Report Industry Investment Rating No relevant information provided. Core Views - The results of the second Sino-US meeting were not significant. The US initiated new home appliance tariff policies and restrictions on key chip equipment. With the 90-day exemption period for various countries ending soon, there is a risk of tariffs impacting the market again in the next two weeks. It's necessary to guard against Trump's potential extreme pressure, similar to the situation in 2018. The domestic economy is entering a seasonal recovery window, and potential macroeconomic positives from the Politburo meeting in late June - July should be watched [4]. - The real estate sales are seasonally recovering from a low level, but the peak season is not booming. The service industry shows structural differentiation and a slight decline from its high level. In May, production and investment in the real economy declined, while consumption took the lead with the boost of fiscal subsidies. The logic of manufacturing rush exports continues, the domestic supply - demand contradiction is marginally cooling, and prices are expected to oscillate upwards. Attention should be paid to whether fiscal policy will further support the economic center in the second half of the year [4]. - Domestic liquidity is generally loose, and overseas liquidity is also tending to be loose due to the Fed's dovish guidance and declining economic data. Financial conditions have significantly improved. Coupled with the expected rebound of the US dollar index, the domestic stock market will receive incremental funds, with inflows from passive ETFs and margin trading funds, while IPO and other equity financing and unlocking pressures remain [4]. - After a short - term rebound, the valuations of various indices are still at a relatively high level in the historical neutral range. The stock - bond risk premiums at home and abroad are low, and the attractiveness of allocation funds is average [4]. - The pressure on the macro and industrial fundamentals is facing a marginal reversal, financial conditions are generally loose, and the valuations of broad - based index markets are generally not cheap. Coupled with the expected return of US tariff policy pressure, the stock market's upward path in the third quarter may be characterized by frequent setbacks, with an overall oscillatory upward trend. Policy - level macro expectations, excessive domestic liquidity, and the support of stable funds will support the lower limit of the stock market adjustment. It is recommended to actively go long on stock index futures during sharp declines in July. In terms of style, first go long on IC and IM, then on IF and IH, or conduct an arbitrage strategy of going long on IM and short on IF [4]. Summary by Directory 1. Market Review - Global Stock Market Performance: In the past month, A - shares led the global stock market rally, while European stocks led the decline. The performance order is: ChiNext > Dow Jones > Nikkei 225 > FTSE Emerging Markets > Hang Seng Tech > CSI 300 > German stocks > FTSE Europe. Specific index increases include: Shanghai Composite Index 2.29%, Shenzhen Component Index 3.37%, ChiNext Index 6.58%, etc. [8][9] - Industry Performance: In the past month, the comprehensive finance sector led the rise, while the food and beverage sector led the decline [12]. - Futures Performance: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.48%, 0.53%, 0.91%, and 1.26% respectively, with significant narrowing of the discounts. The inter - period spread rates (current month and next month) of the four major stock index futures changed by - 0.16%, - 0.2%, 0.16%, and 0.16% respectively. The inter - period discount of IH increased slightly, while those of IF, IC, and IM narrowed slightly. The inter - period spread rates (next quarter and current month) of the four major stock index futures changed by - 0.08%, - 0.12%, 0.21%, and 0.35% respectively. The long - term discounts of IH and IF increased slightly, while those of IC and IM narrowed slightly [16][17] 2. Fund Flow - Margin Trading and Market - Stabilizing Funds: In June, margin trading funds flowed in 37.5 billion yuan, reaching 1.84 trillion yuan. The proportion of margin trading balance to the circulating market value of the Shanghai and Shenzhen stock markets decreased by 0.02% to 2.27%. The scale of passive stock ETF funds reached 3.0185 trillion yuan, exceeding 3 trillion yuan for the first time, an increase of 68.35 billion yuan from the previous month. The share was 199.594 billion shares, with a redemption of 7.92 billion shares from the previous month [22]. - Industrial Capital: In June, equity financing was 541.96 billion yuan, with 6 companies involved. Among them, IPO financing was 8.73 billion yuan, private placement was 533.23 billion