| 申万期货品种策略日报——股指 | 2025/10/20 | 星期一 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 申银万国期货研究所 贾婷婷（从业资格号：F3056905；交易咨询号：Z0016232 ）jiatt@sywgqh.com.cn;15921620356 | 申银万国期货研究所 柴玉荣 （从业资格号：F03111639；交易咨询号：Z0018586）chaiyr@sywgqh.com.cn;18802979529 | | | | | | | | | | | 一、股指期货市场 | IF当月 | IF下月 | IF下季 | IF隔季 | | | | | | | | 前两日收盘价 | 4614.00 | 4599.60 | 4590.00 | 4566.80 | 前日收盘价 | 4539.60 | 4495.80 | 4485.20 | 4463.00 | | | 涨跌 | -71.60 | -101.00 | -100.60 | -101.20 | 沪深300 | 涨跌 ...

发布日期：2025年10月16日 一、核心结论：冰火为何转换？ 过去几年，美联储持续加息，导致大量跨境资本流出中国。资本可以自由流动，但国内的劳动力、土 地、技术等生产要素无法跨境流动，导致要素价格持续回落。 与此同时，中国逆势降息，推动制造业资本开支（CAPEX）扩张，加剧了制造业内卷。表面上看，中 国经济呈现通缩，A股走熊；但实际上，通缩促进了中国出口扩张，内卷夯实了中国制造的全球竞争 力。 报告来源：西部证券策略首席 曹柳龙 报告原文录音：见上方音频 各位投资者朋友，大家好。 今天，我想和大家系统性地汇报我们团队对当前市场和未来走势的最新判断——我们称之为 "冰火转换 时刻"。 简单来说，市场的风格正在从TMT转向资源、消费、制造等顺周期板块。这不仅是我们四季度的核心 观点，也是我们明年策略展望的重要组成部分。 在中美对抗尚未摊牌之前，通缩与内卷反而帮助中国快速积累了国民财富。 而现在，攻守之势异也。 美联储已于今年9月重启降息，跨境资本将加速回流中国。这将带来两大机会： 1. 大众消费将迎来牛市； 2. 反内卷政策将修复高端制造业的现金流，推动股价系统性修复。 二、六大逻辑支撑"冰火转换" 1. 跨境 ...

近期A股市场呈现明显的"指数分化、个股普跌、资金轮动"特征。 以科创50为代表的科技板块出现大幅回调，单日跌幅一度达2.51%，而创业板指则强势领 涨2.34%。 市场资金正从高估值的半导体、通信设备等科技领域撤出，单日净流出规模超百亿元，转而涌入电池、消费等板块。 这种"高低切换"的背后，是 市场对估值合理性与业绩确定性的再平衡。 消费行业在沪深300指数中权重约16%，是近期跌幅最大的领域之一。 但政策层面已将"提振消费"列为十大工作任务之首，消费品以旧换新政策已带动销售 额1.1万亿元，发放补贴约1.75亿份。 汽车以旧换新补贴申请量达412万份，家电、数码产品销量同比增幅显著。 细分领域中，酿酒、食品饮料板块资金净流入超16亿元，暑期档电影《哪吒2》票房突破150亿元，苏杭等城市酒店预订量大幅增长，显示服务消费持续升 温。 中央财经大学教授姚东旻指出，政策不仅拉动短期销售，还推动消费品结构升级。 原材料行业在沪指权重约15.2%，当前多数细分领域处于产能出清关键阶段。 以石油化工、煤炭、钢铁为例，行业通过"反内卷"政策推动产能优化，资本开 支增速连续5个季度负增长。 工业金属和小金属因供给充分出清，且 ...

