Evaluation of the price/performance ratio and trading opportunities of various types of assets in the first week of September:
Equity-Northbound funds fluctuate greatly, and A shares have a high probability of maintaining high volatility
bonds-special bonds have completed the annual issuance plan 50%
commodity-supply factors continue to affect the price of oil and copper
exchange rate-RMB exchange rate may weaken in the second half but the range is limited
Overseas-Jackson Hole meeting did not exceed expectations, Taper Talk boots basically landed
Text: Tianfeng Macro Song Xuetao/Contact person Lin Yan
Figure 1: Return on various assets in the fourth week of August (%)
Source: WIND, Tianfeng Securities Research Institute
Figure 2: The risk premium of various domestic assets/strategies in the first week of September
Source: WIND, Tianfeng Securities Research Institute
Figure 3: The risk of various overseas assets/strategies in the first week of September Premium
Source: WIND, Tianfeng Securities Research Institute
Note: Equity risk premium represents the risk-return ratio of stocks, risk premium means higher risk-return ratio;
liquidity premium is the market's price mapping for the current tightness of liquidity;
liquidity expectations are the market's expectations for the tightness of forward liquidity.
1. Equity: Northbound funds fluctuate greatly, and A shares are likely to maintain high volatility
the fourth week of August,A shares rebounded, and Wind rose 2.44% for the entire A week. Cycles, growth, and consumption rose by 5.40%, 3.01%, and 0.96% respectively, and the financial rebound since August has temporarily come to an end (down 1.29%). Mid-cap stocks continued to dominate, large-cap stocks ( SSE 50 and CSI 300) rose 1.64% and 1.21%, and mid-cap stocks ( CSI 500 ) rose 3.76% (see Figure 1).
The overall market sentiment of A shares improved slightly, but it is still at a historical low of 10%. The short-term trading congestion of SSE 50 and CSI 300 rebounded to 19% and 28%; the congestion of mid-cap stocks also rose slightly to 58%. The derivatives market’s optimism towards mid-cap stocks has cooled (the CSI 500 basis dropped to 36%), while sentiment remains pessimistic on large-cap stocks (the CSI 300 and SSE 50 basis are at 13% and 26% respectively). Lower position).
Under the environment of loose liquidity and tight structural credit, the medium-term structural market will continue. In terms of sector congestion, the order of from high to low is still cycle>growth>finance>consumption. Among them, the short-term transaction congestion difference of cycle + growth and consumption has been near the highest level in history.
Wind's relative valuation level for all A remains [neutral] (see Figure 2). The valuations of SSE 50 and CSI 300 are [neutral to cheap], and the valuation of CSI 500 is [cheaper]. Financial valuation is [very cheap] (92% quantile), growth valuation is [cheap] (72% quantile), the cycle is the same as the previous period (57% quantile), and consumption remains [cheaper].
The weekly net inflow of northbound funds is 17.997 billion, which is again optimistic. northbound volatility is relatively large, and A-shares are likely to maintain high volatility in the short term. The net outflow of southbound funds is HKD 4.795 billion,The risk premium of the Hang Seng Index is near the median, and the price/performance ratio is average.
2. Bonds: special bonds have completed 50% of the annual issuance plan
In the fourth week of August, 114.913 billion yuan of new special bonds were issued, with a net financing amount of 97.295 billion yuan. As of the end of August, special bonds The bond has just completed 50% of the annual issuance plan. 's central bank reverse repurchase invested 120 billion yuan to support cross-month liquidity demand and speed up the issuance of special bonds. 's special bond issuance accelerated and cross-month liquidity demand was high, and the liquidity premium rose back to the 33% quintile. The price of DR007 has risen rapidly, but the price of the 1-year bank certificate of deposit is still much below the policy interest rate ( MLF ). It is expected that the liquidity premium will fall again after the cross-month period, and the liquidity environment will remain loose. 's mid- and long-term liquidity expectations are basically the same as last week.
In the fourth week of August, the term premium continued to decline (61% quintile), and the credit premium continued to rise (38% quintile).
In the 4th week of August, due to regulatory restrictions on bank wealth management and amortized cost method, the optimism in the bond market has cooled. The short-term congestion of interest rate bonds has dropped to the 78% quintile, but long-term interest rate bonds are still being traded Crowded. The short-term crowdedness of credit bonds fell to the 56% quintile, and the crowdedness of convertible bonds fell to the 78% quintile.
3. Commodities: Supply factors continue to affect the price of oil copper
In the fourth week of August, the prices of industrial products mostly rose. The apparent consumption of rebar rebounded slightly, and the apparent consumption of hot-rolled coils fell.Crude steel production has certain support to steel prices. On August 23, Ganqimaodu Port suspended Mongolian coal imports for two weeks, coal prices remained strong, and crude steel production declines are expected to put pressure on coking coal.
The third batch of national reserve copper began to be released on September 1, and the quantity was greater than the previous two rounds. The copper price remained volatile and consolidated. The rebound in processing fees shows that the inflection point of supply and demand has appeared, and overseas supply is affected by the strike to provide support to copper prices. COMEX Copper's non-commercial position congestion dropped slightly to the 50% quintile, and market sentiment was neutral.