yuan, and convertible bond financing was 4.35 billion yuan. The scale of equity financing rebounded significantly to a high level. The market value of restricted - share unlockings (including additional issuance, placement, rights issue, equity incentive, etc.) was 218.5 billion yuan, an increase of 109.98 billion yuan from the previous month, showing a continuous marginal increase and ranking second highest in the year [25] 3. Liquidity - Money Supply: In June, the central bank's OMO reverse repurchase matured at 5.298 trillion yuan, and reverse repurchase was issued at 6.3795 trillion yuan, with a net money injection of 1.0815 trillion yuan. The liquidity in the open - market business was marginally loose at the end of the quarter. The MLF was issued at 300 billion yuan and matured at 182 billion yuan in June, with net issuance for four consecutive months, and the overall liquidity supply was neutral and tending to be loose [27]. - Money Demand: In June, the issuance of national bonds was 1.5958 trillion yuan, and the maturity was 889.65 billion yuan, with a net money demand of 706.15 billion yuan; the issuance of local bonds was 1.34898 trillion yuan, and the maturity was 484.32 billion yuan, with a net money demand of 864.65 billion yuan; the issuance of other bonds was 7.22604 trillion yuan, and the maturity was 6.6366 trillion yuan, with a net money demand of 589.43 billion yuan. The total bond market issuance was 10.17082 trillion yuan, and the maturity was 8.01058 trillion yuan, with a net money demand of 2.16023 trillion yuan. The debt financing demand in the bond market remained high, driven by the joint efforts of national bonds, local government bonds, and corporate debt financing [30]. - Fund Price: Last month, DR007, R001, and SHIBOR overnight rates changed by 3.2bp, - 12.6bp, and - 10bp respectively, reaching 1.7%, 1.44%, and 1.37%. The issuance rate of inter - bank certificates of deposit rebounded by 0.7bp, and the CD rate issued by joint - stock banks dropped by 3bp to 1.67%. The fund rate was significantly lower than the 1 - year MLF rate of 2% and slightly lower than the policy rate DR007 of 1.7%. The fund supply was loose, the debt financing demand was strong, but the real - economy financing was weak, and the fund price generally oscillated at a low level [33]. - Term Structure: Last month, the yield of the 10 - year national bond changed by - 2.3bp, the yield of the 5 - year national bond changed by - 5.6bp, and the yield of the 2 - year national bond changed by - 10.3bp; the yield of the 10 - year policy - bank bond changed by - 2.1bp, the yield of the 5 - year policy - bank bond changed by - 5.2bp, and the yield of the 2 - year policy - bank bond changed by - 5.2bp. Overall, the yield term structure steepened significantly in June due to the central bank's liquidity injection in the open market, which led to a significant decline in the short - end. The credit spread between national bonds and policy - bank bonds widened at the short - end [37]. - Sino - US Interest Rate Spread: In June, the yield of the US 10 - year Treasury bond changed by - 14.0bp to 4.29%, the inflation expectation changed by - 3.0bp to 2.29%, and the real interest rate changed by - 11.0bp to 2.00%. Risk - asset prices rose due to the improvement of financial conditions. The 10 - 2Y spread of US Treasury bonds changed by 5.0bp to 56.0bp. The inversion of the Sino - US interest rate spread narrowed by 9.8bp to - 264.38bp, and the offshore RMB appreciated by 0.47%. The US dollar - RMB exchange rate oscillated around the central level of the past three - year range [40] 4. Macroeconomic Fundamentals - Real Estate Demand: As of June 26, the weekly trading area of commercial housing in 30 large - and medium - sized cities was 2.928 million square meters, a seasonal increase from 2.021 million square meters of the previous week, but at a relatively low level compared to the same period. Compared with the same period in 2019 before the pandemic, it decreased by 32.1%. Second - hand housing sales declined seasonally, with a slight month - on - month decrease, at a relatively low level in the past seven years. The high - frequency sales trends of new and second - hand housing in the real estate market diverged last month, with new housing recovering but second - hand housing falling back to a low level. Overall, the real estate market remained weak, and the pulse effect of the new real estate policies faded. The overall sales center of the real estate market returned to a low level, and more incremental policies were awaited for boosting [43] - Service Industry Activity: As of June 27, the weekly average daily passenger volume of the subway in 28 large - and medium - sized cities remained at a high level, reaching 81.26 million person - times, an increase of 