周度报告——股指期货 A 股多头格局延续，关注中报季扰动 | 走势评级: | | --- | [★Ta一bl周e_复Su盘mm：a沪ry]指突破 3800 点 股 指 期 货 本周（08/18-08/22）以美元计价的全球股市收涨。MSCI 全球指 数涨 0.34%，其中发达市场（+0.44%）>前沿市场（-0.24%）> 新兴市场（-0.46%）。瑞士股市涨 2.14%领跑全球，中国台湾股 市跌 4.93%全球表现最差。中国权益资产大涨，分市场看，A 股> 中概股>港股。A 股沪深京三市日均成交额高达 25880 亿元，环 比上周（21022 亿元)放量 4858 亿元。各指数普遍涨超 3%，其中 科创 50 涨 13.31%表现最好，上证 50 涨幅 3.38%跑输大盘。本周 A 股中信一级行业中共 30 个上涨（上周 22 个），0 个下跌（上 周 8 个）。领涨行业为通信（+10.47%），跑输最多的行业为房 地产（+0.98%）。利率方面，本周 10Y 国债收益率上行，1Y 上 行，利差扩大。ETF 资金流向方面，跟踪沪深 300 指数的 ETF 份额本周减少 10 亿份，跟踪中证 500 的 ET ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - As the equity market continues to break through and rise, a positive cycle is formed between the market's profit - making effect and the continuous influx of funds, solidifying the "bull market expectation". Convertible bonds rise in tandem with the underlying stocks. Due to the supply - demand mismatch in the convertible bond market, the number of convertible bonds redeemed early in the bull market increases, leading to a decrease in supply, while the continuous expansion of the "fixed - income +" strategy boosts the demand for convertible bonds, driving up the valuation of convertible bonds. Currently, the 100 - yuan valuation of convertible bonds is approaching the historical high of around 40%. Low - price convertible bonds have limited upside potential, while high - price and low - premium convertible bonds are expected to fully release their bull - market elasticity, and equity - like convertible bonds may become the key focus of the market [2][7]. 3. Summary by Directory 3.1 Weekly Views and Outlooks - With the equity market's upward trend, the "bull market expectation" is strengthened. Convertible bonds follow the underlying stocks. The supply - demand imbalance in the convertible bond market, with reduced supply due to early redemptions and increased demand from "fixed - income +" expansion, pushes up valuations. Low - price convertible bonds face challenges in breaking through price ceilings, while high - price and low - premium convertible bonds are more promising [2][7]. 3.2 Convertible Bond Valuation - This week, convertible bonds and underlying stocks continued to rise strongly, with similar涨幅. The 100 - yuan valuation has exceeded 35% and is approaching the historical high. The market - wide 100 - yuan premium rate of convertible bonds is 37%, up 2.11% from last week, and the latest percentile is at the 95.10% level since 2017. The valuations of high - and low - rated convertible bonds both increased by about 2%. After removing outliers, the 100 - yuan valuations of high - and low - rated convertible bonds are at extreme levels since 2017 [6][8]. - The yield to maturity of convertible bonds reached a new low since 2017, reporting - 7.21%. As of now, the conversion premium rate index, pure - bond premium rate index, and yield to maturity are 43.18%, 47.58%, and - 7.21% respectively, with week - on - week changes of +1.10%, +4.26%, and - 0.93%. Their current percentile levels since 2017 are 63.70, 86.20, and 0.00 respectively [6][13]. 