美债风险压制权益表现，中国小微盘高估风险仍存

Report Industry Investment Rating - The rating for stock index futures is "oscillation" [4] Core Viewpoints - The over - valuation risk of micro - and small - cap stocks has not dissipated. The valuation bubble of micro - and small - cap stocks and North - Securities 50 component stocks has fermented, and the high - level stocks still face risks. The transition from the "China narrative" - driven valuation boost to corporate profit repair has a long way to go [2][10] Summary by Directory 1. One - Week Views and Macro Key Event Overview - Next - Week View: The over - valuation risk of micro - and small - cap stocks persists. The valuation bubble of relevant stocks has caught market attention. The problem lies in both trading congestion and the significant valuation inflation caused by continuous capital speculation since last year. High - valuation entry offers low potential returns, and the fragile A - share market structure is also a concern [2][10] - This - Week Key Events: Multiple significant events occurred from May 19th to May 23rd, including the President's instruction on the "15th Five - Year Plan" preparation, China's economic data in April, the decline of LPR, the reduction of deposit interest rates by six major banks, the completion of the China - ASEAN Free Trade Area 3.0 negotiation, and various policy announcements [11][15][18][19] 2. One - Week Market Quotes Overview - Global Stock Market Weekly Overview: From May 19th to May 23rd, global stock markets denominated in US dollars declined. The MSCI Global Index fell 1.42%. South Africa's stock index led with a 2.36% increase, while the US stock market performed worst with a 2.62% decline [1][26] - Chinese Stock Market Weekly Overview: In the same period, among Chinese equity assets, Hong Kong stocks > A - shares > Chinese concept stocks. The average daily trading volume of A - shares in Shanghai, Shenzhen, and Beijing decreased by 929 billion yuan compared with last week. Only the Shenzhen 50 and micro - cap stock indices slightly rose, while the North - Securities 50 index dropped 3.68% [28] - Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets: Most global GICS primary industries declined this week. The leading industry was consumer staples (+0.65%), and the underperforming one was information technology (-3.06%). In the Chinese market, healthcare (+1.75%) led, and the information technology industry fell (-2.44%) [32] - Weekly Overview of China A - Share CITIC Primary Industries: This week, 9 out of the A - share CITIC primary industries rose (21 last week), and 21 declined (9 last week). The leading industry was the comprehensive sector (+1.93%), and the sector with the largest decline was comprehensive finance (-4.79%) [34] - Weekly Overview of China A - Share Styles: The large - cap value style was dominant this week [38] - Overview of Stock Index Futures Basis: The report provides the basis data of IH, IF, IC, and IM in the past 6 months [44][48] 3. Index Valuation and Earnings Forecast Overview - Broad - Based Index Valuation: The report presents the PE, PB, and their eight - year percentile, as well as the changes since the beginning of the year for multiple broad - based indices, such as the Shanghai Composite 50, CSI 100, etc [49] - Primary Industry Valuation: It shows the PE, PB, and related data of various primary industries, including petroleum and petrochemicals, coal, etc [50] - Broad - Based Index Equity Risk Premium: The ERP of the Shanghai - Shenzhen 300, CSI 500, and CSI 1000 slightly decreased this week [51][53][56] - Consensus Earnings Growth Rate of Broad - Based Indices: The expected earnings growth rates of the Shanghai - Shenzhen 300, CSI 500, and CSI 1000 in 2025 were adjusted downwards, while those in 2026 were adjusted upwards [57] 4. Liquidity and Fund Flow Tracking - Interest Rates and Exchange Rates: This week, the 10 - year Treasury yield rose, the 1 - year yield fell, and the spread widened. The US dollar index was 99, and the offshore RMB exchange rate was 7.17 [68] - Trading - Type Fund Tracking: The average daily north - bound trading volume decreased by 18.5 billion yuan compared with last week, and the margin trading balance increased by 2 billion yuan [67] - Fund Inflow Tracking through ETFs: The shares of ETFs tracking the Shanghai - Shenzhen 300, CSI 500, CSI 1000, and CSI A500 decreased by 900 million, 200 million, 500 million, and 4.1 billion respectively this week [73][76] 5. Domestic Macro High - Frequency Data Tracking - Supply - Side: The blast furnace operating rate decreased [78] - Consumption - Side: The number of second - hand housing listings decreased, and international oil prices slightly recovered [88] - Inflation Observation: Agricultural product prices reached a new low this year [99]