1.8% compared to the same period last year and 32.5% compared to the same period in 2021. The economic activity in the service industry declined seasonally from a high level. The Baidu congestion delay index of 100 cities rebounded compared to the previous week, at a neutral level in the past three years. Overall, the economic activity in the service industry tended to a natural and stable growth level, with insignificant monthly changes [47] - Manufacturing Tracking: In June, the capacity utilization rates of the manufacturing industry showed mixed trends. The capacity utilization rate of steel mills changed by 0.14%, that of asphalt by 3.8%, that of cement clinker enterprises by 2.06%, and that of coke enterprises by - 2.31%. The average operating rate of the chemical industry chain related to external demand changed by - 0.24% compared to the previous month. Overall, the domestic demand trend in the manufacturing industry rebounded, while the external demand was weak [51] - Cargo Flow: Both cargo and passenger flows remained at relatively high levels. The postal express industry dominated by e - commerce and the civil aviation flight guarantee sector dominated by tourism consumption showed strong growth, with continuous weekly increases. The highway and railway transportation were relatively weak, with limited growth rates. Attention should be paid to the potential seasonal decline risk from July to August [56] - Import and Export: In terms of exports, the logic of rush exports after the Sino - US trade talks continued to play out. The port cargo throughput and container throughput rebounded after a short - term decline. From July to August, the risk of a second decline after the end of the 90 - day exemption period and the resurgence of tariff frictions should be guarded against [59] - Overseas Situation: In May, the US PCE inflation rebounded slightly, with the core PCE reaching 2.68%, an increase of 0.1% from the previous month. Structurally, it was mainly due to the significant rebound in the food and commodity sectors, which began to be affected by tariffs. The service and market - based sub - items rebounded slightly, and the decline of the energy sub - item narrowed, with the month - on - month growth rate returning to 0.2%. Assuming the tariff impact continues for the next three months with a 0.2% month - on - month growth rate, the annualized month - on - month rate is expected to rebound to 2.43%, still below the 2.5% level, providing data support for the Fed's interest - rate cut. Fed Chairman Powell sent a dovish signal during the Senate and House hearings. Coupled with the significant downward revision of the US GDP in the first quarter and the significant decline in residents' PCE income and consumption in May, the financial market began to optimistically revise its expectations for the Fed's interest - rate path. According to the CME's FedWatch tool, the market expects the number of interest - rate cuts in 2025 to increase to 3 times, with a cut range of about 50 - 75bp. The expected interest - rate cut times are in September, October, and December. The probability of an interest - rate cut in July rebounded to 18%, and the probability in September increased significantly. The terminal interest rate after the interest - rate cuts within the year is expected to be in the range of 3.5% - 3.75% [61][65] 5. Other Analyses - Valuation: The stock - bond risk premium in the past month was 3.41%, a decrease of 0.18% from the previous month, at the 71.3% quantile. The foreign - capital risk premium index was 4.45%, a decrease of 0.32% from the previous month, at the 29.3% quantile. The attractiveness of foreign capital was at a relatively low neutral level. The valuations of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices were at the 77.4%, 68.4%, 75.8%, and 59.1% quantiles of the past five years respectively, with relatively high valuation levels. The valuation quantiles changed by 8.8%, 14.9%, - 0.7%, and - 4.6% respectively compared to the previous month, indicating a marginal slight increase in the attractiveness of small - cap stocks and a marginal significant decrease in the attractiveness of large - cap stocks [68][73] - Quantitative Diagnosis: According to the seasonal pattern analysis, the stock market is in a period of seasonal oscillatory rise and structural differentiation in July. Growth stocks are relatively dominant in style, and the cyclical style first rises and then falls. Generally, the stock market tends to rise in July. Attention should be paid to the opportunities of going long on IC and IM during corrections, short - term trading on IF and IH after sharp rises, and medium - term long - term trading on IF and IH after sharp declines [76]
股指月报：美国关税豁免将到期，关注特朗普极限施压风险-20250630
Zheng Xin Qi Huo·2025-06-30 05:19