3.3 Clause Tracking 3.3.1 Redemption - This week, Rongtai Convertible Bond, Dongjie Convertible Bond, Haitai Convertible Bond, Sheyan Convertible Bond, Chongda Convertible Bond 2, and Dayuan Convertible Bond issued early redemption announcements. Currently, there are 26 convertible bonds that have issued early redemption or maturity redemption announcements but have not yet delisted, with a potential conversion or maturity balance of 4.7 billion yuan for the non - delisted convertible bonds subject to early redemption or maturity redemption [6][18]. - There are currently 45 convertible bonds in the redemption process, and 16 are expected to meet the redemption conditions next week, which should be closely monitored [22]. - Seven convertible bonds issued non - redemption announcements this week [25]. 3.3.2 Downward Revision - Qifan Convertible Bond proposed a downward revision this week. As of now, 132 convertible bonds are in the non - downward - revision period, 23 cannot be downward - revised due to net asset constraints, 1 has triggered the condition but the stock price is still below the downward - revision trigger price without an announcement, 25 are accumulating days for downward revision, and 4 have issued downward - revision board proposals but have not yet held a general meeting of shareholders [26]. 3.3.3 Put Option - No convertible bonds issued put - option announcements this week. As of now, 5 convertible bonds are accumulating days to trigger the put - option condition, among which 4 are in the non - downward - revision period and 1 is accumulating days for downward revision [29]. 3.4 Primary Issuance - Jinwei Convertible Bond was issued this week. As of now, Kaizhong Convertible Bond and Jinwei Convertible Bond have been issued but not yet listed, and Weidao Convertible Bond will be listed on August 27th. There are 4 convertible bonds in the approval - for - registration process, with a to - be - issued scale of 4.1 billion yuan, and 4 in the listing - committee - approved process, with a to - be - issued scale of 9 billion yuan [6][31].

Group 1 - Jerome Powell's speech at the Jackson Hole meeting indicated a potential adjustment in monetary policy, leading to significant market volatility [1] - The dollar index experienced its largest single-day drop since April, while major indices like the Dow Jones and Nasdaq saw substantial gains [1] - Market expectations for a rate cut rose sharply after Powell's remarks, with historical data suggesting a high likelihood of rate cuts when pre-meeting expectations exceed 90% [1][2] Group 2 - Powell highlighted challenges in achieving dual goals of employment and inflation, suggesting a downtrend risk in the labor market [2] - The dovish stance from Powell positively impacted both U.S. and Hong Kong stock markets, with the Hang Seng Tech Index futures rising by 2.07% [2] - Following Powell's comments, there was a notable increase in ETF investments in Hong Kong stocks, with significant net inflows observed [3] Group 3 - The A-share market is experiencing accelerated growth, with trading volumes exceeding 2 trillion RMB for eight consecutive days, marking a historical record [4] - Investor sentiment in A-shares is becoming more active, with a notable increase in the "bull market" sentiment index [4] - Predictions suggest that A-shares could potentially break the 4000-point mark by year-end, with a long-term target of 5000 points if asset securitization rates reach 100% [4]

随着牛市预期进一步强化，估值低位板块的热度有望提升，重仓白酒、乳品的食品饮料ETF（515170） 有望承接市场积极情绪，成为下一轮补涨行情的发力方向。 上证指数连续突破近10年高点，市场融资融券余额超2.1万亿，牛市预期持续升温，资金对A股低位板块 的挖掘力度加大，前期涨幅滞后的领域正逐步成为资金布局的重点。 在此背景下，食品饮料ETF（515170）近期呈现连续上涨态势，酒鬼酒两连板后大涨近7%，充分凸显 市场对白酒板块的投资热情。白酒板块凭借其稳健的基本面与估值修复空间，有望持续获得资金关注。 ...

