期市有风险，投资需谨慎 股指 国投期货 2026 年度策略报告 ——盈车嘉穗，风禾尽起 2025 年 12 月 王伟钰 分析师 从业资格证号：F03142688 近期相关报告： 《挖掘潜能，政策集成———— 2025 年中央经济工作会议点 评》20251212 《降息落地叠加扩表维稳，"鹰 派降息"压力缓和——2025 年 12 月份美联储议息会议点 评》20251211 《坚守高质量的强国之路 —< 中国共产党第二十届中央委员 会第四次全体会议公报 >政策 解析》20251026 此报告版权属于国投期货有限公司 0 各项声明请参见报告尾页 | 目录 | | --- | | 1. 市场回顾与宏观展望：盈车嘉穗 3 | | --- | | 1.1. A股市场回顾 3 韩泽文 | | 分析师 | | 1.2. 宏观展望 6 | | 2. 估值与驱动 7 | | 2.1. 中资定价权的稳步回归 8 | | 王伟钰 | | 2.2. 当前估值所处历史位置与横向对比 9 分析师 | | 2.3. 股息率与风险溢价 11 | | 2.4. 利润增速是相对偏强指数的有力支撑 13 | | 3. 投资者结构与基差中枢展望：波 ...

Market Overview - The market experienced high-level fluctuations in September, with significant gains in the Sci-Tech Innovation Board, reaching new highs in the current market cycle, while other major indices mainly oscillated [1] - Technology growth sectors such as electric equipment, electronics, and media performed well due to industrial catalysts and benefits from the Federal Reserve's interest rate cuts, whereas military, finance, and consumer sectors showed relatively weaker performance [1] Economic Indicators - Economic data for August showed a continued slowdown, with investment, consumption, and production all underperforming market expectations, indicating increasing economic pressure [1] - Fixed asset investment growth turned negative for two consecutive months, primarily due to declines in real estate, manufacturing, and infrastructure investments [1] - Retail sales growth slowed, and the effectiveness of the "trade-in" policy weakened, while industrial value-added and service production indices maintained over 5% growth, albeit with a deceleration [1] Policy Impact - The recent article by Xi Jinping emphasized the need to address low-price disorder in competition, reinforcing anti-involution policies [1] - The rapid decline in manufacturing investment growth since Q3 reflects the phase of anti-involution, aiming to regulate local government behavior and raise industry thresholds, which may suppress inefficient investments and reduce some demand [1] - While short-term effects may lead to economic contraction, the foundation for price recovery is expected to strengthen, potentially reversing the supply-demand imbalance in the medium to long term [1] Valuation and Market Dynamics - Valuation-driven growth has been the primary force behind the stock market's rise over the past year, with A-share market valuations recovering to high levels [2] - The overall performance growth of A-shares remains low, with valuation increases contributing significantly to market gains, while the divergence between valuation and fundamental expectations poses long-term risks [2] - Future focus should be on improvements in corporate earnings, as the ongoing deepening of anti-involution policies is expected to enhance fundamental market drivers [2] Investment Strategy - The market still has upward potential relative to historical levels, supported by indicators such as stock-bond yield ratios and total market capitalization to GDP [3] - The diversification of household excess savings is gradually unfolding, and the onset of the Federal Reserve's interest rate cuts is likely to rebalance global capital flows, benefiting the domestic market [3] - Five key investment themes are highlighted: service consumption with supply advantages, breakthroughs in pharmaceuticals, early-stage growth in artificial intelligence, cyclical leaders benefiting from Fed rate cuts, and consumer goods with strong earnings elasticity [3]

