股指月报：宏观利多预期褪去，经济在弱现实中缓慢回升-20250804

Report Industry Investment Rating - Not provided in the content Core Views - Short - term macro expectations have adjustment pressure after being fulfilled, but the medium - and long - term policy guidance remains bullish [4] - The domestic economy will maintain a weak reality. Pay attention to the improvement opportunities of cyclical industries that reverse deflation [4] - Domestic and overseas liquidity is expected to be loose, and the domestic stock market will receive incremental funds, but there are also some unfavorable factors such as the increase in the pressure of equity financing and the marginal increase in the pressure of share unlocking [4] - After a short - term sharp rise, the valuations of various indices have entered the neutral to high level in history, and the attractiveness of allocation funds is average [4] - In August, it is recommended to reduce long positions or conduct short - term shorting of IC and IM during rebounds, and go long on IF and IH during sharp drops. Also, use out - of - the - money put options to protect against adjustment risks [4] Summary by Directory 1. Market Review - Stock Market Performance: In the past month, A - shares led the rise, and the Nasdaq led the decline. The growth rate rankings of various indices are as follows: ChiNext > CSI 500 > Dow Jones > FTSE Emerging Markets > Hang Seng Index > Nikkei 225 > FTSE Europe > Nasdaq Composite. In terms of industries, steel led the rise, and comprehensive finance led the decline [7][8][12] - Futures Basis and Spread: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.7%, 0.45%, 0.12%, and 0.35% respectively, and the discounts of each futures contract significantly narrowed. The inter - period spread rates of the four major stock index futures (current month and next month) and (next quarter and current month) also changed, with different trends for different contracts [20] 2. Fund Flow - Margin Trading and Stabilization Funds: In July, margin trading funds flowed in 134.35 billion yuan to reach 1.98 trillion yuan, and the proportion of margin trading balance in the market value of tradable shares in the Shanghai and Shenzhen stock markets increased by 0.07% to 2.33%. The scale of passive stock ETF funds exceeded 3 trillion yuan, an increase of 78.13 billion yuan from the previous month, but the share decreased by 11.65 billion shares [23] - Industrial Capital: In July, equity financing was 46.49 billion yuan, and the scale of equity financing significantly declined to a low level. The market value of share unlocking was 288.39 billion yuan, a month - on - month increase of 69.89 billion yuan, and the marginal increase continued [26] 3. Liquidity - Money Supply: In July, the central bank's OMO reverse repurchase had a net withdrawal of 36.43 billion yuan, and the MLF had a net injection of 10 billion yuan. The overall liquidity supply was neutral to loose [28] - Money Demand: In July, the net demand for money in the bond market was 208.386 billion yuan, maintaining a high level, driven by the debt financing needs of national bonds, local government bonds, and enterprises [31] - Fund Price: In July, DR007, R001, and SHIBOR overnight rates changed by - 49.1bp, - 73.1bp, and - 10.7bp respectively, and the issuance rates of inter - bank certificates of deposit also decreased. The overall fund price rebounded slightly at a low level [34] - Term Structure: In July, the yield term structure of bonds flattened slightly, and the credit spread between national bonds and policy - bank bonds widened at the long - end [38] - Sino - US Interest Rate Spread: In July, the Sino - US interest rate spread inverted degree narrowed, the offshore RMB depreciated by 0.5%, and the US dollar against the RMB oscillated at the central level of the nearly three - year range [41] 4. Macroeconomic Fundamentals - Real Estate Demand: As of July 31, the weekly transaction area of commercial housing in 30 large - and medium - sized cities seasonally rebounded but was at a relatively low level in the same period. The second - hand housing sales seasonally declined. The real estate market was generally weak, but rigid demand supported the lower limit [44] - Service Industry Activities: As of August 1, the subway passenger volume in 28 large - and medium - sized cities remained high, and the service industry economic activities were at a high level. The traffic congestion delay index in 100 cities decreased, and the service industry economic activities tended to grow naturally and stably [48] - Manufacturing Tracking: In July, the capacity utilization rates of the manufacturing industry were differentiated. The overall internal and external demand of the manufacturing industry was still under pressure [52] - Goods Flow: The goods flow and passenger flow remained at a relatively high level, but the growth in some fields cooled down weekly. The highway and railway transportation were relatively weak, and there was a seasonal decline after August [57] - Import and Export: The export rush after the Sino - US trade talks ended, and the export was expected to be under pressure from August to September [59] - Overseas Situation: In the US in July, the employment market was mixed, the ISM manufacturing PMI dropped to the lowest level in the year, and the market's expectation of the Fed's interest rate cut increased [62][66] 5. Other Analyses - Valuation: In the past month, the risk premium of the stock - bond market decreased, and the foreign capital risk premium index also decreased. The relative valuation levels of major indices were not low, and the attractiveness of small - cap stocks decreased significantly [69][74] - Quantitative Diagnosis: According to the seasonal law, the stock market is in a period of seasonal shock decline and structural differentiation from August to September. It is recommended to pay attention to the trading and arbitrage opportunities of different index futures [77]