投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2026-01-09 股市配置中盘，债市情绪修复 股指期权方面，昨日标的市场震荡为主，中证500、中证1000及科创 上涨，大盘品种下跌，连续上涨后出现一定风格分化，期权市场成交量 113.10亿元，与前一日基本持平，略低2.64%，流动性维持高位。情绪指 标方面，偏度各品种低位震荡，持仓量PCR变动与风格分化方向相同，市 场整体跟随为主，对冲行为未集中大量出现；隐含波动率方面，多数品种 震荡，科创50ETF平均上行较多，市场波动仍在近一月高位，上方拐点还 未出现。今日市场虽动量不足，但局部仍有上行，且整体情绪维持较好， 因此中盘成长及科创风格仍推荐买入认购及牛市价差，其余品种观察后续 波动及量能拐点出现后可转回备兑。 国债期货方面，昨日国债期货全线上涨，日内看，T主力合约开盘后 先震荡下行，后一直走强，最终收于107.790。昨日央行开展99亿元7天期 逆回购（利率1.40%），单日净投放99亿元；同步实施11000亿元3个月期 买断式逆回购，规模与到期量持平。银行间资金面平稳偏松，DR001利率 微升至1.27%附近。开年后 ...

中证500指数作为A股中盘股核心标杆，聚焦沪深市场优质中小企业，兼顾均衡与成长，行业分布呈 现"传统与新兴并行、制造与科技协同"的鲜明特征，既覆盖能源、原材料等顺周期板块，又重仓电子、 医药生物、电力设备、计算机等新质生产力核心赛道，契合经济转型升级主线。 中证500ETF易方达（510580）作为布局中盘成长与新质生产力的核心工具，是投资者一键分散配置A股 优质中盘标的的高效选择。 格隆汇1月6日｜今日市场持续走强，上证指数突破2025年11月14日的阶段高点，刷新2015年7月底以来 的新高。 中证500领涨主要规模类指数，中证500ETF易方达（510580）今日涨2.2%，2026年开年以来两个交易日 涨4.83%。 对于当下市场，高盛1月5日发布题为《中国2026年展望：探索新动能》的宏观报告称，2026年建议高配 中国股票。 ...

在A股市场聚焦高质量发展、资金愈发青睐确定性收益的当下，中证500质量成长指数凭借独特的"质量+成长"双重筛选逻辑，成为中盘成长领域的优质标 的。作为从中证500指数中精选核心资产的"聪明贝塔"指数，其不仅具备中盘股的高弹性优势，更通过严苛的质量筛选筑牢风险底线，无论是长期配置价值 还是短期行情适配性都值得关注。结合2026年市场环境预判，这一赛道有望迎来资金的重点布局。 中证500质量成长的核心竞争力，源于其精准的编制规则与风险分散优势，与宽基指数"广撒网"不同，该指数从500只中证500成份股中层层筛选：先剔除连 续亏损企业筑牢盈利底色，再通过盈余波动率筛选盈利稳定标的，最终结合盈利能力、成长潜力、盈利质量和财务杠杆四大核心指标综合评分，精选100只 优质个股。这种筛选机制既保证了成份股的高ROE水平，又通过现金流指标规避了"纸面富贵"的财务陷阱，实现"以合理价格买入优质成长"的投资逻辑。同 时，指数行业分布均衡，覆盖新能源、半导体、高端制造等新兴赛道，且前十大权重股合计占比仅21.53%，有效分散了单一股票与行业风险，兼顾成长弹 性与投资稳健性。 图：500质量成长在中证500中通过成长+质量实现优胜略 ...