In the 4th week of August, oil prices rebounded, and oil distribution rose 9.96%. After setting the biggest weekly decline in the year last week, this week set the biggest weekly increase since June 2020. At the beginning of the week, a fire on an offshore platform in the Gulf of Mexico affected 440,000 barrels of output per day. The hurricane on the weekend forced the closure of offshore platforms and refineries in the Gulf of Mexico. Oil production in the Gulf of Mexico decreased by 59% and natural gas production decreased by 49%, leading to the United States and the other side of the Atlantic. Energy prices have soared.
The OPEC+ ministerial meeting will be held on September 1, and it is expected that the production increase plan will continue. In the fourth week of August, the cumulative number of confirmed cases in the United States in a single week exceeded 1.0981, and Delta still rebounded rapidly. The current oil price is at a high level, but the gap between supply and demand is still narrowing. Be wary that oil prices will fall again with risk appetite. In the derivatives market, the discount rate of the main oil distribution contract relative to the 6-month forward month contract rose slightly to 4.2%. is bullish on the supply of long-term crude oil and the expectation of bearish forward crude oil prices remains unchanged.
On the 4th of August, the risk premiums of energy, chemical and industrial agricultural products were all at historically low levels, and their valuations were [expensive].
4. Exchange rate: The RMB exchange rate may weaken in the second half of the year, but the range is limited.
In the fourth week of August, the US dollar index fell 0.83% to close at 92.68.Spot gold prices in London rose slightly by 2% to close at US$1816.52. COMEX Gold 's non-commercial net-long position ratio rebounded to 51% of the historical quintile, with a neutral degree of congestion.
USD/CNY (onshore) rose slightly to close at 6.47. The short-term congestion of RMB transactions remained at a relatively low level (26%). In the second half of the year, the weakening of China's economy and the further loosening of the currency, compared with the US's release of a currency convergence signal, so there is pressure on the RMB exchange rate to depreciate. However, China's economic cycle and policy cycle are both ahead of the United States, and the difference is not significant. It is expected that the RMB depreciation space is limited. In the fourth week of August, the amount of global capital flowing into and out of China's stock and bond markets (weekly) was basically the same, and the direction of cash flow in the financial market had a neutral effect on the RMB exchange rate.
5. Overseas : Jackson Hole conference is a pigeon, Taper Talk boots are basically on the ground
At the Jackson Hole central bank annual meeting on August 27, Powell gave a much-watched speech, except for suggesting that QE will be reduced during the year In addition, Powell emphasized that the Taper timing has nothing to do with interest rate hikes and temporary inflation, which was interpreted by the market as a pigeon.
10Y U.S. Treasury interest rates rebounded slightly by 5bp before the Jackson Hole meeting. After Powell’s mild Taper Talk and temporary inflation statements, the U.S. dollar index and U.S. Treasury interest rates fell, while U.S. stocks and commodities rose. The 10Y real interest rate dropped to -1.08%, and inflation expectations rebounded to 2.39%. will release August non-agricultural data in the United States on September 3. If the data is positively improved, FOMC will have a higher probability of publishing a specific Taper plan in September. It is necessary to pay attention to whether the start time and speed of Taper meet market expectations. On the whole, Taper is fully anticipated by the market, and the impact is getting smaller and smaller.
In the fourth week of August, the spread of the Delta virus is still increasing.The maturity premium of U.S. Treasuries rebounded to the 42% quintile, and the US dollar liquidity premium and credit premium are still at historical lows in the 8% and 12% quintiles.
In the 4th week of August, the sentiment of the US stocks was pulled back and forth by the epidemic situation and the landing of Taper boots, and they were in a relatively high volatility range. The valuation of U.S. stocks is not very expensive, but the price/performance ratio is not high. The risk premium of S&P 500 and Dow Jones is still at a low position (36% and 25%), NASDAQ_ The risk premium of span32span is near neutral (see Figure 3). US stocks’ second quarterly report is basically over, and the continuity of earnings recovery will be tested by the rapid end of economic recovery.
Risk warning
team introduction
Song Xuetao | macro team leader
, North Carolina State University, the most valuable PhD in Economics in 2018-2020 Analyst, 2019 Golden Unicorn Emerging Analyst, shortlisted in New Fortune and Best Analyst of Crystal Ball in 2020, Golden Unicorn Best Analyst, published central bank working papers, CF40 financial books and many academic papers.
Xiang Jingshu
Master of London Business School , mainly responsible for overseas macro and large-scale asset research. Previously worked for AHL, the core quantitative hedge fund of Insman Investment.
Zhao Honghe
Central University of Finance and Economics Master of Finance,Mainly responsible for domestic macroeconomic and policy research. Previously worked in the development strategy department of China Export & Credit Insurance Corporation .
Lin Yan
Wuhan University Master of Financial Engineering, mainly responsible for the research of large-scale asset allocation. Previously worked in the quantitative investment department of Hongshang Assets.
Guo Weiwei
Master of Finance from Wuhan University, mainly responsible for industry comparison and industry trend research.
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