Report Title - "Stock Index Futures Weekly Report: IC and IM Accelerate Upward" [1] Report Industry Investment Rating - Not provided Core Viewpoints of the Report - The market enthusiasm has risen again after a week of cooling of thematic hotspots, and the upward trend is expected to continue due to high trading volume and sufficient funds. The differentiation of stock indexes may further strengthen investors' expectations, leading funds to flow into non-300 component stocks. It is still optimistic about the CSI 500 and CSI 1000 indexes. In the futures market, the large premium of the near - month contracts of IC and IM indicates investors' optimism about the future market, but also increases the cost of going long in futures [5]. Summary by Relevant Catalogs Part 1: Weekly Core Points Analysis and Strategy Recommendations - **Weekend News** - US President Trump will visit China in April, and China's Foreign Ministry spokesperson said that stable Sino - US relations are in the common interests of the two peoples and the international community [4]. - The China Securities Regulatory Commission and the Asset Management Association of China issued relevant regulations on the performance comparison benchmarks of public - offering securities investment funds, focusing on four aspects: accurate portrayal, full - process supervision, linking with compensation, and information transparency [4]. - The news that the CSRC will tighten the listing threshold for mainland enterprises in Hong Kong is false, and the current overseas listing policy remains unchanged [4]. - As of the end of 2025, the existing scale of the banking wealth - management market was 33.29 trillion yuan, a year - on - year increase of 11.15%. In 2025, the overall income of wealth - management products was stable, with a cumulative income of 730.3 billion yuan for investors, a year - on - year increase of 2.87% [4]. - **Comprehensive Analysis and Strategy Recommendations** - **Logic**: After a week of cooling, thematic hotspots regained momentum in the second half of the week. The CSI 500 and CSI 1000 indexes continued to reach new highs, and the market trading volume remained high, with the trading volume exceeding 3 trillion yuan again on Friday [5]. - **Outlook**: During the concentrated disclosure period of annual report forecasts, the market treats performance growth positively. The differentiation of stock indexes may strengthen investors' expectations, and the rotation of various industry and theme ETFs will continue to drive the rotation of sectors. It is still optimistic about the CSI 500 and CSI 1000 indexes [5]. - **Strategy**: Unilateral strategy is to go long on IC and IM at low prices; arbitrage strategy is the spot - futures arbitrage of "IM long 2609 + short ETF"; option strategy is the bull spread [5][6]. Part 2: Weekly Data Tracking - **A - share Index Performance** - This week, the performance of stock indexes was differentiated. The large - cap indexes were under obvious pressure, while the small - and medium - cap indexes accelerated their rise. The CSI 300 fell 0.62%, the SSE 50 fell 1.54%, the CSI 500 rose 4.34%, and the CSI 1000 rose 2.89% [17]. - **A - share Trading Volume** - This week, the A - share market trading volume first declined and then rose, reaching 3 trillion yuan again on Friday. The total weekly trading volume was 13.86 trillion yuan, and the average daily trading volume decreased by 19% compared with last week. The trading volume ratios of the main indexes remained stable, with a slight increase in the trading volume ratios of the CSI 1000 and CSI 500 indexes [22]. - **A - share Individual Stock Rise - Fall Situation** - The market was in a good state, with more rising stocks than falling stocks. The proportion of rising stocks in the second half of the week was continuously higher than 50% and kept rising. The proportion of limit - down stocks continued to decline, reaching a recent low on Friday, while the proportion of limit - up stocks continued to rise, exceeding 2% again [29]. - **A - share Margin Trading Situation** - This week, the margin trading balance in the A - share market remained at a high level, exceeding 2.7 trillion yuan again on Thursday, accounting for 2.6% of the A - share floating market value. After two consecutive days of net selling at the beginning of the week, there was net buying again. The proportion of margin trading purchases in the A - share trading volume continued to fall below 10% [34]. - **A - share Industry Performance** - **Industry Weekly Rise - Fall**: The rise - fall ranges of different industries varied, with some industries rising significantly and some falling [37]. - **Industry Heat**: The total heat change rates and total heats of different industries showed different trends [39]. - **Industry Capital Flow**: The weekly net capital inflows and weekly net margin trading inflows of different industries also showed different situations [42]. - **Stock Index Futures Data** - **Basis Change**: The basis of different stock index futures contracts showed different changes [48]. - **Trading Volume and Open Interest Change**: The trading volumes and open interests of different stock index futures contracts showed different trends [51][52][53][54]. - **Spot - Futures Trading Volume Comparison**: The trading volumes of the main contracts and all contracts of different stock index futures were compared with the trading volumes of the corresponding spot indexes [57][58][59]. - **Main Open Interest of Stock Index Futures**: The net short - position ratios of the top five and top ten holders of different stock index futures showed different trends [62].

