银河期货股指期货年报

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - In 2026, the strategy of a technology - powered nation combined with the AI wave will remain the main theme of the A - share market. The listing of technology leaders like Changxin Technology will strengthen the contribution of technology stocks to the index. Small - cap indexes are expected to perform well, and the market will maintain a slow - bull trend despite fluctuations from valuation and capital factors [6]. - In the assumption of constant valuation, the market value of the Shanghai Composite 50 Index in 2026 may rise by 5% - 10%, the CSI 300 by 8% - 18%, and the CSI 500 and CSI 1000 by 18% - 26% [54]. - In 2026, the phenomenon of stock index futures trading at a discount will still exist. The cost advantage of short - position holders moving from the current - month contract to the quarterly - month contract is evident, and the main trading and holding contracts have shifted to quarterly - month contracts [60]. 3. Summary by Relevant Catalogs 3.1 2025 Market Review Stock Market - In 2025, the A - share market showed a slow - bull trend of fluctuating upward. The AI industry chain, robotics, and non - ferrous metal sectors led by artificial intelligence rose significantly, but there were differences in the performance of different indexes. By December 30, the annual increase of the CSI 300 Index was 18.21%, the Shanghai Composite 50 Index rose 13.1%, the CSI 500 Index rose 30.27%, and the CSI 1000 Index rose 27.52% [5][11]. Stock Index Futures - In 2025, the discount of stock index futures widened compared to the previous year, showing a cyclical pattern of convergence at the beginning and end of the year and expansion in the middle. The average daily discounts of the four IM contracts reached record highs. The trading volume and open interest of stock index futures continued to grow steadily. IM was the most - concerned variety, with trading volume and open interest increasing by 19.4% and 20.4% respectively. The trading volume and open interest of IC recovered after hitting a bottom in April, and the annual average daily trading volume increased by 3.7%. The trading volume and open interest of IH both declined, while the trading volume of IF was stable and the open interest increased by 5.2% [13][16]. 3.2 Future Outlook and Investment Strategy Index Space Calculation - In 2025, there were significant differences in the performance of major indexes, which were mainly due to differences in industry indexes. The non - ferrous metal and communication sectors had annual increases of 93% and 87% respectively, while the food and beverage and coal sectors had negative returns. The weight of the electronics industry in major indexes increased significantly. In 2025, electronics was the most - contributing industry to the four major indexes [21][24][30]. - In 2026, the consensus forecast for the profit growth of each index is 5% for the Shanghai Composite 50, 9% for the CSI 300, 22% for the CSI 500, and 23% for the CSI 1000. Considering industry growth and weight, the possible market - value growth of the Shanghai Composite 50 is 18%, the CSI 300 is 26%, the CSI 500 is 36%, and the CSI 1000 is 36%. After adjustment, in the assumption of constant valuation, the market - value increase of the Shanghai Composite 50 Index in 2026 may be 5% - 10%, the CSI 300 may be 8% - 18%, and the CSI 500 and CSI 1000 may be 18% - 26% [45][50][54]. Stock Index Futures Basis Outlook - In 2025, the basis of stock index futures generally showed a significant increase in discount. The main reason is that the market provided large fluctuations, making the performance of individual stocks and indexes differentiated, and the excess return of the neutral strategy was significant, allowing it to continue hedging even with a large discount. In 2026, the discount phenomenon of stock index futures will still exist. The cost of short - position holders in stock index futures for contract roll - over has increased significantly, and since October 2024, the main trading and holding contracts have shifted to quarterly - month contracts, which reduces the operation risk of investors [55][58][61]. Policy, Capital, and Valuation Outlook - Since the release of the new "Nine - Article National Plan", policies have clearly supported the market. In 2026, the policy focus will shift to "actively contributing to high - quality economic development and a good start of the 15th Five - Year Plan", while maintaining stable development. In 2025, long - term capital continued to enter the market, and the margin balance continued to grow, keeping the market capital abundant. However, the reversal of the M1 - M2 spread at the end of the year and the difficulty of further interest - rate cuts will have an impact on investors' psychology. In 2025, as the market continued to rise, the stock index valuation was no longer cheap, which will suppress the performance of the index and increase market volatility [67][70][75]. Future Strategy - Unilateral: Given the slow - bull trend, conduct trading based on fluctuations. - Arbitrage: Go long on IM/IC main contracts and short ETFs. - Options: Adopt the bull - spread strategy [7].