Group 1 - The market is experiencing a shift in driving logic rather than a simple switch between growth and value styles or sector performance, with macroeconomic improvements allowing economic recovery to spread across multiple industries [1] - Recent discussions on style switching have been misinterpreted; the focus should be on the underlying logic of market changes rather than merely high versus low performance [1][5] - Historical patterns indicate that as manufacturing activity improves, commodities like copper and aluminum are beginning to outperform gold, suggesting a potential recovery in manufacturing-related sectors [1] Group 2 - Domestic deflation concerns are easing as signals indicate a reversal in key cyclical factors, including improved export growth and profitability in the midstream manufacturing sector [2] - Recent financial data shows a mixed picture, with a slowdown in social financing growth but a rebound in new RMB loans, indicating potential for increased domestic consumption [2] - The overall inflation data remains weak, but structural improvements in PPI and core CPI suggest a recovery in midstream manufacturing profitability [2] Group 3 - There is an increasing expectation of larger interest rate cuts by the Federal Reserve, driven by concerns over the labor market rather than inflation, which may support economic stability [3] - The potential for increased manufacturing and real estate investment in the U.S. following interest rate cuts is significant, as historical trends show a rebound in these sectors post-cut [3] - The shift in focus from service sector strength to manufacturing investment could lead to increased demand for intermediate goods [3] Group 4 - The main logic driving market changes is the recovery of global commodity demand and China's exit from deflation, with opportunities emerging in upstream resources and capital goods [5] - As profitability recovers, sectors related to domestic demand, such as food and beverage, tourism, and insurance, are expected to present investment opportunities [5]

Group 1 - Hedge funds have shifted from a bearish to a bullish sentiment, marking the fastest buying of U.S. stocks in seven weeks, with a buying intensity ratio of 2.4:1 compared to short selling [2][3] - The total leverage ratio for fundamental long-short strategies has increased to 210.1%, indicating a rise in market aggressiveness, while the net leverage ratio remains at a median level of 52.7% [2][3] - Despite the increase in leverage, the long-short ratio has decreased to 1.67, suggesting that there is still a lack of overwhelming bullish sentiment among funds [2][3] Group 2 - The market is experiencing a significant style shift, with previously popular stocks facing sell-offs while neglected sectors, such as healthcare, are rebounding [3][4] - The "high volatility momentum stock" index has dropped 7% over the past five days, indicating a withdrawal of funds from high-risk stocks [3] - The healthcare sector has shown a notable rebound of 4%, marking its best weekly performance since October 2022, contrasting with declines in nuclear and previously winning stocks [3][4] Group 3 - There is a trend of large-cap tools being favored, while defensive sectors are being abandoned, with macro products like indices and ETFs seeing significant net inflows [4] - Individual stocks have experienced slight net selling over the past two weeks, with healthcare, consumer staples, utilities, and financials being the main sectors sold off [4] - Notably, hedge funds have made the largest withdrawal from defensive stocks in four months, particularly in the consumer staples sector, indicating a shift in investment strategy [4]

8月14日A股市场经历了戏剧性的震荡走势。上证指数早盘一度冲高至3704.77点，创下2021年12月13日以来新高，但随后出现系统性回调，最终收报3666.44 点，下跌0.46%。深证成指和创业板指分别下跌0.87%和1.08%，三大指数均以次低点报收。 部分前期强势的微盘股出现明显调整。名雕股份在盘中涨停后突然跳水，收盘大跌8.50%。飞沃科技同样低开低走，跌幅达8.84%。这些个股的急剧变化预 示着市场风格可能正在发生转换。 技术面释放调整信号 从技术角度分析，市场出现了多个值得关注的信号。上证指数连续失守3700点、3684点和3674点三个重要技术关口，显示出空方力量的增强。早盘科创板核 心资产大幅飙升后的快速回落，形成了典型的"冲高回落"走势。 主要综合指数与对应成分指数形成"指数型顶背离"，原有的调整性质可能正在升级。高位放量上涨遇到"阴包阳"放量下跌的技术形态，表明空方采取了有组 织的消耗策略。分时图上的反复下跌走势进一步确认了调整压力的存在。 科创50指数早盘冲高至1109点后戛然而止，这个点位恰好完成了60分钟双底的量度升幅。技术理论显示，完成量度升幅后开始下跌符合市场运行规律。上证 指 ...