Market Overview - The three major indices collectively rose, with the Shanghai Composite Index closing at 4136.16, up 0.33% [2] - The Shenzhen Component Index increased by 0.79% to 14439.66, while the CSI 300 fell by 0.45% to 4702.50 [2] - The ChiNext Index rose by 0.63% to 3349.50, and the STAR 50 Index increased by 0.78% to 1553.71 [2] Sector Performance - The top-performing sectors included Electric Equipment (3.50%), Nonferrous Metals (2.73%), and Defense Industry (2.65%) [3] - The sectors with the poorest performance were Communication (-1.52%), Banking (-0.90%), and Coal (-0.76%) [3] - Concept indices such as BC Battery (8.56%) and Perovskite Battery (8.24%) showed strong gains, while Corn (-0.14%) and Soybeans (-0.10%) lagged [3] Future Outlook - The market is expected to continue its upward trend, supported by multiple favorable factors, including the central bank's commitment to maintaining a moderately loose monetary policy [4][6] - The recent decrease in the re-lending and re-discount rates indicates potential for further cuts in reserve requirements and interest rates this year [6] - The improvement in macroeconomic conditions and corporate earnings recovery are seen as core drivers for the market's mid-term upward movement [6] - Recommended sectors for investment include Oil and Petrochemicals, Construction Decoration, Nonferrous Metals, TMT, and Coal [6]

风险提示：海外超预期衰退，影响国内经济复苏进程；国内政策及经济复苏进度不及预期；宏观经济超 预期扰动；政策超预期变化；国际关系变化带来经济环境变化；海外宏观流动性超预期收紧；海外波动 加剧。 责任编辑：王珂 来源：中原证券股份有限公司 投资要点： A 股市场综述 周五（01 月23 日）A 股市场冲高遇阻、小幅震荡上行，早盘股指高开后震荡上行，盘中沪指在4143 点 附近遭遇阻力，随后股指维持震荡，盘中光伏设备、能源金属、电池以及航天航空等行业表现较好；航 空机场、保险、银行以及船舶制造等行业表现较弱，沪指全天基本呈现小幅震荡上行的运行特征。创业 板市场周五震荡上扬，创业板成分指数全天表现强于主板市场。 后市研判及投资建议 周五A 股市场冲高遇阻、小幅震荡上行，早盘股指高开后震荡上行，盘中沪指在4143 点附近遭遇阻 力，随后股指维持震荡，盘中光伏设备、能源金属、电池以及航天航空等行业表现较好；航空机场、保 险、银行以及船舶制造等行业表现较弱，沪指全天基本呈现小幅震荡上行的运行特征。创业板市场周五 震荡上扬，创业板成分指数全天表现强于主板市场。当前上证综指与创业板指数的平均市盈率分别为 16.88 倍、53. ...

华金 证券表示，短期春季行情继续进行中，A股维持震荡偏强趋势。短期经济和盈利仍处于弱修复趋势 中。一是短期经济仍呈弱修复趋势。二是短期盈利增速可能继续处于回升周期中：首先，短期PPI同比 增速可能继续回升；其次，A股盈利继续维持结构性回升趋势。短期流动性维持宽松。一是短期宏观流 动性维持宽松：首先，美元指数低位进一步回落，海外对国内流动性宽松的掣肘较小；其次，国内仍可 能进一步降准降息。二是短期股市资金仍可能维持较快流入。短期风险偏好可能进一步上升。一是短期 积极的政策预期可能进一步上升。二是短期外部风险相对有限。 ...

