Meal increased from $308.6 to $309.7, a 0.36% rise [3]. - CBOT Soybean Oil advanced from $57.26 to $59.67, a 4.21% increase [3]. - CBOT Corn climbed from $430.25 to $438.75, a 1.98% gain [3]. - CBOT Wheat rose from $550.75 to $575.75, a 4.54% increase [3]. - MDE Crude Palm Oil increased from 3,996 to 4,084, a 2.20% rise [3]. - ICE No. 2 Cotton advanced from 64.26 to 65.46, a 1.87% increase [3]. - ICE No. 11 Sugar climbed from 13.53 to 13.9, a 2.73% gain [3]. Currency Indices - The US Dollar Index rose from 97.0775 to 97.6349, a 0.57% increase [3]. Currency Pairs - The US Dollar against Offshore RMB decreased from 6.908 to 6.8852, a 0.33% decline [3].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The report presents the price and cumulative percentage change of various commodities, stock market indices, and other important indicators during the Spring Festival holiday in the overseas market [2] Summaries by Related Catalogs Commodities - NYMEX crude oil closed at $66.31 on February 20, with a cumulative increase of 5.57% during the holiday [2] - NYMEX natural gas closed at $2.99 on February 20, with a cumulative decrease of 6.41% during the holiday [2] - COMEX gold closed at $5130.00 on February 20, with a cumulative increase of 1.31% during the holiday [2] - COMEX silver closed at $84.57 on February 20, with a cumulative increase of 9.45% during the holiday [2] - LME copper closed at $12964.00 on February 20, with a cumulative increase of 0.25% during the holiday [2] - LME zinc closed at $3382.50 on February 20, with a cumulative increase of 1.20% during the holiday [2] - LME nickel closed at $17435.00 on February 20, with a cumulative increase of 2.59% during the holiday [2] - LME aluminum closed at $3102.50 on February 20, with a cumulative increase of 0.39% during the holiday [2] - LME tin closed at $46559.00 on February 20, with a cumulative decrease of 0.62% during the holiday [2] - LME lead closed at $1965.00 on February 20, with a cumulative decrease of 0.35% during the holiday [2] - TSI iron ore CFR China (62% iron powder) closed at $95.30 on February 20, with a cumulative decrease of 1.60% during the holiday [2] - CBOT soybeans closed at $1153.75 on February 20, with a cumulative increase of 1.67% during the holiday [2] - CBOT corn closed at $428.00 on February 20, with a cumulative decrease of 0.87% during the holiday [2] - CBOT soybean oil closed at $59.34 on February 20, with a cumulative increase of 3.80% during the holiday [2] - CBOT soybean meal closed at $314.20 on February 20, with a cumulative increase of 1.58% during the holiday [2] - CBOT wheat closed at $581.75 on February 20, with a cumulative increase of 5.97% during the holiday [2] - CBOT rice closed at $10.52 on February 20, with a cumulative decrease of 4.54% during the holiday [2] - ICE 11 - sugar closed at $13.86 on February 20, with a cumulative increase of 2.29% during the holiday [2] - ICE 2 - cotton closed at $65.55 on February 20, with a cumulative increase of 2.13% during the holiday [2] Stock Market - The S&P 500 closed at 6909.51 on February 20, with a cumulative increase of 1.07% during the holiday [2] - The Nasdaq Index closed at 22886.07 on February 20, with a cumulative increase of 1.51% during the holiday [2] - The UK FTSE 100 closed at 10686.89 on February 20, with a cumulative increase of 2.30% during the holiday [2] - The French CAC40 closed at 8515.49 on February 20, with a cumulative increase of 2.45% during the holiday [2] - The German DAX closed at 25260.69 on February 20, with a cumulative increase of 1.39% during the holiday [2] - The Nikkei 225 closed at 56825.70 on February 20, with a cumulative decrease of 0.20% during the holiday [2] - The Hang Seng Index closed at 26413.35 on February 20, with a cumulative decrease of 0.58% during the holiday [2] Other Important Indicators - The US dollar index closed at 97.74 on February 20, with a cumulative increase of 0.91% during the holiday [2]

1. Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Views - The factors affecting commodity prices are complex, with the core factors being financial and commodity attributes. The financial attributes include macro - liquidity, risk preference, and the role of the US dollar as a pricing "anchor". The commodity attributes involve supply - demand fundamentals, including both normal and abnormal influencing factors [2][3][7]. - Commodity prices do not rise and fall synchronously but follow a certain rotation order. Based on financial attributes, the mean - reversion of commodity ratios drives price rotation. Based on commodity attributes, economic cycle rotation and inventory cycles lead to the rotation of "precious metals - industrial metals - energy - agricultural products" [11][15][19]. - The current commodity pricing is influenced by the re - construction of the monetary "anchor", the abnormal supply - demand factors in commodity attributes, such as technological revolutions, industrial transformation, supply - chain re - construction under geopolitical influence, and strategic reserves. These factors have a more significant impact on prices compared to traditional supply - demand drivers [3]. - In the past two years, some commodities have shown strong performance, mainly led by precious metals and non - ferrous metals. The current commodity rally is mainly based on macro - narrative logic changes rather than traditional demand - driven cycles. If the economic cycle recovers more clearly, the traditional demand and cycle rotation will contribute more to commodity price increases [4]. 3. Summary by Directory 3.1 Commodity Pricing Factors and Rotation Analysis Framework 3.1.1 Commodity Pricing Factors - Financial attributes: Conventional factors include macro - liquidity (e.g., monetary policy, interest rates, inflation expectations) and risk preference. At a higher level, the US dollar serves as the pricing "anchor" for commodities, and its "de - anchoring" can lead to significant price re - evaluation [2][7]. - Commodity attributes: Core drivers are based on supply and demand. Normal factors include supply - demand gaps, production costs, and inventory levels. Abnormal factors on the demand side include technological revolutions, industrial transformation, and national strategic reserves; on the supply side, they include policy regulation, wars, pandemics, export controls, and weather [3][8]. 3.1.2 Commodity Rotation Framework - Based on financial attributes, the mean - reversion of commodity ratios (price - ratio effect) promotes price diffusion and rotation. For example, when the price ratio of copper to gold or oil exceeds the historical average, it may trigger a mean - reversion [15]. - Based on commodity attributes, economic cycle rotation and inventory cycles lead to the rotation of "precious metals - industrial metals - energy - agricultural products". In the recession period, precious metals are favored for their hedging value; in the recovery period, industrial metals take the lead; in the over - heating period, energy performs strongly; and in the stagflation period, agricultural products make up for the late - stage increase [15][19]. 3.2 Two Rounds of Typical Commodity Cycle Trends Review - The first round was in the 1970s, during the depression of the fourth Kondratieff cycle. The breakdown of the Bretton Woods system and two oil crises led to a tripling of the CRB index. Gold led the rally, followed by oil, and then agricultural products [28][34]. - The second round was in the early 21st century, driven by China's rise. The CRB index also tripled. LME copper led the early stage, oil had a more significant increase in the later stage, and agricultural products had a late - stage rally [28][37]. - After the 2008 subprime mortgage crisis, commodities followed the economic cycle rotation. Precious metals led in early 2009, industrial metals rebounded in the second and third quarters of 2009, oil prices climbed as the economy recovered, and after 2011, oil and agricultural products remained stable while precious metals and non - ferrous metals declined [40]. 3.3 Current Fundamental Situation and Rotation Status - In recent years, the prices of precious metals and non - ferrous metals have risen significantly, leading to expectations of a new commodity super - cycle. In 2025, precious metals and non - ferrous metals led the rally, energy was at the bottom, and agricultural products had not yet started [42]. - The drivers include the decline of the US dollar's reserve status, the double - loose monetary and fiscal policies in the Kondratieff depression, the demand for upstream resources driven by the AI technological revolution, the deepening of geopolitical contradictions leading to increased strategic reserves, and the return of manufacturing. However, due to the uncertain economic recovery, the typical commodity diffusion and rotation based on the cycle have not yet occurred. If the traditional economic cycle rotation becomes more obvious, the commodity rally will spread to black metals, energy, and agricultural products [46][54].