Core Viewpoint - The recent divergence between economic data and A-share performance indicates a strong stock market driven by improved expectations and declining market interest rates, particularly deposit rates, which have encouraged external capital inflow [1][9]. Economic Indicators - Major economic indicators such as industrial added value and retail sales have shown a slowdown, with industrial growth rates of 6.8%, 5.7%, and 5.2% from June to August, and retail sales growth rates of 4.8%, 3.7%, and 3.4% during the same period [3]. - Fixed asset investment growth has also declined, with cumulative year-on-year growth rates of 2.8%, 1.6%, and 0.5% from June to August [3]. Market Performance - Since July, the A-share market has seen significant gains, with the Shanghai Composite Index rising from a range of 3100-3400 points to over 3800 points, marking a nearly ten-year high. The index increased by 12.1%, while the ChiNext Index and STAR Market Index rose by 42.4% and 33.6%, respectively, from July 1 to September 15 [1][8]. Valuation and Earnings - Analysts note that the current bull market is primarily driven by valuation rather than earnings, with A-share companies showing weak profit growth of only 2.42% and 0.98% for listed companies and non-financial sectors, respectively, in the first half of the year [6][11]. - The market's risk appetite has increased, contributing to rising valuations, with external factors such as easing trade tensions and expectations of U.S. Federal Reserve rate cuts playing a role [6][8]. Capital Inflow and Liquidity - The decline in deposit rates has prompted a shift of funds from savings to the stock market, with approximately 33 trillion to 60 trillion yuan of excess savings potentially available for investment [9]. - The current three-year deposit rate has fallen below 2%, leading to a "wealth effect" that encourages residents to invest in financial products or the stock market instead of keeping funds in low-yield savings [9]. Market Outlook - Despite recent gains, experts believe that A-share valuations remain reasonable, with the financing balance as a percentage of market capitalization at 2.49%, significantly lower than the 4.7% peak in 2015 [10]. - The market is expected to maintain its upward momentum, supported by favorable conditions across various factors, although some minor corrections may occur [10]. - A sustainable bull market requires effective economic improvement and profit recovery, as the current valuation levels are approaching the upper limits seen since 2016 [10][11].

Core Viewpoint - The current trend in the Chinese capital market is supported by three main pillars: the breaking of economic globalization under a century of changes, the historical elevation of the capital market's positioning since the 20th National Congress, and the risk appetite boost from strategic adjustments towards the U.S. [1] Market Dynamics - The market is currently in the "valuation-driven" phase, focusing on three core themes: hard power (such as military industry), technology to counter "neck-holding" issues, and leading manufacturing companies expanding internationally [1] - Once the market confirms the prospects of China's deepening role in global development, it will shift to a "fundamentals-driven" phase, characterized by diverse performance across sectors as they improve based on enhanced global discourse power [1] Market Assessment - The overall market valuation is deemed reasonable, with market capitalization not aligning with economic status, stable investor sentiment, and diversified institutional holdings reducing the risk of a market crash [1] - The transition from the bond market to the stock market, along with foreign capital inflows, presents significant potential for incremental funding, indicating that the market is still in the early stages of the "valuation-driven" phase [1] - Systematic risks for market fluctuations are considered manageable at this stage [1]

Group 1 - The article discusses the long-term narrative of a bull market, suggesting that a 10% annualized return from broad market indices is a reasonable expectation based on historical data [5][6] - Historical performance of major indices such as the CSI 300, Hang Seng Index, and S&P 500 indicates significant long-term growth, with the CSI 300 showing a 352.22% increase over 20.78 years and the S&P 500 increasing by 237.13% over 10 years [5][6] - The article emphasizes that a bull market is unlikely to be linear and will be influenced by economic cycles and unexpected events, leading to alternating phases of bull and bear markets [6][7] Group 2 - Economic fundamentals are identified as the cornerstone of a long-term bull market, with earnings growth being a critical driver of index performance [8][10] - The relationship between price (P), earnings per share (EPS), and price-to-earnings (PE) ratio is explained, highlighting that while valuation can fluctuate, sustained earnings growth is essential for a bull market [9][10] - The article warns against relying solely on valuation increases for market growth, as this can lead to unsustainable price levels without corresponding earnings growth [11][16] Group 3 - The concept of a "slow bull" market is introduced, which is characterized by gradual increases in line with corporate earnings, contrasting with the rapid gains of "fast bulls" [19][20] - The article notes that while a slow bull market is preferable for long-term stability, the current market dynamics may still lead to short-term volatility driven by retail investor sentiment [20][21] - Historical data shows a decreasing trend in the amplitude of market fluctuations during bull markets, indicating a maturation of retail investor behavior [21][23]