Report Industry Investment Rating The document does not provide the industry investment rating. Core Viewpoints - On September 17, 2025, most sectors in the convertible bond market rose, and the valuation increased compared to the previous day. The CSI Convertible Bond Index rose 0.57%, and the trading sentiment in the convertible bond market heated up [1]. - The convertible bond price center increased, with the proportion of high - price bonds rising. The valuation also increased, with the conversion premium rate and overall weighted parity showing certain changes [2]. - In the stock market, more than half of the underlying stock sectors rose. The top three rising sectors in the A - share market were power equipment, automobiles, and household appliances, while the top three falling sectors were agriculture, forestry, animal husbandry and fishery, commercial and retail, and social services. In the convertible bond market, the top three rising sectors were light manufacturing, power equipment, and electronics, and the top three falling sectors were transportation, beauty care, and household appliances [3]. Summaries by Directory Market Main Index Performance - The CSI Convertible Bond Index closed at 479.44, up 0.57% daily, 0.42% weekly, 1.79% monthly, and 15.65% since the beginning of 2025. The Shanghai Composite Index closed at 3876.34, up 0.37% daily, 1.81% weekly, 5.72% monthly, and 15.65% since the beginning of 2025. The Shenzhen Component Index closed at 13215.46, up 1.16% daily, 5.63% weekly, 15.40% monthly, and 26.89% since the beginning of 2025. The ChiNext Index closed at 3147.35, up 1.95% daily, 9.74% weekly, 27.44% monthly, and 46.96% since the beginning of 2025 [7]. - In terms of market style, large - cap growth stocks were relatively dominant. Large - cap growth stocks rose 1.15%, large - cap value stocks fell 0.03%, mid - cap growth stocks rose 0.98%, mid - cap value stocks rose 1.02%, small - cap growth stocks rose 1.07%, and small - cap value stocks rose 1.15% [1][8]. Market Fund Performance - The trading volume in the convertible bond market was 80.992 billion yuan, a 3.63% increase compared to the previous day, and the total trading volume of the Wind All - A Index was 2402.924 billion yuan, a 1.51% increase compared to the previous day. The net out - flow of the main funds in the Shanghai and Shenzhen stock markets was 32.839 billion yuan, and the yield of the 10 - year Treasury bond decreased by 1.78bp to 1.83% [1]. Convertible Bond Valuation - The weighted average closing price of convertible bonds was 131.07 yuan, a 0.69% increase compared to the previous day. The closing price of equity - biased convertible bonds was 183.62 yuan, up 7.66%; the closing price of bond - biased convertible bonds was 118.21 yuan, up 0.24%; and the closing price of balanced convertible bonds was 126.68 yuan, up 0.73% [2]. - The conversion premium rate of the 100 - yuan parity fitting was 29.21%, a 0.38pct increase compared to the previous day. The overall weighted parity was 102.13 yuan, a 0.38% increase compared to the previous day. The conversion premium rate of equity - biased convertible bonds was 11.14%, up 2.39pct; the conversion premium rate of bond - biased convertible bonds was 83.79%, up 0.43pct; and the conversion premium rate of balanced convertible bonds was 21.80%, down 0.47pct [2]. Industry Rotation - In the A - share market, the top three rising sectors were power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%); the top three falling sectors were agriculture, forestry, animal husbandry and fishery (-1.02%), commercial and retail (-0.98%), and social services (-0.86%). In the convertible bond market, the top three rising sectors were light manufacturing (+2.70%), power equipment (+2.05%), and electronics (+1.83%); the top three falling sectors were transportation (-0.28%), beauty care (-0.19%), and household appliances (-0.12%) [3]. - In terms of different sectors: - Closing price: The large - cycle sector rose 0.66%, the manufacturing sector rose 1.91%, the technology sector rose 1.36%, the large - consumption sector rose 0.18%, and the large - finance sector rose 0.55% [3]. - Conversion premium rate: The large - cycle sector rose 0.5pct, the manufacturing sector rose 0.034pct, the technology sector rose 0.49pct, the large - consumption sector fell 0.1pct, and the large - finance sector rose 0.32pct [3]. - Conversion value: The large - cycle sector rose 0.44%, the manufacturing sector rose 1.72%, the technology sector rose 1.01%, the large - consumption sector fell 0.46%, and the large - finance sector rose 0.31% [3]. - Pure bond premium rate: The large - cycle sector rose 0.8pct, the manufacturing sector rose 2.7pct, the technology sector rose 2.0pct, the large - consumption sector rose 0.19pct, and the large - finance sector rose 0.63pct [4].

Group 1 - The report suggests increasing allocation to mid-cap growth stocks, focusing on TMT (Technology, Media, and Telecommunications) and financial sectors, including semiconductors, automotive, photovoltaic equipment, banks, coal, non-bank financials, electronics, computers, and textiles [3][47] - The industry rotation model for August highlights a preference for sectors with strong fundamental factors, particularly semiconductors and electronics, as well as the financial sector, due to their high consistency in funding and expectations [3][47] - The report indicates that the overall market momentum effect is weakening, and the performance of sectors related to the anti-involution theme, such as photovoltaic equipment and coal, has shown a decline in relative scores despite their absolute scores remaining high [3][47] Group 2 - The report notes that the industry ETF saw a significant net inflow of 46.438 billion yuan, while broad-based ETFs experienced a net outflow of 93 billion yuan, indicating a shift in investor preference towards sector-specific investments [6][27] - The performance of passive index funds has been generally positive, with several sectors, including steel, construction materials, and medical devices, showing gains exceeding 10% due to various catalysts [22][27] - The report emphasizes that the mid-cap growth strategy remains favored, with the CSI 500 index being a core focus for 2025, reflecting a return to mid-cap dominance after alternating strategies in previous years [5][65] Group 3 - The report highlights that the industry rotation model has consistently outperformed major benchmark indices, achieving a monthly win rate of 85.71% since 2025, indicating its robustness in various market conditions [5][64] - The model's design incorporates a bottom-up approach to factor selection, focusing on stable factors with low drawdown risks, which enhances its effectiveness in capturing market dynamics [63][64] - The report also mentions that the recent inflow of overseas ETF funds into A-shares reflects a warming attitude from foreign investors, particularly in sectors like electronics and banking, aligning with the model's findings [41][64]

Core Viewpoint - The recent performance of the A-share market has been lively, with the Shanghai Composite Index reaching a new high since November last year, indicating a favorable environment for growth-oriented investments, particularly in high-volatility sectors like the ChiNext [1] Group 1: Index Comparison - The ChiNext 200 Index focuses on small and medium-sized enterprises within the ChiNext board, while the Sci-Tech 50 Index gathers leading companies from the Sci-Tech board [1][2] - The ChiNext 200 Index consists of 200 stocks, whereas the Sci-Tech 50 Index includes only 50 stocks, highlighting a broader selection in the former [1][2] - The median free float market capitalization of the ChiNext 200 is 9.162 billion, significantly lower than the 21.162 billion of the Sci-Tech 50, indicating a focus on smaller companies [1][2] Group 2: Performance Analysis - Since the end of 2019, the ChiNext 200 Index has achieved a cumulative increase of 44.38%, contrasting with a decline of 1.69% for the Sci-Tech 50 during the same period [2] - The ChiNext 200 Index has outperformed both the ChiNext Index and the ChiNext 50 in terms of cumulative growth and annualized returns since its inception, with a cumulative increase of 258% and an annualized return of 10.71% [4][5] - The ChiNext 200's focus on mid-cap growth companies allows it to capture more significant growth potential compared to the larger-cap stocks in the ChiNext Index and ChiNext 50 [6]