股指期货策略月报-20250901

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The liquidity-driven market is not over yet. It may shift from a broad-based rally to a focus on specific themes. The index still has room to rise as the conditions for ending the liquidity-driven market are not yet mature [3]. - When making long positions, strategy is crucial. Fundamental growth themes are likely to be short-term hotspots. One can go long on A500 and hedge with CSI 300 index futures. The ChiNext Index can also be a long target with beta adjustment and hedging using index futures, while the STAR 50 may experience increased short-term volatility due to high weight concentration [3]. Summary by Directory 1. Market Conditions in August - Liquidity Drives Index Up: In August, the liquidity-driven market pushed the Wind All A index up by 10.93%. Last week, it rose 1.9% with an average daily trading volume of 2.98 trillion yuan. Small-cap growth stocks were strong, and the ChiNext and STAR Market indices led the gains. The CSI 1000 rose 11.67%, the CSI 500 rose 13.13%, the CSI 300 rose 10.33%, and the SSE 50 rose 7.22% [3][6]. - Index Valuation: The index valuations are above the one - standard - deviation level of the past five years, and the equity risk premium has significantly decreased [3]. - Sector Impact: The electronics sector drove the index up in August [13]. - Fund Flows: In August, 45 billion yuan of new equity funds and 14 billion yuan of hybrid funds were established, with more incremental funds to come. The margin trading balance increased by 256.4 billion yuan to 2.22 trillion yuan [28]. 2. Analysis of Liquidity - Driven Market - Historical Comparison: In the ROE downward cycle, there were significant index rallies in the second half of 2014 and early 2019. The current rally combines factors from both periods, and the conditions for ending the liquidity - driven market are not yet met [3]. - Style Preference: Growth styles and small - cap stocks perform better in the liquidity - driven market [32]. - Sino - US Capital Market Linkage: There are different ways of linkage between Chinese and US capital markets, including economic correlation, capital correlation, negative correlation, risk re - balancing, and independence [36]. - Foreign Capital Inflow: Foreign capital inflows tend to favor large - cap growth styles [38]. 3. Index Financial Indicators - The report presents the main financial indicators of various indices in the first quarter of 2025, including profitability, growth, and risk indicators [44]. 4. Index Futures Performance - CSI 1000: The index rose 11.67% monthly, and the annualized basis discount converged [45]. - CSI 500: The index rose 13.13% monthly, and the annualized basis discount converged downward [48]. - CSI 300: The index rose 10.33% monthly, and the annualized basis discount converged downward [51]. - SSE 50: The index rose 7.22% monthly, and the annualized basis discount converged [53]. 5. Index Option Indicators - The report provides historical volatility, volatility cones, and PCR indicators for the CSI 1000, CSI 300, and SSE 50 options [58][64][72]. 6. Trading Slippage - The report shows the trading slippage for IM, IC, IF, and IH futures contracts [80][83][86][88].