Group 1 - The core driving force of the current bull market is being questioned, whether it is based on fundamentals or valuations [5][20] - The Consumer Price Index (CPI) remained flat year-on-year in July 2025, with a month-on-month increase of 0.4%, indicating a stable inflation environment [3][12] - The Producer Price Index (PPI) showed a month-on-month decline of 0.2%, but the rate of decline has narrowed, suggesting a positive feedback effect from consumption policies [3][4] Group 2 - Historical analysis of companies like Kweichow Moutai and Yangtze Power indicates that valuation-driven performance often outweighs fundamental performance over the years [6][8] - The stock price performance of Kweichow Moutai shows that valuation contributed in 13 out of 23 years, while performance only contributed in 5 years [6][7] - For Yangtze Power, valuation also played a significant role, with valuation-driven years outnumbering performance-driven years [8][10] Group 3 - The A-share market's core driving force is predominantly valuation, with significant liquidity expected to continue supporting the market [11][15] - The monthly trading volume in the A-share market has shown substantial differences, with recent averages exceeding 1.68 trillion yuan, indicating strong market activity [17][18] - The current total market value to GDP ratio stands at 80.92%, suggesting room for growth in the market [22]

Summary of Coal Industry Conference Call Industry Overview - The coal industry is currently facing inventory pressure, but there are signs of marginal improvement. Power plant inventories are not at yearly highs, and demand for replenishment, reduced imports, and improved daily consumption are expected to stabilize and rebound coal prices from late May to the end of June, although the extent of the rebound is influenced by inventory levels [1][4][27]. Key Points and Arguments - **Investment Logic Shift**: The investment logic in the coal industry has shifted from cyclical to valuation-driven. The new public offering regulations have increased the focus on dividend assets, leading to stronger capital inflows. The coal sector's allocation ratio is lower than that of the CSI 300, indicating potential for long-term valuation increases in a declining government bond yield environment [1][4][10][28]. - **Supply-Side Reform Impact**: Supply-side reforms have significantly affected the coal industry, stabilizing prices through production limits. However, production and capacity increases are constrained, enhancing price stability. Long-term inflation and rising costs are expected to drive resource prices higher, shifting investment strategies from performance growth to valuation growth [1][8][9]. - **Capital Expenditure Trends**: The proportion of capital expenditure for new capacity has decreased, with stricter safety and environmental requirements limiting new supply elasticity. The long-term contract pricing mechanism (base price of 675 RMB/ton) ensures stable profitability [1][9][20]. - **Coal Price Trends**: Coal prices have been on a downward trend this year, with the Qinhuangdao 5,500 kcal coal price dropping to around 617 RMB. Factors influencing this trend include a slowdown in electricity demand growth, the impact of wind and solar energy alternatives, and changes in tariff policies. However, as summer temperatures normalize, total electricity demand is expected to improve, potentially boosting thermal power demand [2][3][13][14]. - **Future Demand and Supply Dynamics**: The demand for thermal coal is expected to remain resilient due to increased coal consumption in the chemical industry and improved coal consumption per unit of electricity. The supply is relatively stable, suggesting that prices may fluctuate around a central point in the medium to long term [3][19]. Additional Important Insights - **High Dividend Assets**: In the context of declining government bond yields, high dividend assets are likely to receive valuation premiums. For instance, China Shenhua's dividend payout ratio is expected to increase significantly, enhancing its attractiveness as a defensive investment [10][12]. - **Market Preferences**: The market's preference has shifted towards technology growth sectors, which has affected the performance of the coal sector within the dividend investment logic. The coal sector's performance has been relatively weak compared to other sectors [13][18]. - **Stock Recommendations**: Recommended stocks include Yanzhou Coal for elastic growth, China Shenhua for high dividends, and State Power Investment Corporation for transformation growth. These companies are expected to maintain strong dividend yields and growth potential [23][30][31]. - **Future Price Predictions**: Coal prices are expected to stabilize or rebound from late May to the end of June, with potential fluctuations in July depending on demand conditions. The upcoming peak purchasing season in September and October may also positively impact prices [7][18][27]. - **Focus on Defensive Investments**: Given the current economic uncertainties, high dividend stocks, particularly leading companies in the coal sector, are expected to continue attracting investor interest and maintain high valuation levels [10][12].

