基差方向周度预测-20250829

Report Summary 1) Report Industry Investment Rating - No information provided 2) Core Viewpoints of the Report - In July, the decline of profits of industrial enterprises above designated size narrowed for two consecutive months, and the profits of high - tech manufacturing increased significantly year - on - year, playing a leading role [2]. - Shanghai's six departments jointly issued a notice to optimize and adjust real estate policies, stimulating the real estate sector to lead the gains. The trend of real estate stopping decline and stabilizing may be further strengthened [2]. - The State Council issued an "Artificial Intelligence + Action Opinion", and the State Council Information Office press conference stated that policies to expand service consumption would be introduced to stimulate new growth in service consumption [2]. - In the overseas market, the US GDP in the second quarter was revised upwards due to a significant increase in fixed - asset investment, while the PCE price index remained the same as the initial value [2]. - This week, the market trading volume reached a high again, with the total A - share market achieving a turnover of 3.2 trillion yuan in two trading days, ranking second in history. Leveraged funds continued to flow in, with a net inflow of 883 billion yuan this week after a net inflow of over 900 billion yuan last week [2]. - The speculation in micro - cap stocks took a slight rest, the micro - cap index led the decline among core indices, and the market of the STAR Market and ChiNext continued. Overall, mid - cap stocks outperformed large - cap stocks, and large - cap stocks outperformed micro - and small - cap stocks. The CSI 500 rose more than 3%, leading the core broad - based indices in Shanghai and Shenzhen [2]. - In terms of basis, the basis dropped rapidly during the gap - up on Monday this week, indicating weak sentiment on the futures side. IH and IF were still in a slight premium state, while the annualized discounts of IC and IM returned to around 8% and 11%, respectively, falling into the lower quantile range of history. The near - end of the term structure declined, and the hedging cost - effectiveness of far - month contracts increased. There was still some profit space for cash - and - carry arbitrage in near - month contracts, but it had been significantly compressed, and the impact of transaction cost wear was large. The cost - effectiveness of cash - and - carry arbitrage at the current position declined significantly [2]. - The model predicts that the basis of IH, IF, and IC will weaken next week [3]. 3) Summary According to Related Contents Market Situation This Week - Industrial profit: The decline of profits of industrial enterprises above designated size in July narrowed for two consecutive months, and high - tech manufacturing profits increased significantly year - on - year [2]. - Real estate policy: Shanghai optimized real estate policies, and Beijing and Shanghai implemented policies to stabilize the property market, with the real estate market showing a trend of stopping decline [2]. - Policy on service consumption: The State Council issued an "Artificial Intelligence + Action Opinion", and policies to expand service consumption will be introduced [2]. - Overseas market: The US GDP in the second quarter was revised upwards due to fixed - asset investment growth, and the PCE price index remained unchanged [2]. - Market trading volume: The total A - share market achieved a turnover of 3.2 trillion yuan in two trading days, ranking second in history [2]. - Fund flow: Leveraged funds continued to flow in, with a net inflow of 883 billion yuan this week after over 900 billion yuan last week [2]. - Stock index performance: Mid - cap stocks outperformed large - cap stocks, and large - cap stocks outperformed micro - and small - cap stocks. The CSI 500 rose more than 3% [2]. - Basis situation: The basis dropped rapidly on Monday, IH and IF were slightly in premium, IC and IM annualized discounts returned to around 8% and 11%, far - month contract hedging cost - effectiveness increased, and near - month contract cash - and - carry arbitrage profit space was compressed [2] Basis Forecast for Next Week - The model predicts that the basis of IH, IF, and IC will weaken next week [3] Recent Forecast Conclusion - There are historical data on the real and predicted basis changes of IF, IH, IC, and IM, but no specific conclusions are drawn from the data in the text [4]