盈风聚势启新程：2026年股指期货年度展望

Report Industry Investment Rating No information provided in the content. Core Viewpoints - In 2026, the market logic is expected to shift from liquidity-driven to profit-recovery - driven. The strategic adjustment of "building a strong domestic market" and the "anti - involution" policy will improve domestic demand and deflation expectations. Multiple leading indicators suggest that PPI may enter an upward channel, and corporate profit recovery is expected, but the repair strength may be weaker than in 2021. The market may continue to re - balance in the short - term, with the large - cap value style having an advantage, and profit - recovery opportunities will be the key theme for the A - share market in 2026 [4]. Summary by Directory I. Indexes Break through the Oscillation Pattern 1.1 Market Review: Ample Liquidity as the Core Driver of Index Market - In the 2025 annual report, it was predicted that the index market would show an "N" shape, driven by the ample liquidity from the "rush - to - export" expectation. However, China's exports maintained strong resilience after the "rush - to - export" trend cooled, and the obvious profit - repair trend was delayed. The A - share market oscillated in Q1, adjusted in April due to Trump's "reciprocal tariff" remarks, and then rose as policies took effect. In Q3, multiple factors supported the market, and in Q4, the driving force shifted from liquidity to profit - repair expectation [8]. 1.2 Industry Performance: Precious Metals Lead the Non - ferrous Metals Industry - In 2025, industry performance was significantly differentiated. Precious - metal - related non - ferrous metals led the increase due to Trump's tariff policy, the Middle East situation, and the Fed's interest - rate cut expectation. As of December 16, communication, non - ferrous metals, and electronics had high gains, while food and beverage and coal had losses. Different styles dominated at different times, and the large - cap value style became attractive in Q4 [11]. 1.3 Index Basis: Multiple Factors Lead to Increased Index Discount - The A - share market's trading activity increased in 2025, and the small - and medium - cap style was strong. The market - neutral strategy's scale expanded, increasing the hedging demand for stock - index futures. High dividend payouts and the decline of snowball products also contributed to the deepening discount of stock - index futures [13][14]. II. Market Valuation: Focus on Profit - Driven Valuation Digestion 2.1 CSI 500 and CSI 1000 Indexes: Significant Valuation Repair - As of December 16, the price - to - book ratios of the CSI 500 and CSI 1000 indexes were at relatively high historical levels, at 72.84% and 50.04% of the past 10 - year levels respectively [19]. 2.2 SSE 50 and CSI 300 Indexes: Valuation Divergence - As of December 16, the price - to - earnings ratios of the SSE 50 and CSI 300 indexes were at relatively high historical levels, while the price - to - book ratios were relatively lower. This divergence was due to the valuation recovery since September 2024, and future profit levels will be crucial for digestion and repair [22]. 2.3 Index Crowding: Large - Cap Value Style May Continue to Dominate - The index crowding degree reflects market allocation enthusiasm. In 2025, the small - and medium - cap growth style was popular in most of the year, but the large - cap value style became more attractive in Q4 due to its low valuation and high profit certainty [24][25]. 2.4 Stock - Bond Cost - Effectiveness: Lower Priority of Relative Valuation Attention - The stock - bond cost - effectiveness indicator shows that the stock market is at a relatively low level. With the Fed's interest - rate cuts and the narrowing of the China - US monetary - policy cycle gap, the domestic interest - rate cut window is opening. In the current situation, the priority of relative valuation attention can be shifted, and more attention can be paid to other driving factors [28][31]. 2.5 Valuation Summary - After the continuous valuation repair in 2025, the A - share market's relative valuation advantage over bonds has weakened but is not at an extreme level. There is a differentiation in the market, and the large - cap value style is expected to continue to dominate [33]. III. Supply and Demand Drive, Profit Level Recovery Expected 3.1 Strategic Adjustment of "Insufficient Domestic Demand" Response, Marginal Relief of Consumption Downturn Expected - China's economic problem has been insufficient domestic demand. The policy response is shifting from short - term demand stimulation to long - term market cultivation and system construction. The "construction of a strong domestic market" aims to improve residents' purchasing power and consumption confidence, which is expected to relieve the consumption downturn [34][35]. 3.2 "Anti - Involution" Improves Deflation Expectations, Profit Level Recovery Expected - PPI is expected to enter an upward channel in 2026 and turn positive year - on - year around mid - year. Fiscal, credit, and monetary data all indicate a turning point in the industrial - product price cycle. The profit level has shown an initial recovery trend [41][42]. IV. Asset Allocation Transfer Signs Appear, Capital Account Pressure May Continue to Ease 4.1 Interest - Rate Decline and Dividend Improvement Drive Asset Allocation Transfer - In 2025, the LPR was lowered, and bank deposit rates decreased, making deposits less attractive. At the same time, listed companies increased shareholder returns. As a result, funds flowed from the banking system to the non - banking financial sector, bringing incremental liquidity to the A - share market [50][53]. 4.2 Change in Dominant Factors of the US Dollar, Capital and Financial Account Pressure May Ease - The US dollar's role is changing from a counter - cyclical asset to a pro - cyclical asset due to the expansion of US debt and geopolitical risks. The weakening of the US dollar is expected to support the RMB exchange rate and ease the pressure on China's capital and financial accounts [58][61]. 4.3 Exports Maintain Resilience, Current Account May Face Pressure in H1 2026 - China's exports are expected to remain stable in 2026, with a "low - then - high" growth pattern. Exports may face pressure in H1 due to a high base in 2025 and difficulties in the US market's import recovery. However, the diversification of the export market and the upgrade of export - product competitiveness will provide support [64][67]. V. Summary: Profit - Level Repair Strength May Be the Key Driving Factor - In 2026, the market's core driving force is expected to shift to profit repair. Policies will improve domestic demand and deflation expectations, and multiple indicators suggest PPI may rise and corporate profits may recover. Asset allocation transfer and a favorable capital environment will support the market. The A - share market is expected to rise in an oscillatory manner, with the large - cap value style being attractive in the short - term [72]. - Short - term strategy: The index may continue to oscillate, and the previous long - IF and short - IM hedging portfolio is recommended to be held. Directional traders can enter the market at low prices based on profit - repair expectations. - Medium - and long - term strategy: The current valuation repair is ahead of profit recovery. The profit - recovery situation will be crucial for the market. The stock - index market may see a resonance between profit and valuation in 2026 [73].