This week’s focus: on the external market, last week’s market risk appetite has not been repaired from the decline caused by the mutant virus Omicron. After the re-election of US Federal Reserve Chairman Powell, the hawkish speech and the non-agricultural data are less than expected, resulting in the continued decline of the market, the sharp decline of US bond interest rate, and the VIX Index of US stocks soared to a high of 30.67 this year; However, at the same time, the fall of oil prices led to the decline of US inflation expectations, which alleviated the previous market’s concern about inflation pressure to a certain extent. In addition, the strong earnings support of US stocks in the third quarter and the overall significant downward risk are limited. It is suggested to pay attention to the announcement of inflation data on December 10 and the statement made at the mid month FOMC meeting. In China, the expectation of steady growth under the downward pressure of the economy is mainly expected, the monetary policy is expected to maintain a stable and loose tone, the expectation of standard reduction is rising, and the contraction of short-term external risk appetite has brought some disturbance. However, in the near future, foreign capital is dominated by sustained net inflow, and the market can be expected at the end of the year. In terms of sectors, the rotation has accelerated recently, and the main line is scattered. We believe that the hard science and technology sector with good overall performance and continuous capital inflow is still in the downward cycle, especially the new energy sector (growth scarcity, policy support, high boom), independent logic big finance and military industry, and some boom consumption.
Market performance: last week, the overall risk assets continued the downward trend caused by Omicron virus in the early stage, and the US stocks fell violently, but the A-Shares were strong, the market stood at 3600 points, and the oil price continued to fall. On the whole, bonds > stocks > commodities, and emerging equities were better than developed ones; In China, the risk appetite of A-Shares is less affected by the mutated virus. Recently, the main line is scattered, the rotation of industry plates is accelerated, the value of CSI 800 is better than growth, and the small cap is better than the large cap as a whole; The bond market strengthened (CSI 300 + 0.84%, CSI 500 + 1.14%, gem + 0.28%, CSI 1000 + 1.05%, and China bond total wealth index – 0.12%); In terms of industries, the continuity of the recent sector is poor. Last week, some cycles, stability and high-end manufacturing styles dominated, and there was differentiation within consumption and finance. In terms of primary industries, architectural decoration, mining, military industry, public utilities, building materials, transportation, electronics and automobiles increased, while leisure services, medicine, media, textile and clothing, electrical equipment and nonferrous metals decreased; Hong Kong stocks did not stop falling and continued to fall sharply. Hang Seng index was – 1.30% and Hang Seng technology index was – 3.68%. In terms of industry, technology and optional consumption fell ahead; In Europe and the United States, U.S. stocks continued to decline due to the mutation virus and the lower than expected non-agricultural data, VIX rose to 30.67, U.S. bond interest rates continued to fall sharply under the influence of inflation expectations and non-agricultural data (NASDAQ – 2.62%, S & P 500-1.22%, U.S. 10 bond interest rate fell from 1.52% to 1.35%), and the euro area was relatively strong (FTSE 100 + 1.11%, Germany dax-0.57%); Led by oil prices, commodities continued to decline (oil distribution – 2.03%), iron ore (+ 4.42%), thermal coal (+ 2.82%), and precious metals fluctuated weakly (London gold – 0.49% / London Silver – 2.55% / copper – 4.25%).
Capital flow: last week, the net capital inflow from the North was + 15.117 billion yuan, and the recent rise of risk aversion in the external market still continued the net inflow; The net inflow from southbound last week was + 8.224 billion yuan, a net inflow for 8 consecutive trading days; In terms of industry, the top five net northward purchases last week were electronics, power equipment and new energy, non bank, medicine and military industry, with food and beverage, transportation and steel outflow leading; The top three net inflows in the past month are Dianxin, electronics and chemical industry. Last week, the net inflow of China’s equity ETFs was + 4.7 billion yuan, with the rise of energy and military industry. The share of pharmaceutical ETFs continued to rise recently, Hong Kong stocks and gold ETFs were significantly increased, and the scale of China concept Internet ETFs exceeded 30 billion. In terms of structure, the net inflows of CSI 300 (+ 2.59 billion) and SSE 50 (+ 1.055 billion) in broad-based ETFs are the top, and the rest share changes little; among industries, the top gainers are military (+ 3.54%) and energy (+ 5.11%), In terms of share, the net value of pharmaceutical products continued to decline but continued to increase (last week + 1.011 billion), and the holdings of information technology (- 1.126 billion) decreased more; in terms of themes, the net outflow of chips (- 1.111 billion) and consumption (- 234 million) was higher, and the rest share did not change much; in terms of major assets, Hong Kong stock products continued to decline recently, but the share continued to grow (last week + 3.192 billion), and gold (+ 2.124 billion) It was also overweight last week.
Last week’s return of reverse aggressive portfolio was + 0.16%, that of risk rebalancing portfolio was + 0.16%, and that of structured risk parity portfolio was + 0.18%. For details, please search “Anxin quantification” in wind PMS to obtain all strategy combinations
Risk tip: the data are all from the open market data, and the model may fail due to great changes in the market environment.