| 冠通期货 研究咨询部 王静 | | --- | | 执业资格证书编号：F0235424/Z0000771 | | 联系方式：010-85356618 | 使用本报告及其内容所引发的任何直接或间接损失概不负责 本报告仅向特定客户传送 任何机构和个人均不得以任何形式翻版 载。如引用、转载、刊发，须注明出处为冠通期货股份有限公司。 近五年涨跌幅均值 NYMEX原油 NYMEX天然 气 COMEX黄金 COMEX白银 LME铜 LME锌 LME镍 LME铝 LME锡 LME铅 CBOT大豆 CBOT玉米 CBOT豆油 CBOT豆粕 CBOT小麦 CBOT稻谷 ICE11号糖 ICE2号棉 花 标普500 美元指数 CRB商品指 数 BDI 近十年平均 0.01% -3.23% 0.82% 1.95% 0.00% 0.11% 0.44% 0.27% 1.70% 0.53% 0.61% -0.19% -0.43% 0.81% -0.53% -1.71% -0.07% 1.28% 0.08% -0.03% 0.01% 0.67% -4.00% -3.00% -2.00% -2.00% 0.00% 2.00% 4.00% ...

Market Overview - The Hang Seng Tech Index has fallen below the 5400-point mark, indicating a significant pullback after previous gains in sectors like internet platforms and semiconductors[1] - The market is experiencing a "cold spring" with reduced trading volumes and profit-taking behavior observed across various sectors[1] Economic Indicators - Fixed asset investment has decreased by 3.80% year-on-year[5] - Retail sales have shown a modest increase of 0.90% year-on-year[5] - Exports have risen by 6.60% year-on-year[5] - M2 money supply growth stands at 8.54%[5] External Factors - Recent U.S. economic data, including non-farm payrolls and service sector PPI, exceeded expectations, leading to a cooling of interest rate cut expectations from the Federal Reserve[1] - Domestic institutions are showing a strong demand for profit-taking to manage uncertainties post-holiday[1] Asset Allocation Trends - Southbound capital has shifted from high-growth tech stocks to high-dividend assets like telecommunications and banking[1] - The short-term support level for the market is projected to be between 5100-5250 points, coinciding with the 250-day moving average[1] Commodity and Currency Movements - The latest crude oil inventory is reported at 44,684 million tons, an increase of 44,935 million tons from the previous week[3] - The dollar long position has decreased to 16,610 contracts, down by 1,335 contracts[3]

Market Overview - In January 2026, global funds saw a significant outflow from emerging markets, with China experiencing a notable decline in fund allocation[3] - The Brent crude oil price increased by 14.6%, while industrial and precious metals saw substantial gains, with LME nickel, copper, and aluminum rising over 10%[3] - The U.S. equity market attracted $44.9 billion, while non-U.S. equity markets only saw an inflow of $2.3 billion during the same period[12] Fund Flows - China’s equity market experienced an outflow of $96.2 billion in January, while the fixed income market saw a $17 billion outflow[25] - Active funds contributed $2.1 billion to the Chinese equity market, whereas passive funds saw a significant outflow of $98.2 billion[22] - The relative outflow ratios for Chinese fixed income and equity funds reached 11.0% and 7.2%, respectively, indicating a higher outflow compared to other major markets[22] Global Asset Allocation - As of December 2025, the global allocation to U.S. equities slightly decreased to 61.2%, while the allocation to Chinese equities was at a historical low of 31.5%[3] - Emerging markets reduced their allocation to Chinese equities, with the current allocation ratio at 37.7%, reflecting a downward trend[3] Risk Factors - Short-term asset price fluctuations may not accurately represent long-term trends, and potential economic downturns in Europe and the U.S. could impact market stability[3]