Report Industry Investment Rating - The industry investment rating is "Oscillation" [1] Core Viewpoints of the Report - The bull market sentiment continued to ferment last week, with the stock index hitting a new high for the year. The Shanghai Composite Index broke through the 3,700 - point mark during the week, and the small - cap growth style outperformed. The overseas market sentiment returned to caution, and the US stock market was basically flat. The market is expected to oscillate at a high level this week, and the one - sided trading strategy should focus on short - term long positions within the day [1][2] Summary According to Relevant Catalogs I. Last Week's Stock Index Operation Review 1. Bull Market Atmosphere Continued to Ferment, and A - shares Reached a New High - The bull market atmosphere continued to ferment last week, and the stock index hit a new high for the year. The Shanghai Composite Index broke through 3,700 points. Among the four broad - based indexes, CSI 1000 (+4.09%) > CSI 500 (+3.88%) > SSE 50 (+2.37%) > SSE 50 (+1.57%). Overseas, the international market sentiment became cautious, and US stocks were basically flat, with the Nasdaq rising 0.81% [1][8] 2. Communications and Electronics Led the Rise, and Trading Volume Increased Rapidly - From the perspective of Shenwan's primary industry classification, most sectors rose last week. Communications (+7.66%) and electronics (+7.02%) led the gains, while banks (-3.19%) and steel (-2.04%) lagged. The A - share trading volume increased rapidly and exceeded 2 trillion at the end of the week [2][9] 3. The Premium of Stock Index Futures Narrowed Rapidly, and the Option Volatility Increased Rapidly - In the futures market, the basis of each stock index futures (spot - futures) declined last week. In operation, short - term long positions within the day are appropriate, and it is an opportunity to lay out long - term long positions when there is a sharp decline. In the options market, the implied volatility of stock index options increased, and the at - the - money IV of the current - month SSE 300 Index reached around 18%. One can try short - term double - selling to reduce volatility [3][10] II. Fundamental Elements Review and Market Outlook 1. The Central Bank Conducted a Net Withdrawal of 41.49 Billion Yuan in the Open Market Last Week - In terms of inter - bank liquidity, the central bank conducted a net withdrawal of 41.49 billion yuan in the open market last week, with 71.18 billion yuan in reverse repurchase operations and 112.67 billion yuan in reverse repurchase maturities. Inter - bank interest rates changed little, with Shibor overnight rising 8.36bp, Shibor one - week rising 2.94bp, etc. [69] 2. Short - Term Sentiment Remained Strong, and One - Sided Operations Became More Difficult - In the short term, investor sentiment remained strong. The brokerage sector related to the bull market expectation performed well. However, the rotation of sectors continued, indicating that the main line of the bull market has not been established. The market showed some fear of high prices, but the willingness of funds to enter the market was strong. It is expected that the market will oscillate at a high level this week, and one - sided trading strategies should focus on short - term long positions within the day [2][70] III. Economic Data & Financial Event Forecast 1. Macroeconomic Data Release - On August 19th (20:30), the data of new housing starts in the US in July will be released [101] 2. Key Financial Events - There are no major financial events [101]

Group 1 - The securities industry is undergoing significant changes due to reforms and mergers, leading to turbulence for both buy-side (funds) and sell-side (brokerage research) entities [1][2] - There is a notable talent migration within the industry, with several chief analysts from Guolian Minsheng leaving for other firms, particularly Guojin Securities [2][4] - Guojin Securities is actively recruiting talent from other firms, including former analysts from Minsheng Securities and other brokerages, indicating a strategic shift in its research and sales teams [4][5][6] Group 2 - Guojin Securities aims to regain its former glory by enhancing its research capabilities and has set ambitious goals to return to the top ten in the industry within five years [14][15] - The firm has undergone a transformation from a profit center to a cost center, focusing on increasing research investment and improving its external influence [14][16] - Guojin Securities has received multiple accolades in external evaluations from 2022 to 2024, indicating progress in its research reputation [17] Group 3 - Huajin Securities is also expanding its research capabilities by hiring key personnel from Minsheng and Guolian, signaling its intent to strengthen its position in the market [19][20] - The firm is leveraging its backing from Zhuhai Huafa Group to enhance its securities business, which has been under pressure due to the real estate sector's challenges [20][21] - Huajin Securities is planning to develop a research brand focused on "finance and new productive forces," aiming to create a think tank service platform for various stakeholders [22][23]

