运作报告半夏宏观对冲2025年6月报

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]