日本九十年代市场复盘 1 日本九十年代市场复盘：多次下调利率，逐步进入零利率时期 20世纪90年代初期，日本泡沫经济破灭后经济快速下行，随之资产负债表衰退，日本货币政策转向 宽松。 日本央行于1991年7月将政策利率从6%下调至5.5%，同年11/12月各降50BP至4.5%；1992年4 月降到3.75%，7月再降50BP；并于1993年2月降到2.5%。此后2年多的时间内政策利率持续下调， 1995年5月下调为1%，同年9月再次下调至0.5%。1999年，日本央行将利率下降至0%，成为首个进入 零利率时代的央行。 同期日本国债利率呈现明显的下行趋势，以10年期国债收益率为例，1990年9月其收益率高达8%左 右，1998年9-10月则降至1%以下。 2 ▲图表1： 日本九十年代调整政策利率 资料来源：Wind，日本央行，国际清算银行， 野村东方国际证券 注：1998年前用官方贴现率，1998年后用政策利率 ▲图表2： 日本十年期国债利率 资料来源：Wind，日本财务省，野村东方国际证券 消费股基本面及估值变化情况 日本90年代经历了十次利率下调，我们根据此段时间利率下降的幅度和频次将其分为四个阶段。 东证 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The Japanese stock market experienced significant valuation increases during three notable periods post the 1990s bubble burst, with PE ratios reaching as high as 159 times [2][4] - The analysis of the 1990s low-interest environment reveals a clear distinction between periods driven by fundamentals and those driven by valuation changes, particularly in the consumer sector [5][20] - The food and beverage sector showed relative stability despite a slight revenue decline, indicating a shift in consumer behavior towards essential goods [8][25] Summary by Sections Historical Context - The report outlines the four phases of Japan's declining interest rates from the early 1990s to the late 1990s, highlighting the impact on various consumer sectors [6][7] - The initial phase saw a 40% drop in the market, while subsequent phases experienced varying degrees of recovery and decline across sectors [7][14] Sector Performance - In the 1994-1995 recovery period, all sub-sectors showed improvement, with retail profits soaring by 180% and significant revenue increases across various industries [13][17] - The food and beverage sector's revenue grew by 4% during the 1996-2000 period, but profits declined by 13%, reflecting a challenging environment [15][17] - The electrical equipment sector outperformed others, with a revenue increase of 5% and profit growth of 7% during the same period [17] Valuation Dynamics - The report emphasizes the shift from fundamental-driven performance in 1994-1995 to valuation-driven performance in 1996-2000, with significant declines in PE ratios across most consumer sectors [20][21] - Essential goods like food and beverages maintained stable valuations, contrasting sharply with the volatility seen in discretionary sectors [25] Consumer Behavior Trends - The report notes that during the economic recovery, discretionary spending surged, particularly in the wholesale and retail sectors, with substantial increases in both revenue and profit [24] - Essential sectors demonstrated resilience, with minimal fluctuations in valuations compared to more volatile discretionary sectors [25]