Group 1 - The convertible bond market continues to see rising valuations, with prices reaching new highs, supported by strong demand in the fixed income market and low positions in convertible bonds [5][8][19] - The absolute price median of convertible bonds has reached 128 yuan, indicating a significant increase in valuation levels [8][19] - The market sentiment is bolstered by various events, including the commencement of construction on the Yashan Hydropower Station and the AI conference, which have strengthened bullish expectations [8][11] Group 2 - From July 21 to July 25, the equity market experienced a continuous upward trend, with the Shanghai Composite Index rising by 1.67% and the ChiNext Index increasing by 2.67% [11] - The average daily trading volume increased significantly to 1.84 trillion yuan, indicating heightened market activity [11] - The trading volume of convertible bonds reached 80.674 billion yuan, with the China Convertible Bond Index rising by 2.14% [19][29] Group 3 - The report suggests that the systemic risk for convertible bonds remains low, with a strong expectation for performance until September [5][8] - The report recommends focusing on low-priced and equity-oriented individual bonds, as the difficulty in selecting bonds increases under the current price structure [5][19] - The report highlights that high-priced and mid-high rated convertible bonds performed well, while AAA-rated and large-cap bonds showed relative weakness [19]

Report Industry Investment Rating - No information provided Core Viewpoints - The domestic "anti-involution" policy continues to advance, and the related themes remain hot, but short-term hot trading fluctuates repeatedly. The market completed a washout in a low-open and high-go trend, and the Shanghai Composite Index successfully regained 3600 points. As the market's consensus on the "bull market" expectation gradually strengthens, margin trading funds and equity funds, as important incremental sources for this round of the market, are continuously injecting vitality into the market and promoting the spread of the profit-making effect [1][2][3] Summary by Directory 1. Market Analysis - **Domestic Policy**: The National Development and Reform Commission and the State Administration for Market Regulation solicited public opinions on the revised draft of the Price Law, improving the standards for identifying dumping at low prices, regulating market price order, and governing "involution-style" competition [1] - **Overseas Economy**: In July, the preliminary value of the US S&P Global Manufacturing PMI dropped to 49.5, the lowest since December 2024, while the preliminary value of the Services PMI was 55.2, and the preliminary value of the Composite PMI was 54.6, both hitting new highs since December 2024. The number of initial jobless claims last week was 217,000, the lowest level since mid-April, lower than the market expectation of 226,000 and the previous value of 221,000 [1] - **Spot Market**: A-share's three major indexes opened low and closed high, with the Shanghai Composite Index rising 0.65% to close at 3605.73 points, and the ChiNext Index rising 1.50%. Most sector indexes rose, with beauty care, non-ferrous metals, steel, and commercial retail industries leading the gains, while only the banking, communication, and public utilities industries closed down. The trading volume of the Shanghai and Shenzhen stock markets dropped to 1.84 trillion yuan. Overseas, the three major US stock indexes closed mixed, with the Dow Jones Industrial Average falling 0.7% and the Nasdaq rising 0.18% to 21057.96 points [2] - **Futures Market**: In the futures market, the basis of stock index futures was repaired. In terms of trading volume and open interest, the trading volume of stock index futures decreased, while the open interest increased [2] 2. Strategy - The domestic "anti-involution" policy continues to advance, and the related themes remain hot. The market completed a washout in a low-open and high-go trend, and the Shanghai Composite Index successfully regained 3600 points. As the market's consensus on the "bull market" expectation gradually strengthens, margin trading funds and equity funds are continuously injecting vitality into the market and promoting the spread of the profit-making effect [3] 3. Macro Economic Charts - The report includes charts on the US dollar index and A-share trends, US Treasury yields and A-share trends, RMB exchange rate and A-share trends, and US Treasury yields and A-share style trends, with data sources from Flush and Huatai Futures Research Institute [6][8][10] 4. Spot Market Tracking Charts - **Stock Index Performance**: The