估值回归理性，震荡中寻觅新动能

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report In August, the domestic stock index futures market strengthened significantly. The market sentiment continued to improve under policy expectations and capital promotion, with small and medium - cap varieties outperforming weight - based contracts. The economic fundamentals showed structural improvement. In the short term, the market may enter a high - level shock stage, and the mid - term trend is still optimistic, but attention should be paid to volume changes and policy implementation results. [5][29] 3. Summary by Directory 3.1 Market Review - In August, the domestic stock index futures market strengthened significantly. IC and IM outperformed IF and IH. The monthly increase rates of IF, IH, IC, and IM were 11.24%, 7.50%, 14.47%, and 12.87% respectively. [5] - In the bond market, 30 - year and 10 - year treasury bond futures rose, while 5 - year and 2 - year treasury bond futures fell. [6] 3.2 Fundamental Analysis - In August, the manufacturing PMI was 49.4%, up 0.1 percentage points from the previous month, and the manufacturing prosperity level improved. [7] - In August, the non - manufacturing business activity index was 50.3%, up 0.2 percentage points from the previous month, and the non - manufacturing industry continued to expand. [10] - In August, the composite PMI output index was 50.5%, up 0.3 percentage points from the previous month, indicating that the overall expansion of China's enterprise production and business activities accelerated. [15] 3.3 Valuation Analysis - As of August 29, the PE, percentile, and PB of the CSI 300 index were 14.15 times, 86.86%, and 1.48 times respectively; those of the SSE 50 index were 11.94 times, 92.16%, and 1.31 times respectively; those of the CSI 500 index were 33.33 times, 78.82%, and 2.24 times respectively; and those of the CSI 1000 index were 46.87 times, 73.53%, and 2.50 times respectively. [18] 3.4 Other Data - The quantile of the current "total market value/GDP" in historical data was 86.46%, and the quantile in the past 10 - year data on August 29, 2025, was 86.95%. [28] 3.5 Comprehensive Analysis - In August, the stock index futures market continued to be strong, with significant increases in all major contracts. Small and medium - cap varieties outperformed weight - based contracts, and the technology - growth style dominated. The capital side remained loose, and the northbound funds continued to flow in. The economic fundamentals showed structural improvement. [29] - In the short term, the market may enter a high - level shock stage, and the mid - term trend is still optimistic, but attention should be paid to volume changes and policy implementation results. [29] 3.6 Operation Suggestions - Unilateral: Buy on dips, but beware of valuation risks. - Arbitrage: Participate in the IM/IH spread convergence strategy periodically and pay attention to style - switching signals. - Options: Use covered call writing to increase returns or buy put options to hedge against volatility risks. [30]