Key Points - The Federal Reserve maintained the benchmark interest rate at 3.50%-3.75%, pausing after three consecutive 25 basis point cuts, aligning with market expectations. Fed Chair Powell indicated that rate hikes are not a basic assumption for future actions, emphasizing the Fed's independence [1][19] - President Trump nominated former Fed Governor Kevin Walsh to succeed Powell as Fed Chair, pending Senate approval. However, Senate leaders from both parties have expressed intentions to block Walsh's nomination unless investigations into Powell are dropped. Analysts suggest that Walsh's leadership could lead to significant changes in Fed policy, potentially combining rate cuts with balance sheet reduction [2][20] - Walsh's nomination triggered hawkish expectations, causing a historic drop in global precious metals markets. Silver fell over 35%, gold dropped nearly 13%, and platinum and palladium also saw significant declines [3][20] - China's January manufacturing PMI was reported at 49.3, a decrease of 0.8 percentage points, indicating a decline in manufacturing activity. The non-manufacturing PMI also fell to 49.4, reflecting reduced business activity in the construction sector [4][21] - In the U.S., durable goods orders for November 2025 increased by 5.3%, the largest growth in six months, surpassing the expected 3.7% increase. Core durable goods orders rose by 0.5%, marking the eighth consecutive month of growth [5][21] - Trump stated that he is not concerned about the dollar's performance, suggesting it is returning to its appropriate level. Following his comments, the dollar index fell over 1%, reaching a nearly four-year low [6][21] Market Review Futures Market - ICE Brent crude oil rose by 7.32% to $69.83, while COMEX gold fell by 2.12% to $4907.5. The dollar index decreased by 39.01 basis points, leading to a depreciation of the yuan by 102 basis points [22][24] Stock Market - The A-share market saw a decline, with the small-cap index dropping 3.78%, while the Shanghai 50 index increased by 1.13%. The overall market sentiment has softened as the spring rally comes to an end [26][30] Bond Market - In the bond market, credit bonds generally declined, with 3Y and AA- bonds down by 7 basis points. Government bonds also saw slight declines, with 3Y, 5Y, and 10Y bonds down by 2 basis points [13][32]

每经AI快讯，伦敦基本金属期货集体下跌，LME铜持续走低，现跌超5%；LME镍跌超7%，LME锌、 铝跌近5%。 每经AI快讯，伦敦基本金属期货集体下跌，LME铜持续走低，现跌超5%；LME镍跌超7%，LME锌、 铝跌近5%。 ...

1. Report Industry Investment Rating - No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - This week, the U.S. Treasury yields showed a pattern of long - end rising and short - end falling, with the yield curve becoming steeper. The market still bets on a possible easing cycle later this year, driving down short - term interest rates, while long - term inflation and term premium expectations are under pressure due to uncertainties in fiscal and trade policies, budget deficits, and potential threats to the Fed's independence [1][12]. - The Fed maintained the federal funds rate target range at 3.50%–3.75% as expected in the January FOMC meeting. The Fed revised up its outlook on the U.S. economy, believing that economic growth momentum has strengthened, the labor market has shown signs of stabilization, and inflation remains high but has not deteriorated further [2][12]. - Trump nominated Kevin Warsh as the next Fed Chair. Warsh's past stance was hawkish, but he has shown signs of turning dovish recently. His future policy stance will be an important observation indicator for the market [2][13]. 3. Summary According to the Directory 3.1 U.S. Treasury Yield Review This Week 3.1.1 Warsh's Nomination and the Steepening of U.S. Treasury Yields - This week (January 23 - January 30, 2026), the changes in U.S. Treasury yields were as follows: 1 - month (-6bp, 3.72%), 1 - year (-5bp, 3.48%), 2 - year (-8bp, 3.52%), 5 - year (-5bp, 3.79%), 10 - year (+2bp, 4.26%), 30 - year (+5bp, 4.87%). The yield curve became steeper [1][12]. - The Fed maintained the federal funds rate target range at 3.50%–3.75% in the January FOMC meeting. Waller and Milan voted against, advocating a 25bp rate cut. The Fed revised up its outlook on the U.S. economy [2][12]. - Trump nominated Kevin Warsh as the next Fed Chair. Warsh defeated other candidates. His past stance was hawkish, but he has shown dovish signs recently [2][13]. 