1. Report Industry Investment Ratings - Stock index futures: Bullish [1] - Treasury bond futures: Bearish [1] 2. Core Views of the Report - The A - share market oscillated and rose, with the Wind All - A index closing up 0.81% and a trading volume of 2.78 trillion yuan. The CSI 1000, CSI 500, SSE 50, and SSE 300 indices all increased, and the stock index basis was significantly at a discount. The Fed's dovish stance and China's policy adjustments, such as housing and parenting subsidy policies, are expected to drive the A - share market. The liquidity market is expected to continue, with funds concentrating on index components and technology - style stocks, and short - term fluctuations may increase while there is long - term upward momentum [1]. - Treasury bond futures closed with gains across different tenors. The central bank conducted reverse repurchase operations, resulting in a net withdrawal of funds. In August, the bond market was suppressed by the rise of the equity market, but with long - term favorable factors for the bond market, the adjustment is basically in place. Short - term bonds are expected to remain stable, while long - term bonds may experience greater fluctuations [1][2] 3. Summary by Relevant Catalogs 3.1 Research Views Stock Index Futures - The A - share market showed an upward trend, with the CSI 1000 index rising 0.84%, the CSI 500 index rising 0.94%, the SSE 300 index rising 0.6%, and the SSE 50 index rising 0.16%. The stock index basis was deeply at a discount, and the IM2509 was at a discount of 120 points, indicating strong hedging demand. The Fed's dovish attitude and China's policy adjustments, including housing and parenting subsidy policies, are beneficial to the A - share market. The liquidity market will continue, with funds concentrating on specific stocks, and short - term volatility may increase while long - term upward potential exists [1] Treasury Bond Futures - Treasury bond futures closed with gains: the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rose 0.30%, 0.17%, 0.08%, and 0.02% respectively. The central bank conducted 1827 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 1057 billion yuan. In August, the bond market was affected by the rise of the equity market, but long - term factors are favorable for the bond market. Short - term bonds are expected to be stable, while long - term bonds may fluctuate more [1][2] 3.2 Daily Price Changes Stock Index Futures - IH decreased by 0.4 points (-0.01%), IF increased by 4.4 points (0.10%), IC increased by 18.0 points (0.26%), and IM increased by 14.0 points (0.19%) [3] Stock Indexes - The SSE 50 index increased by 4.7 points (0.16%), the SSE 300 index increased by 27.0 points (0.60%), the CSI 500 index increased by 66.3 points (0.94%), and the CSI 1000 index increased by 62.5 points (0.84%) [3] Treasury Bond Futures - TS increased by 0.018 points (0.02%), TF increased by 0.08 points (0.08%), T increased by 0.19 points (0.18%), and TL increased by 0.36 points (0.31%) [3] Treasury Bond Yields - The yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds decreased by 0.92, 1.31, 1.79, and 2.75 respectively [3] 3.3 Market News - As of August 29, the margin trading balance of the Shanghai Stock Exchange increased by 83.56 billion yuan to 11409.26 billion yuan, and that of the Shenzhen Stock Exchange increased by 86.88 billion yuan to 10971.74 billion yuan. The total margin trading balance of the two markets increased by 170.44 billion yuan to 22381.00 billion yuan [4] 3.4 Chart Analysis Stock Index Futures - The report presents the historical trends of IH, IF, IM, and IC main contracts, as well as the historical trends of their respective basis [6][7][9][10][11] Treasury Bond Futures - The report shows the historical trends of treasury bond futures main contracts, treasury bond yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates [13][16][17][18] Exchange Rates - The report displays the historical trends of the central parity rate of the US dollar against the RMB, the euro against the RMB, forward exchange rates, and exchange rates between different currencies such as the US dollar, euro, pound, and yen [21][22][23][25][26]

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].

Core Viewpoint - The recent ruling by the U.S. Court of Appeals declaring Trump's tariffs illegal has reignited the tariff debate, while Powell's dovish stance at Jackson Hole has increased the certainty of rate cuts in the medium term, suggesting that liquidity conditions will continue to resonate both domestically and internationally, with industrial and precious metals expected to perform well as the peak demand season approaches [1][2]. Group 1: Tariff and Monetary Policy Impact - The U.S. Court of Appeals ruled that Trump's global tariffs are "illegal," leading to renewed uncertainty in tariff negotiations, although the tariffs will remain in effect until mid-October [1]. - Powell's unexpected dovish comments at the Jackson Hole meeting, along with political pressures, enhance the likelihood of Fed rate cuts in the medium term [1][2]. - The combination of a loose domestic monetary environment and ongoing international liquidity conditions is expected to support precious metals, despite potential short-term volatility due to tariff uncertainties [1][2]. Group 2: Precious Metals Outlook - The tariff debate may cause fluctuations in gold prices, but the dovish Fed stance and adjusted inflation targets provide upward support for precious metals [2]. - The U.S. manufacturing and services PMI for August were reported at 53.3 and 55.4, respectively, indicating economic resilience and supporting inflation expectations, which in turn bolster precious metal prices [2]. - Long-term risks related to U.S. government debt and challenges to the dollar's status may lead to continued strong performance of gold in a restructured global monetary system [2]. Group 3: Industrial Metals Performance - With Powell signaling rate cuts and the Chinese government emphasizing fiscal and financial support to boost domestic demand, industrial metals are expected to benefit from improving demand expectations [2]. - The transition from off-peak to peak demand seasons, coupled with low inventory levels for major industrial metals, suggests a favorable supply-demand balance that could support prices [2]. - Seasonal disruptions in supply due to maintenance and other factors, alongside rising demand, may lead to a marginally improved supply-demand dynamic for industrial metals [2].