Group 1 - The total scale of public funds reached 31.62 trillion units by the end of 2025, with a net subscription of 706.79 billion units in the fourth quarter, representing a growth rate of 2.29% [1] - Various fund types, including money market, index, QDII, bond, commodity, and FOF, experienced net subscriptions, while mixed funds saw the highest net redemptions, shrinking by 82.30 billion units [1][5] - Despite overall net redemptions in actively managed equity and mixed funds, 38 actively managed equity funds attracted net subscriptions exceeding 500 million units, with the highest being 6.20 billion units [2][3] Group 2 - The top actively managed equity fund, managed by Zhang Haiqiao, attracted a net subscription of 6.20 billion units, with a net subscription ratio of 2126.19% [2] - The second highest net subscription was for a fund managed by Zhang Lu, which garnered 5.22 billion units and a net subscription ratio of 513.27% [2] - The bond market showed a "rise then fall" trend, with bond funds achieving a net subscription of 824.34 billion units, increasing their total scale to 9.09 trillion units [6] Group 3 - QDII funds saw a net subscription of 1.31 trillion units, increasing their total scale to 8.17 trillion units, with a leading net subscription ratio of 19.04% [6] - Commodity funds achieved a net subscription of 238.42 billion units, with a total scale of 943.89 billion units, marking the highest net subscription ratio of 33.8% among fund types [6] - The mixed fund category experienced a net redemption of 82.30 billion units, reducing its total scale to 2.65 trillion units, with a net redemption ratio of 3.02% [5][6]

Group 1 - A-shares experienced a volatile upward trend on Thursday, with major indices closing higher, indicating a potential short-term consolidation phase after recent gains [1][2] - Positive factors such as the "14th Five-Year" industrial guidance, overseas liquidity easing, and domestic policy support are expected to provide ongoing support for the A-share market [1] - Market sentiment is gradually improving, with structural opportunities remaining as daily trading volume stays above 2.5 trillion yuan [1] Group 2 - The market showed a mixed performance with most sectors rising, and recent hot themes experiencing orderly rotation, maintaining high investor sentiment and profitability [2] - Oil and gas extraction and military industries attracted continuous capital attention, while previously strong precious metals sectors began to show significant differentiation [2] - The semiconductor sector, which had previously shown strong performance, experienced a pullback, indicating internal differentiation within the sector [2]

中金研究 中金公司研究部发布了2026年一季度图说中国，本产品汇集了中金公司研究部宏观、策略、量化及ESG、固收、大宗、外汇等各组对于当前中国经 济、市场和资产价格的最新观点和数据更新。近120页的图册提供了对于中国市场的一个全景式展示和介绍，这对于希望快速了解中国市场的投资者是 一个很好的总结和更新。 点击小程序查看报告原文 日录 | • 中金研究团队介绍 ………………… – p. 2 | | | --- | --- | | • 宏观经济 … | p. 3 | | ● 市场策略 | p. 14 | | • 量化及ESG | | | ● 固定收益 … | p. 51 | | ● 大宗商品 . | p. 81 | | · 外汇研究 . | p. 97 | 注： 除特别说明，本产品中所有价格数据均截至2026年1月19日 返回目ঙ | | 中金研究团队介绍 | | | | | --- | --- | --- | --- | --- | | 宏观经济 | 市场策略 | 量化及ESG | 固定收益 | 大宗商品 | | · 彭文生 | · 缪延亮 | · 刘均伟 | · 陈健恒 | · 郭朝辉 | | · 张文朗 | ...

