股指期货策略月报-20260202

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - In January, the stock market showed a strong performance with significant volume increase, but the subsequent momentum weakened. The A - share market had high - valued sectors, and regulatory policies aimed to guide the market towards a "long - term bull" rather than a "crazy bull." International geopolitical issues in February were a major concern, and different asset classes might show differentiated trends in the short, medium, and long terms [3]. 3. Summary According to the Directory 3.1 Monthly Data Tracking - Index Performance: In January, Wind All - A rose by 5.83% with an average daily trading volume of 3.05 trillion yuan, but dropped 1.59% in the last week. The CSI 1000, CSI 500, SSE 50, and CSI 300 had monthly increases of 8.68%, 12.12%, 1.17%, and 1.65% respectively [3][5]. - Index Valuation: The dynamic PE of the CSI 500 index exceeded twice the standard deviation of the past five - year average, indicating a relatively high valuation [3]. - Sector Impact: The electronics and non - ferrous metals sectors were the main driving forces for the indices, while the banking sector's correction dragged down the broader market indices [3][13]. - Margin Trading and Implied Volatility: The margin trading balance increased by 197.1 billion yuan monthly and 14.7 billion yuan weekly. The implied volatility of the CSI 1000 (1000IV) rose from 20.21% to 25.44%, the CSI 300 (300IV) from 16.78% to 19.49%, and the SSE 50 (50IV) from 15.02% to 19.19% [22][24]. - Fund Issuance: In January 2026, the issuance scale of equity funds dropped to 20 billion yuan, while that of hybrid funds reached 46.9 billion yuan, much higher than the 2025 monthly average of 13.4 billion yuan. Institutional investors focused more on balanced stock - bond allocation [25][27]. - Net Short Positions: At the end of January, the net short positions of each index increased significantly [28]. - Exchange Rate and Valuation: The dynamic valuation of the STAR 50 index returned to 180 times, and the RMB exchange rate continued to strengthen, with the US dollar against the offshore RMB closing at 6.9482 [30][32]. 3.2 2025 Third - Quarter Report Overview - Revenue and Profit Growth: The cumulative year - on - year revenue growth of the entire A - share market excluding finance in Q3 was 0.74%. The cumulative year - on - year net profit growth was 1.89%, higher than Q2 (0.83%) but lower than Q1 (3.45%). The cumulative year - on - year profit of large - scale industrial enterprises was 3.2%, the highest in the year [86][89]. - Profit Share: The net profit share of the financial industry was still high, with banks accounting for 33% and non - banks 13%, totaling 46% [90][92]. - Technology Sector: The technology sector entered the profit realization stage [93]. - ROE Situation: ROE was still in the bottom - oscillating range [96]. - ROE DuPont Analysis: The report presented the DuPont analysis of ROE for the entire A - share market excluding finance, including operating net profit margin, gross profit margin, asset turnover, and equity multiplier [99][100]. - Index Financial Indicators: All the main indicators of each index increased. After the index component adjustment in December 2025, the financial indicators of each index showed some changes, but overall, they still maintained an upward trend [102][104].