1. Report Industry Investment Ratings - Stock index futures: Bullish [1] - Treasury bond futures: Sideways [1] 2. Core Views of the Report - The A - share market was affected by the Fed's dovish stance, with expectations of multiple interest rate cuts this year. Policies such as Shanghai's housing policy adjustments and the implementation of the childcare subsidy system have also had an impact. The liquidity market is expected to continue, but with a narrowing focus of funds, and there may be short - term fluctuations while having the potential for long - term upward movement [1]. - The bond market rebounded this week due to expectations of Fed rate cuts in September and increased expectations of domestic monetary policy efforts. However, the strong performance of the stock market will be a short - term negative factor for the bond market, and short - term Treasury bond futures are expected to trade in a high - level range [2]. 3. Summary by Relevant Catalogs 3.1 Daily Price Changes - **Stock index futures**: On August 27, 2025, IH decreased by 1.70% to 2,920.2, IF decreased by 1.46% to 4,384.0, IC decreased by 1.14% to 6,837.8, and IM decreased by 1.73% to 7,287.2 [3]. - **Stock indexes**: The Shanghai Composite 50 decreased by 1.73% to 2,918.4, the CSI 300 decreased by 1.49% to 4,386.1, the CSI 500 decreased by 1.46% to 6,862.6, and the CSI 1000 decreased by 1.87% to 7,336.5 [3]. - **Treasury bond futures**: On August 27, 2025, TS increased by 0.01% to 102.41, TF increased by 0.03% to 105.59, T increased by 0.02% to 108.02, and TL increased by 0.11% to 117.40 [3]. 3.2 Market News - From January to July 2025, the total profit of industrial enterprises above the designated size in China was 4,020.35 billion yuan, a year - on - year decrease of 1.7%. In July, the profit of industrial enterprises above the designated size decreased by 1.5% year - on - year [4]. 3.3 Chart Analysis - **Stock index futures**: Charts show the trends of IH, IF, IC, IM, and their corresponding basis trends [6][7][8][9][10]. - **Treasury bond futures**: Charts display the trends of Treasury bond futures contracts, spot bond yields, basis, inter - delivery spreads, cross - variety spreads, and funding rates [13][15][16][17]. - **Exchange rates**: Charts present the trends of the US dollar - RMB central parity rate, euro - RMB central parity rate, forward US dollar - RMB and euro - RMB exchange rates, US dollar index, euro - US dollar, pound - US dollar, and US dollar - yen exchange rates [20][21][22][24][26].

