文 | 银行螺丝钉 （转载请注明出处） ——丁宁） T'J·四、 M AVVI日JXノ——JIXO 当时对杠杆投资、场外配资等管控较松， 带动市场出现一波杠杆牛。 A股在几个月时间里，从5星一口气涨到1星 泡沫估值。当时中证全指，从2000多点， 最高冲到8000多点。 同时，在2015年中小盘、成长风格大涨的 时候，价值风格相对低迷，跑输市场。 不过，因为市场太疯狂，2015年下半年， A股整体腰斩下跌。估值也快速回落到4点 几星。 (4) 2016年 随着2014年推出的一篮子刺激政策逐渐落 地，A股上市公司基本面逐渐复苏。 2014-2015年上涨比较少的价值股、消费 股，逐渐发力上涨。 2016-2017年出现了一轮基本面复苏,带 来的价值股慢牛行情。红利、价值、低波 动，以及消费等行业，逐渐上涨，在2017 年底，超过2015年牛市最高位水平。 而中小盘、成长股，因为2015年涨的实在 太多，2015-2017年整体下跌。 2024年，跟2013-2014年比较相似。 · 2023-2024年,也是基本面低迷,上市公 司盈利整体下降。 ·2024年9月，随着美联储首次降息，咱们 也推出了一篮子的降息 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In May 2025, the A - share market showed narrow - range oscillations. The market is mainly pricing the progress of fundamental recovery, and the capital market's ability to boost valuations is limited. In June, with previous reserve requirement ratio and interest rate cuts already implemented, direct positive factors for the stock market are expected to be limited, and the market will likely continue to oscillate. The style - switching observation window in 2025 may be in August [3]. - The large - cap indices have outperformed small - cap indices for three consecutive months since March. The basis discount of stock index futures is relatively large, mainly affected by market hedging demand and periodic dividend factors [3]. - The Q1 2025 financial reports of A - share listed companies show a mixed performance. Although there are signs of profit recovery, it remains to be seen whether companies can maintain their Q1 net profit levels under the background of the tariff war, and the accounts receivable ratio is rising. The valuation of A - shares is at a historical median, and future quasi - stabilization funds are expected to maintain the overall stability of A - share valuations [3]. 3. Summary by Relevant Catalogs 3.1 Monthly Highlights of Stock Index Futures - **Market Oscillation**: In May, the A - share market had narrow - range oscillations. Wind All - A rose 2.39% monthly, CSI 1000 rose 1.28%, CSI 500 rose 0.7%, SSE 50 rose 1.73%, and SSE 300 rose 1.85%. The large - cap indices have outperformed small - cap indices for three consecutive months since March. In June, the stock market is expected to continue oscillating, and the style - switching window in 2025 may be in August [3]. - **Basis Discount**: The basis discount of stock index futures is relatively large. It mainly reflects market hedging demand, which depends on the existence of obvious Alpha returns. Dividend factors also have a significant impact on the basis discount. For example, the discount caused by dividends in CSI 1000 contracts ranges from 35 to 55 points [3]. - **Q1 Financial Reports**: After excluding finance, the year - on - year revenue growth rate of A - shares in Q1 was - 0.33%, and the net profit year - on - year was 3.4%. ROE was 6.34%, in the bottoming stage of a downward cycle. The performance of Q1 financial reports was mixed, indicating that the profitability of listed companies is still bottoming out, but there are signs of recovery [3]. 3.2 Market Conditions in May - **Index Performance**: The large - cap indices outperformed small - cap indices for three consecutive months. At the end of May, the yield of the 10 - year active Treasury bond was 1.72%, the dynamic P/E ratio of Wind All - A was 18.93 times, and the equity risk premium declined slightly. The valuations of CSI 1000 and SSE 300 increased slightly compared to the previous month [15][17]. - **Volatility and Margin Funds**: The implied volatility of index options continued to decline, with 1000IV at 21.64% and 300IV at 15.96%. The margin balance remained unchanged for three consecutive weeks, with relatively little marginal capital. At the end of May, it was 1.792 trillion yuan [24]. - **Sector Performance**: In May, the banking, non - banking finance, and pharmaceutical biology sectors drove the index, while TMT and power equipment sectors performed weakly [25]. 3.3 Index and Option Indicators - **Index Performance and Basis Discount**: CSI 1000 rose 1.28% monthly, CSI 500 rose 0.7%, SSE 300 rose 1.85%, and SSE 50 rose 1.73%. The basis discount annualization of each index showed a divergent upward trend [35][41][46]. - **Option Indicators**: For CSI 1000, SSE 300, and SSE 50 options, historical volatility, volatility cones, position PCR, and trading PCR data are provided, but no specific analysis conclusions are given [48][57][65]. 3.4 Trading Slippage - Trading slippage data for IM, IC, IF, and IH are provided, including long - and short - position slippage, but no specific analysis conclusions are given [73][76][78]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating provided in the report. 2. Report Core Views - **Stock Index**: Extreme conservative House members threaten to block Trump's tax - cut bill, and the White House warns that killing the bill would be an "ultimate betrayal". The EU says the US negotiation proposal is unrealistic and has a new plan. The US states that the Treasury Secretary and the Japanese Finance Minister did not discuss exchange - rate levels at the G7 meeting. Shanghai releases a special action plan to boost consumption. The domestic market rotation is fast, the main driving force of the market is weak, and the stock index may fluctuate [1]. - **Treasury Bonds**: The suppression of bonds by the equity market is limited. Treasury bond futures show strong buying support near the technical support level in the afternoon. The market is looking for cost - effectiveness, and the allocation funds favor long - term local bonds in central regions with sufficient spread protection. In the medium - to - long term, the upside space of yields is relatively limited under the background that the logic of loose liquidity remains and the signal of fundamental recovery needs to be verified. However, the short - term market lacks clear catalysts and the trend is in a stalemate [3]. 3. Summary by Related Catalogs Stock Index - **Market Review**: The main contract futures of CSI 300 rose 0.43%, the main contract futures of SSE 50 rose 0.46%, the main contract futures of CSI 500 rose 0.13%, and the main contract futures of CSI 1000 fell 0.18% [6]. - **Technical Analysis**: The KDJ indicator of the Shanghai Composite Index shows that it may fluctuate and there is an adjustment risk [7]. - **Strategy Suggestion**: Adopt a defensive and wait - and - see strategy [2]. Treasury Bonds - **Market Review**: The 10 - year main contract rose 0%, the 5 - year main contract rose 0.03%, the 30 - year main contract rose 0.27%, and the 2 - year main contract rose 0.02% [9]. - **Technical Analysis**: The KDJ indicator of the T main contract shows an oscillating operation and may rebound [10]. - **Strategy Suggestion**: Bullish in the short term [4]. Futures Data - On May 21, 2025, the closing prices, price changes, trading volumes, and open interests of various stock index and treasury bond futures contracts are provided in a table [12].