Investment Rating - The industry is rated as "stronger than the market," indicating an expected increase of over 10% in the industry index relative to the CSI 300 index over the next six months [15]. Core Insights - The A-share market experienced slight fluctuations with a small upward trend, with notable performance in the aerospace, mining, shipbuilding, and communication equipment sectors, while sectors like electronic chemicals, insurance, batteries, and jewelry performed poorly [2][3]. - The average price-to-earnings (P/E) ratios for the Shanghai Composite Index and the ChiNext Index are 16.88 times and 52.98 times, respectively, which are above the median levels of the past three years, suggesting a favorable environment for medium to long-term investments [3][14]. - The total trading volume on the two exchanges reached 27,166 billion, which is above the median trading volume of the past three years, indicating strong market activity [3][14]. - The central bank's recent actions, including structural tools and interest rate cuts, aim to support economic transformation and boost market confidence, with expectations of further monetary easing [3][14]. - The market is anticipated to focus on performance and industry trends, with the Shanghai Composite Index likely to maintain a slight upward trend [3][14]. Summary by Sections A-share Market Overview - On January 22, the A-share market showed a slight upward trend, with the Shanghai Composite Index closing at 4,122.58 points, up 0.14%, and the Shenzhen Component Index at 14,327.05 points, up 0.50% [7][8]. - Over 60% of stocks in the two markets rose, with significant gains in aerospace, mining, shipbuilding, and gas sectors, while declines were noted in insurance, electronic chemicals, and jewelry sectors [7][9]. Future Market Outlook and Investment Recommendations - The market is expected to maintain a slight upward trend, with a focus on macroeconomic data, overseas liquidity changes, and policy developments [3][14]. - Short-term investment opportunities are recommended in the semiconductor, electronic components, communication equipment, and aerospace sectors [3][14].

- The report tracks quantitative factors in the equity market, highlighting that the market style remains tilted towards small-cap and growth-oriented stocks, with increased volatility in style performance and widened return differences between styles[10][11] - In terms of market structure, the dispersion of excess returns across industries has risen, while industry rotation speed has decreased. The proportion of rising constituent stocks in indices like CSI 300 and CSI 500 has declined. Additionally, the concentration of trading in the top 100 stocks remained stable, while the top 5 industries saw a slight increase in trading concentration[10][11] - Market activity indicators show a decline in market volatility across most indices except CSI 1000, while turnover rates have continued to rise[10][11] - In the commodity market, the trend strength of precious metals and energy chemicals has increased, while other sectors have seen a decline. Basis momentum for precious metals and agricultural products has risen, whereas other sectors have declined. Volatility remains high for precious metals and base metals, with slight decreases in energy chemicals and black metals. Liquidity has decreased for precious metals and energy chemicals but increased for other sectors[23][28] - In the options market, implied volatility for SSE 50 and CSI 1000 has decreased from previous highs. The skewness of call options has declined, while that of put options has increased. Despite this, the skewness of CSI 1000 put options remains negative, indicating that market participants perceive a low risk of significant declines in small-cap stocks in the short term[31][32] - In the convertible bond market, the market experienced wide fluctuations. The premium rate for bonds convertible at par value has stabilized with slight adjustments, while the pure bond premium rate for debt-oriented groups has continued to rise. The proportion of low-conversion-premium bonds has also increased. However, trading volume in the market remains high and has not weakened[33][39]

Group 1 - The current commodity market shows a significant divergence compared to previous cycles, with energy and non-ferrous metals exhibiting distinct trends [1][2] - The performance of non-ferrous metal stocks is influenced not only by commodity price movements but also by the overall market environment and style shifts in the A-share market [1][6] - Industrial metal stocks have shown greater elasticity in bull markets, outperforming commodity price increases, while precious metals stocks remain closely tied to commodity prices [1][6] Group 2 - The report outlines four typical commodity bull markets since 2004, highlighting the distinct phases of global demand expansion, liquidity easing, supply-side reforms, and pandemic recovery [2] - Post-2022, the commodity market has displayed notable differentiation, with energy and black metals stabilizing after volatility, while non-ferrous metals, particularly precious metals, have shown strong upward trends [2][4] - The correlation between commodity prices and stock performance varies, with industrial metals being more affected by A-share market performance, while precious metals exhibit a stronger independent trend [6][9] Group 3 - Recent data indicates that the valuation elasticity of the A-share non-ferrous metal sector has significantly surpassed that of commodity price elasticity, particularly for copper, aluminum, and energy metals [8] - The report concludes that sectors leaning towards "forward logic" (copper, aluminum, energy metals) contribute more to valuation, while those focused on "current profitability" (precious metals) tend to follow commodity price trends closely [8]