Report Highlights 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Views - **Stock Index Futures**: The market showed a mixed trend with the three major indices rising and falling. Over 2,800 stocks in the Shanghai, Shenzhen, and Beijing markets closed higher, and the trading volume on this day was 2.71 trillion yuan. The Fed's dovish stance led to market expectations of multiple interest rate cuts this year, benefiting the A - share market. Shanghai's adjustment of housing policies boosted the real estate and banking sectors. The implementation of the childcare subsidy system is expected to be an important way to drive inflation back up. The liquidity - driven market will continue, but funds are concentrating on index components and technology stocks, with short - term volatility increasing and long - term upward potential [1]. - **Treasury Bond Futures**: On Tuesday, Treasury bond futures closed with gains across the board. The central bank conducted 405.8 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 474.5 billion yuan. Although there were no significant changes in the short - term capital and fundamental aspects, market risk appetite rebounded. The dovish remarks of the Fed Chairman increased expectations of a September interest rate cut in the US and domestic monetary policy easing, leading to a rebound in the bond market. However, the strong performance of the stock market will be a short - term negative factor for the bond market, and short - term Treasury bond futures are expected to fluctuate at high levels [1][2]. 3. Summary by Section 3.1 Daily Price Changes - **Stock Index Futures**: The IH contract decreased by 0.71% to 2,970.8; the IF contract remained unchanged at 4,474.6; the IC contract increased by 0.10% to 6,916.4; the IM contract increased by 0.04% to 7,415.4 [3]. - **Stock Indices**: The Shanghai Composite 50 Index decreased by 0.67% to 2,969.8; the CSI 300 Index decreased by 0.37% to 4,452.6; the CSI 500 Index increased by 0.18% to 6,964.1; the CSI 1000 Index decreased by 0.02% to 7,476.5 [3]. - **Treasury Bond Futures**: The TS contract decreased by 0.02% to 102.39; the TF contract increased by 0.02% to 105.56; the T contract increased by 0.04% to 108.00; the TL contract increased by 0.43% to 117.30 [3]. 3.2 Market News - On August 26, the Chinese Foreign Ministry spokesperson responded to Trump's expected visit to China. China adheres to the principles of mutual respect, peaceful coexistence, and win - win cooperation in handling Sino - US relations, hopes that the US will work together, and emphasizes the strategic leading role of head - of - state diplomacy in Sino - US relations [5]. 3.3 Chart Analysis - **Stock Index Futures**: The report presents the historical trends of IH, IF, IM, and IC main contracts, as well as the historical trends of the corresponding basis of these contracts [7][9][11]. - **Treasury Bond Futures**: The report shows the historical trends of Treasury bond futures main contracts, the historical trends of Treasury bond spot yields, the historical trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures, the historical trends of the inter - delivery spreads of these Treasury bond futures, and the historical trends of cross - variety spreads and capital interest rates [14][16][18]. - **Exchange Rates**: The report provides the historical trends of the central parity rate of the US dollar against the RMB, the euro against the RMB, forward exchange rates, the US dollar index, and the exchange rates between major currencies such as the euro, pound, and yen against the US dollar [21][22][25][27]. 3.4 Member Introduction - The report introduces two members: Zhu Jintao, the director of macro - financial research at Everbright Futures Research Institute, and Wang Dongying, an index analyst mainly responsible for stock index futures research [28].

Group 1 - The core viewpoint is that the A-share market is experiencing significant upward momentum, with the Shanghai Composite Index approaching 3900 points, supported by liquidity and global easing expectations from the Federal Reserve [1] - Current market indicators suggest that the market is in an expensive range, with the equity risk premium (ERP) levels indicating that broad indices are above two standard deviations, and valuation metrics are higher than in 2021, reaching a historically expensive 90% range [1][2] - Short-term market momentum is upward, but there is a need to be cautious about potential adjustments due to increasing volatility [1] Group 2 - Investment opportunities are expected to continue in strong sectors with industrial logic, particularly in technology growth and non-bank financial sectors [2] - Beneficiaries of the Federal Reserve's interest rate cut expectations include non-ferrous metals, military industry driven by events and orders, and semiconductors, which are seen as offensive branches of the current liquidity-driven market [2] - For the entire year, sectors such as artificial intelligence, low-altitude economy, and robotics are anticipated to have upward potential, while the non-bank financial sector remains valuable for diversified allocation [2]

Group 1 - Federal Reserve Chairman Powell's speech at the Jackson Hole conference indicated a shift towards a more dovish stance compared to previous years, which has led to significant market reactions globally [1][20] - Powell highlighted the risks in the employment market and suggested that while inflation risks remain, the impact of tariffs on inflation is more "one-time" in nature, providing a clear indication for a potential rate cut in September [20][11] - The market responded with notable volatility, including a decline in U.S. Treasury yields, an increase in gold prices, a drop in the U.S. dollar index, and a rise in U.S. stock markets [11][13][14][18] Group 2 - The dovish shift from Powell is expected to provide more room for interest rate cuts in China, potentially leading to a more accommodative monetary policy [20] - The U.S. stock market is anticipated to remain strong in the short term due to the significant liquidity injection, although concerns about the long-term implications of the U.S. national balance sheet remain [21][23] - Investors are advised to be cautious with long-term U.S. Treasury bonds and consider short-term bonds for better value, as the political pressures influencing Powell's decisions may have delayed effects on inflation [23][21]