3.1.2 This Week's U.S. Treasury Auctions - On January 26, a $69 billion 2 - year U.S. Treasury bill auction was held. The winning yield was 3.580%, the bid - to - cover ratio was 2.75 times, and the tail was - 1.375 [18]. - On January 27, a $70 billion 5 - year U.S. Treasury bill auction was held. The winning yield was 3.823%, the bid - to - cover ratio was 2.34 times, and the tail was 0.300 [18]. - On January 29, a $44 billion 7 - year U.S. Treasury bill auction was held. The winning yield was 4.018%, the bid - to - cover ratio was 2.45 times, and the tail was 0.175 [19]. 3.2 U.S. Macroeconomic Indicator Comments - The U.S. PPI in December had a monthly环比 increase of 0.5%, much higher than the market expectation of 0.2%, and a year - on - year increase of 3%, indicating persistent inflation risks. The U.S. consumer confidence index in January dropped 9.7 points to 84.5, lower than the forecast of 90.6, hitting the lowest level since May 2014, reflecting consumers' increased concerns about the economic outlook [3][27]. - The Fed maintained the federal funds rate in the 3.5% - 3.75% range, pausing the easing cycle after three consecutive rate cuts. This decision reflects the Fed's recognition of the current economic resilience and its difficult balance between high inflation and a weak labor market [3][28]. - The number of initial jobless claims in the week ending January 24 decreased to 209,000, slightly lower than the previous week's revised figure of 210,000 and slightly higher than the market expectation of 206,000. The number of continued claims decreased to 1.827 million, the lowest since September 2024, showing a mild and stable labor market [3][28]. 3.3 Comments on Major Asset Classes - **Bonds**: German bond yields fell across the board, and Japanese bond yields fluctuated slightly overall. The decline in German bond yields was due to the market's expectation of the ECB maintaining or relaxing monetary policy. The movement of Japanese bond yields was affected by the slowdown in inflation and the Bank of Japan's cautious policy stance [30]. - **Equities**: Global equity markets were significantly differentiated, with Asian markets performing strongly. The top three gainers were the Korea Composite Index (+4.70%), the Hang Seng Index (+2.38%), and the India Sensex30 (+0.90%). The top three losers were the Vietnam VN30 (-2.31%), the German DAX (-1.45%), and the Nikkei 225 (-0.97%) [31]. - **Commodities**: Bitcoin, LME aluminum, and the hog index were under pressure. The top three gainers were Brent crude oil (+7.30%), London silver (+4.23%), and LME copper (+3.48%). The top three losers were Bitcoin (-5.97%), LME aluminum (-2.05%), and the hog index (-1.36%) [32]. - **Foreign Exchange**: The Japanese yen, Swiss franc, and South Korean won strengthened, while the U.S. dollar and some Asian currencies declined. The top three gainers were the Japanese yen (+2.99%), the Swiss franc (+2.60%), and the South Korean won (+1.78%). The top three losers were the Indian rupee (-0.58%), the Hong Kong dollar (-0.37%), and the U.S. dollar (-0.24%) [33]. 3.4 Market Tracking - The report provides multiple charts showing the changes in bond yields, stock indices, commodity prices, and foreign exchange rates of major global economies this week, as well as the latest economic data panels of the United States, Japan, and the Eurozone [35][38][41][43][46][53][58].