Summary of Conference Call Notes Industry or Company Involved - The discussion revolves around the micro-cap stock market and its performance trends within the broader market context Core Points and Arguments 1. **Market Style Dynamics**: The micro-cap style has shown interesting performance in the current bull market, but liquidity constraints may suppress its performance on a quarterly basis. Since March, the inflow of resident funds has noticeably slowed down, impacting the micro-cap style's sustainability [1][2][8] 2. **Market Index Performance**: By May, the micro-cap index reached a new high, contrasting with the lack of new highs in other indices like the CSI 300. This indicates a shift in market style driven by funding factors [2][4] 3. **Seasonal Trends**: Historically, dividend stocks and large-cap stocks tend to perform well during the summer, but over a longer-term view, the performance is more influenced by investor structure rather than economic conditions [3][4] 4. **Volatility and Performance Patterns**: The market has experienced several waves of both upward and downward movements since October of the previous year, with micro-cap stocks showing greater volatility in both directions [4][6] 5. **Financing Balance Trends**: The financing balance has shown a lagging response to market movements, indicating a potential decline in resident investment enthusiasm. Recent data shows a plateau in financing balance despite market rebounds, suggesting a cooling of resident investment interest [9][10][17] 6. **Investor Participation Structure**: The participation of retail investors is crucial for the micro-cap market. The flow of resident funds into the market can dictate whether the market leans towards micro-cap or large-cap styles [12][21] 7. **Future Outlook**: While short-term performance of micro-cap stocks may be limited, there is potential for renewed interest from resident funds later in the year or next year, especially if economic data improves [19][24] 8. **Long-term Trends**: The micro-cap style is not expected to end in the long term, as historical patterns show that market styles shift based on the growth of institutional funds and investor sentiment [20][22][23] Other Important but Possibly Overlooked Content 1. **Impact of Economic Conditions**: The discussion highlights that the performance of micro-cap stocks is less correlated with economic conditions and more with the structure of investor participation [3][10] 2. **Market Sentiment and Volatility**: The sentiment among resident investors has been declining, which could lead to reduced trading activity and impact the overall market dynamics [9][17] 3. **Potential for Future Investment**: The call suggests that while immediate prospects for micro-cap stocks may be challenging, there is a belief that conditions could improve, leading to renewed investment interest [18][24]

Market Overview - The market is experiencing a divergence, with the Shanghai Composite Index showing weakness while the Shenzhen market, particularly the ChiNext and the Shenzhen Component Index, is performing well and reaching new highs [1][2] - The Shanghai Composite Index is currently fluctuating around the zero axis, influenced by the stronger performance of the Shenzhen market [1] Index Performance - The Shenzhen market is in a phase of catch-up, as it is still below significant resistance levels from previous highs, indicating potential for further upward movement [2] - The CSI 300 Index is performing better than the Shenzhen index but weaker than the Shanghai index, reflecting a middle-ground performance among the three major indices [2][3] Market Trends - The current market trend is characterized as a sideways movement rather than a clear bull or bear market, indicating a need for cautious investment strategies [3] - The overall market structure suggests a prolonged period of consolidation, with a recommendation for moderate positioning in investment portfolios [3] Sector Performance - The innovation drug and biopharmaceutical sectors are showing resilience and are expected to perform well, particularly during periods when technology sectors are underperforming [4][5] - Consumer electronics and certain biopharmaceutical segments are highlighted as having potential for growth, with specific stocks within these sectors showing strong performance [4][5] Investment Strategy - The market is currently in a small adjustment phase, and while some sectors may experience short-term corrections, there remains potential for future growth in selected areas [6] - Investors are advised to maintain a balanced approach, utilizing strategies such as buying low and selling high, while being prepared for sector rotations [3][6]

Market Overview - The A-share market experienced a dramatic reversal, with the Shanghai Composite Index dropping 20 points within 40 minutes of opening, erasing the previous day's gains [1][3] - The number of declining stocks surged to 3,900, while only about 1,100 stocks rose, indicating a significant shift in market sentiment from optimism to uncertainty [1][3] Triggering Factors - The initial market rally was fueled by a U.S. court ruling that prohibited Trump from imposing tariffs on multiple countries, which boosted market confidence [3] - However, the reversal occurred when the U.S. court overturned its previous decision, reinstating Trump's tariff policies, leading to a sharp decline in market sentiment [3][4] Market Dynamics - The significant drop in the market was exacerbated by the absence of large institutional investors who typically stabilize the market during periods of uncertainty [4][5] - The performance of the CSI 300 ETF was particularly notable, as it showed a pronounced downward trend, contributing to the market's decline instead of providing support [4][5] Style Shift Indicators - Despite the overall market downturn, indices such as the CSI 500, CSI 1000, and CSI 2000 displayed resilience, suggesting a potential shift in market style [5] - There is speculation that funds may be moving away from dividend-focused stable styles towards growth-oriented investments, which could lead to a more dynamic market environment [5][6] Growth Potential - The current low valuation of the A-share market, especially in the ChiNext, presents a significant opportunity for investors, as the potential for upward movement is substantial [7] - The market's low position, combined with ongoing economic recovery and policy support, suggests that a new upward cycle may be on the horizon, providing a favorable environment for investment [7]