- The report suggests maintaining a certain level of "anti-fragile" assets to hedge against potential strengthening of the dollar, while also taking advantage of the liquidity premium in mid-cap stock indices such as the Hang Seng MidCap LOF, STAR 200 ETF, ChiNext 200 ETF, CSI 1000, and 2000 Enhanced ETFs[1][6][9] - The ETF combination strategy - equity-biased - XinXuan technical quantification has achieved an absolute return of 42.75% from the beginning of 2024 to the present, with an excess return of 18.65% relative to the CSI 300 and 13.08% relative to the ETF equal weight[10][60] - The ETF combination strategy - debt-biased - Quantitative All-Weather has a single-week increase of 0.28%, cumulative return of 8.91%, and a maximum drawdown of 3.26%[10][60] - The report highlights the importance of maintaining a high position in Japanese stocks following the removal of trade barriers due to the Japan-US tariff agreement, and the relative peace in the Russia-Ukraine conflict, which benefits Japan as an oil-importing country[3][42] - The report also mentions the potential for a rapid adjustment in the US market, suggesting an increase in allocation if such an adjustment occurs, given the relatively strong economic data in the US compared to other major regions[2][41] - The report indicates that the Hong Kong stock market sentiment has improved, with significant net buying from southbound funds, and highlights the independent capital logic of Hong Kong stocks, favoring non-bank financials, automobiles, and innovative drugs[6][48][49] - The report suggests that the liquidity-driven market favors sectors such as non-ferrous metals, engineering machinery, non-bank financials, agriculture, forestry, animal husbandry, and fishery[7][57] - The report notes that the gold market is expected to continue benefiting from the ongoing rate cut expectations before the September FOMC meeting, with the Chinese central bank continuing to increase its gold reserves, reinforcing the long-term value of gold as a hedge against uncertainty[7][58][59]

Report Industry Investment Rating - Not provided in the content Core Views - Since late June, the A-share market has been rising, primarily driven by loose liquidity. International capital inflows into non - US dollar assets due to the "weak dollar" trend, and domestic enterprise deposit - loan data has improved, making the stock market more attractive. However, fundamental data remains at a low level, and there are pressures for the index to continue rising. In this context, the index is expected to fluctuate in the short term, and different investment strategies can be adopted [3]. Summary by Relevant Catalogs 1. Market Performance in July - **1.1: Liquidity - driven Index Rise** - In July, the liquidity - driven market led to an index increase. Wind All - A rose by 4.75%, reaching a new high for the year, with significantly higher average daily trading volume. The large - cap growth style was strong, and the barbell strategy that performed well in the first half of the year underperformed the average. Specific index gains include: CSI 1000 up 4.8%, CSI 500 up 5.25%, SSE 50 up 2.36%, and SSE 300 up 3.54% [6]. - **1.2: Index Valuation at 1 - standard - deviation Level** - The index valuation is at the 1 - standard - deviation level, but no further detailed analysis is provided in the text [7]. - **1.3: Volatility and Margin Trading** - The implied volatility of index options rebounded. The 1000IV closed at 22.87%, and the 300IV at 19.11%. Margin trading balance increased significantly, rising by 132.4 billion yuan in July to 1.96 trillion yuan [14]. - **1.4: Sector - driven Index Rise** - In July, the pharmaceutical, electronics, and non - bank financial sectors drove the index up, as shown by their positive contributions to various major indices such as CSI 1000, CSI 500, SSE 300, and SSE 50 [15]. 2. Market Influencing Factors - **2.1: Sino - US Capital Market Linkage** - There are multiple ways of linkage between Sino - US capital markets, including economic - related (SSE 300 moves in tandem with US stocks), capital - related (CSI 1000 moves in tandem with US stocks), negative - related (due to the rise of the US AI industry), risk re - balancing (international funds increase positions in China), and non - related (due to different domestic pressures in the two countries) [23]. - **2.3: Foreign Capital Inflow Preference** - Foreign capital inflows tend to favor the large - cap growth style [26]. - **2.4: Increase in Corporate Deposits and Loans in June** - In June, both corporate deposits and loans increased, but no specific data is provided in the text [28]. - **2.5: Domestic Capital Inflow into the Stock Market** - Due to the relatively high equity risk premium, domestic capital is more inclined to flow into the stock market [32]. - **2.6: Capital Flow to Low - Valued Non - Core Themes** - Capital in the capital market tends to flow to low - valued non - core themes that were undervalued in the early stage [33]. 3. Index and Option Performance - **3.1: CSI 1000 Index** - The CSI 1000 index rose by 4.8% in July, and the annualized convergence of the basis discount was observed [41]. - **3.2: CSI 500 Index** - The CSI 500 index rose by 5.26% in July, with a relatively high annualized convergence of the basis discount [45]. - **3.3: SSE 300 Index** - The SSE 300 index rose by 3.54% in July, and the annualized convergence of the basis discount was observed [47]. - **3.4: SSE 50 Index** - The SSE 50 index rose by 2.36% in July, and the annualized convergence of the basis discount was observed [51]. - **3.5: CSI 1000 Option Indicators** - Various indicators of CSI 1000 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [55]. - **3.6: SSE 300 Option Indicators** - Various indicators of SSE 300 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [64]. - **3.7: SSE 50 Option Indicators** - Various indicators of SSE 50 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [73]. 4. Trading Slippage - **4.1: IM Trading Slippage** - The trading slippage of IM contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [81]. - **4.2: IC Trading Slippage** - The trading slippage of IC contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [84]. - **4.3: IF Trading Slippage** - The trading slippage of IF contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [86]. - **4.4: IH Trading Slippage** - The trading slippage of IH contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [89].