Performance of all types of assets in the fifth week of May: The three major indexes of US stocks closed higher. Wind All A rose 0.87%, with the average daily turnover rising to 945.669 billion yuan. 18 of the 30 primary industries rose, with media, computers and communications performing relatively highly; Power equipment and new energy, medicine and coal underperformed. The credit bond index and the government bond index edged up by 0.11% and 0.15% respectively.
Text: Tianfeng macro Song Xuetao, Lin Yan
Previous Report: Risk Pricing | US expectations of further interest rate hikes rekindled - May W5 (Tianfeng Macro Linyan)
Rights
In the fifth week of May, the risk premium of Wind All A further recovered (median +0.08X standard deviation, 52%), with the CSI 300 rising to 63%, the SSE 50 to 59%, and mid-cap stocks (CSI 500) rising to 16%. The risk premium for financial, cyclical, growth, and consumption is 44%, 45%, 68%, and 63%.
In the fifth week of May, except for the stabilization of small-cap growth, the congestion of all styles of stocks decreased to varying degrees, and the congestion of growth was still approaching a lower position. The crowding levels of large-cap value, large-cap growth, mid-cap value, mid-cap growth, small-cap value, and small-cap growth are 68%, 14%, 48%, 12%, 50%, and 28%, respectively.
In the fifth week of May, the average congestion of 30 primary industries fell to the 39% decile. The most crowded are currently in media, telecommunications and power and utilities, with the least crowded in basic chemicals, real estate and consumer services.
bond
In the fifth week of May, the liquidity premium rose to the 24% percentile. Market expectations for future liquidity tightening are neutral (48% percentile), with term spreads rising to 34%; The credit premium rose to the 54% percentile, and the price-performance ratio of the credit sinking strategy began to show itself again.
Short-term trading congestion in interest rate bonds fell to the 80% percentile, and momentum began to wane. Short-term trading congestion in credit bonds rose to the 71% segment. The congestion of short-term trading in convertible bonds fell to the 32% decile.
commodity
Energy products: In the fifth week of May, crude oil fell 1% to $76.4/b. Crude oil trading congestion rose to the 20% percentile, and sentiment was low. Total U.S. oil reserves rose 0.55 percent, with strategic reserves falling 0.70 percent.
Base metals: In the fifth week of May, copper and aluminum rose 1.38% and 3.47% respectively, while Shanghai nickel fell 2.89%. The copper-to-oil ratio remains in the neutral position, the copper-gold ratio is below the neutral position, and copper is priced neutral on industrial attributes and neutral on financial attributes.
Precious metals: London gold spot price rose 0.09%. The congestion of non-commercial holdings in COMEX Gold fell to the 47% percentile, and speculative sentiment cooled below neutral. Weekly average holdings in spot gold-backed ETFs edged down 0.32%, and short-term trading congestion fell to 67%, a year-to-date low.
exchange rate
In the fifth week of May, the dollar index fell 0.16% to close at 104.0. The liquidity shock caused by the bankruptcies of some banks has eased, with the onshore USD liquidity premium rebounding to the 46% and the offshore USD liquidity premium continuing to rise to the 79% segment.
The offshore RMB exchange rate rose 0.47% to 7.096, the real interest rate differential between China and the United States fell to 47%, and the RMB odds were neutral. overseas
CME shows that the June rate hike expectation has been revised sharply downward, from more than 60% last week to 30%, but the probability of a July rate hike is still above 50%. In the fifth week of May, the nominal interest rate on the 10Y Treasury note fell by 11bp to 3.69%, the real interest rate on the 10Y Treasury note fell by 6bp to 1.51%, and the 10-year breakeven inflation expectation fell by 5bp to 2.18%. The US 10-2-year spread inversion deepened by 7bp to 81bp, and the 10-3-month spread inversion widened to 181bp, both of which are not leading indicators of recession. (See "Inverted interest rates do not equal recession")
In the fifth week of May, the three major indexes of U.S. stocks closed higher. The Dow Jones rose 2.02%, the S&P 500 and Nasdaq gained 1.83% and 2.04%, respectively. The risk premium of the S&P 500 remained at the 46% percentile, with the Nasdaq and Dow Jones both remaining at the 30th.
The U.S. credit premium remained at 42%, the speculative grade credit premium rose to 41%, the investment-grade credit premium remained at 44%, and the credit environment remained neutral and loose.
Risk Warning
further escalation of geopolitical conflicts; The slope of economic recovery is less than expected; Monetary policy tightened more than expected
Team introduction
Song Xuetao | Principal Investigator of Macro
Training lecturer of China Securities Association, 100 people of Insurance Asset Management Association. Ph.D. in Economics, North Carolina State University, USA. He used to be a visiting researcher of the Research Bureau of the People's Bank of China, a CF40 invited researcher, and published CF40 monographs, academic papers, central bank working papers, etc. 2018, 2019 and 2020 Golden Bull Award Most Valuable Analyst in the Market (Top 15), 2021 Golden Bull Award Best Analyst (3rd), 2020 and 2021 Wind Gold Analyst (3rd), Shanghai Securities Report Best Analyst (5th), 2019, 2020, 2021 Sina Golden Kirin Analyst, 2020 21st Century Gold Analyst (5th), 2020 and 2021 Shortlisted New Fortune Best Analyst.
Xiang Jingshu | researcher
He used to work for AHL, the core quantitative hedge fund of Man Investments. Master from London Business School. He is mainly responsible for the research of the US economy, global central banks and US stocks and US debt.
Lin Yan | researcher
He used to work in the quantitative investment research department of Hongshang Asset (Sequoia Capital's securities asset management platform in China), responsible for commodity futures investment. Master of Financial Engineering from Wuhan University, mainly responsible for large-scale asset allocation and fundamental quantitative research.
Guo Weiwei | Assistant researcher with a master's degree in finance from Wuhan University, mainly responsible for ESG, industrial policy, and industry research.
Zhang Wei | Researcher with a master's degree in finance from the University of International Business and Economics, mainly responsible for economic policy and interest rate research.
Sun Yongle | Researcher, Master of Industrial Economics, Central University of Finance and Economics, mainly responsible for domestic macroeconomic and monetary liquidity research.