股指期货策略月报-20250428

Report Industry Investment Rating - Not provided in the document Core Viewpoints - In April, the market rebounded from the bottom. Wind All - A closed down 3.15% monthly, with different performance among various indices. The US tariff war, though temporarily halted, may recur due to its underlying financial issues. Attention should be paid to the growth indicators in the A - share annual and quarterly reports, and the long - term trend of A - shares is mainly affected by the de - leveraging process of various sectors under the debt cycle. Also, capital expenditure and profitability of domestic and foreign demand - related sectors need to be monitored [3][6]. - The equity risk premium is at a relatively high historical level. Short - term funds support the stock market, but market sentiment has cooled significantly, and the momentum of both fund inflows and market sentiment has weakened weekly [3][9][18]. - Sectors with high overseas revenue are more sensitive to tariff policies as most of them are in the development stage with high capital expenditure and low ROE, adopting a thin - profit - high - turnover model [3][20]. Summary by Relevant Catalogs 1. Market Overview - Index Performance: In April, Wind All - A closed down 3.15% monthly. Specifically, CSI 1000 fell 4.61%, CSI 500 fell 3.94%, SSE 50 fell 0.63%, and SSE 300 fell 2.58%. Weekly, small - cap indices rebounded more strongly, with CSI 1000 rising 1.85% and SSE 50 falling 0.33% [3][6]. - Tariff Policy: The US tariff war, which started on April 2nd, has temporarily ended. However, due to the US's insufficient financial account financing ability and the need to balance the current account deficit, tariff policies may change again in the future [3][6]. - Financial Reports: At the end of April, A - shares will fully disclose the 2024 annual reports and 2025 first - quarter reports. The market is more concerned about nominal growth data, and the year - on - year revenue growth rate in the financial reports can provide indirect verification. In the first three quarters of 2024, the cumulative year - on - year revenue growth rate of A - shares in Shanghai and Shenzhen stock markets, excluding the financial sector, was - 1.7% ( - 0.6% in the semi - annual report) [3][6]. 2. Market Indicators - Interest Rate and Valuation: At the end of April, the yield of the 10 - year active treasury bond was 1.67%. The dynamic P/E ratio of Wind All - A was 18.22 times, and the equity risk premium was still at a relatively high historical level. The PE_ttm of CSI 1000 was 37.23, and that of SSE 300 was 12.26, with both valuation levels slightly lower than last month [9]. - Fund Flow: From April 1st to April 24th, the net subscription of the four major broad - based index ETFs reached 193.6 billion yuan, with a single - day net subscription of 100.3 billion yuan on April 7th, a record high. However, the margin trading balance decreased by 110.5 billion yuan during the same period, indicating a significant cooling of market sentiment. Weekly, both showed weakening momentum [18]. 3. Overseas Revenue Sectors - Industry Concentration: Sectors with high overseas revenue are mainly concentrated in three industrial chains: high - end technology manufacturing, new energy vehicle industry chain, and energy and chemical products [20]. - Sensitivity to Tariffs: Most sectors with high overseas revenue are in the development and expansion stage, with high capital expenditure ratios (8% - 18% of revenue). Their ROE is lower than the A - share average (around 7.8%), adopting a thin - profit - high - turnover model, making them more sensitive to tariff policies [20]. 4. Policy and Data - Domestic Policies: Multiple policies have been introduced, including a 12 - trillion - yuan debt - resolution plan, a mention of "moderately loose monetary policy", a 2025 GDP growth target of 5%, a fiscal deficit rate of 4%, and a fertility reward policy in Hohhot [21]. - US Tariff Policy: The US "reciprocal tariff" plan was implemented on April 3rd. As of April 12, 2025, the US tariff rate on Chinese imports increased by 125%. The US also issued a tariff exemption list and a tariff suspension policy for some countries, while China issued a white paper on Sino - US economic and trade relations [21]. - Economic Data: In March, China's exports increased by 12.4% year - on - year (in US dollars), and imports decreased by 4.3% year - on - year (in US dollars). In the first quarter of 2025, China's GDP increased by 5.4% year - on - year, and the year - on - year growth rate of social retail sales in March was 5.9%, exceeding the average level of the demand side [21]. 5. Index and Option Performance - Index Performance: CSI 1000 fell 4.15% monthly, CSI 500 rose 3.94% monthly, SSE 300 fell 2.58% monthly, and SSE 50 fell 0.63% monthly, with the basis discount annualization showing a widening divergence for all [29][33][36][38]. - Option Indicators: Charts of historical volatility, volatility cones,持仓PCR, and 交易PCR for CSI 1000, SSE 300, and SSE 50 options are provided, but no specific analysis of these indicators is given in the text [42][51][58]. - Trading Slippage: Charts of IM long - and short - position trading slippage are provided, but no specific analysis is given [66]. 6. Corporate Profitability - Low - level Profitability: The profitability of listed companies remains at a relatively low level. In the third quarter of 2024, the revenue and net profit growth rates of the entire market, excluding the financial sector, showed different degrees of decline [77]. - Financial Indicators of Indices: The 2024 semi - annual report shows various financial indicators of different indices, including ROE, operating net profit margin, asset turnover, etc., with differences in growth and profitability among different indices [79].