daily performance of major domestic stock indexes on July 24, 2025, shows that the Shanghai Composite Index rose 0.65%, the Shenzhen Component Index rose 1.21%, the ChiNext Index rose 1.50%, the CSI 300 Index rose 0.71%, the SSE 50 Index rose 0.32%, the CSI 500 Index rose 1.56%, and the CSI 1000 Index rose 1.42% [13] - **Market Data**: The report also includes charts on the trading volume of the Shanghai and Shenzhen stock markets and the margin balance, with data sources from Flush and Huatai Futures Research Institute [12][13] 5. Stock Index Futures Tracking Charts - **Trading Volume and Open Interest**: The trading volume of stock index futures decreased, while the open interest increased. Specifically, the trading volume of IF was 114,133 (a decrease of 16,976), the open interest was 271,368 (an increase of 2,311); the trading volume of IH was 53,842 (a decrease of 13,034), the open interest was 100,891 (an increase of 135); the trading volume of IC was 95,468 (a decrease of 9,753), the open interest was 229,789 (an increase of 1,553); the trading volume of IM was 205,106 (a decrease of 6,634), the open interest was 338,313 (an increase of 35) [16] - **Basis**: The basis of stock index futures was repaired. The report provides the basis data for different contracts of IF, IH, IC, and IM, including the current month, next month, current quarter, and next quarter contracts [38] - **Inter - delivery Spread**: The report provides the inter - delivery spread data for different contracts of IF, IH, IC, and IM, including the next month - current month, next quarter - current month, etc., and their changes [45] - **Charts**: The report includes charts on the open interest of different contracts, the latest open interest ratio, foreign investors' net open interest, basis, and inter - delivery spread, with data sources from Flush and Huatai Futures Research Institute [6][16][38]

Summary of the Conference Call on China Construction Industry Overview - The focus is on the construction industry, specifically large state-owned enterprises (SOEs) in China, with China Construction as a representative example [2][4]. Key Points and Arguments 1. **Dividend Yield and Value Proposition** China Construction currently has a dividend yield of approximately 4.6%, which is higher than the average yield of less than 4% in the banking sector, indicating a strong value proposition for investors [2][4]. 2. **Earnings Growth and Stability** The company reported positive growth in net profit attributable to shareholders in the first quarter, with expectations for stable growth in the first half of the year due to sufficient order backlog, showcasing good operational performance and growth potential [2][4]. 3. **Valuation Metrics** The valuation of large construction SOEs is at a low point, with China Construction's price-to-book (PB) ratio at about 0.5 and price-to-earnings (PE) ratio at around 5, both at three-year lows. Despite increased market attention, sentiment remains pessimistic, suggesting significant potential for valuation recovery [2][4]. 4. **Funding Environment** The acceleration of special bond issuance in the second half of the year is expected to increase capital inflow, with regulatory measures ensuring that funds are used specifically for designated projects. This is likely to enhance the fundamentals of large construction SOEs and improve profitability [2][4]. 5. **Historical Market Trends** Historical analysis indicates that major stocks typically perform well in the latter stages of a bull market. For instance, prior to the "Belt and Road" initiative in 2014, major construction SOEs outperformed the CSI 300 index. If the current market is indeed a comprehensive bull market, large financial SOEs are likely to become the focus [2][7]. 6. **Investment Recommendations** Investors are encouraged to focus on large financial SOEs represented by China Construction, which has a high dividend yield and significant potential for upward movement. Other companies to watch include China Communications Construction Company (CCCC) and China Chemical Engineering [2][8]. 7. **Market Style Shift** There is a basis for a market style shift, with a recommendation to pay attention to large-cap stocks that have not yet increased in value, aligning well with state-owned enterprises [6]. 8. **Risk Assessment** The current bottoming characteristics of large financial SOEs indicate limited downside risk, making them an attractive investment opportunity [10]. Additional Important Content - The focus on high dividend yield and the potential for rapid price increases post-recovery is emphasized, suggesting a strategic left-side positioning for investors to capitalize on future growth [5][4]. - The increasing interest from insurance and absolute return funds in these companies highlights their attractiveness in the current market environment [9].

水皮杂谈 一家之言 兼听则明 偏听则暗 趋势的力量 每日看盘 今日A股三大指数向下调整，两市共成交11 4 8 3亿，较前个交易日放量3 6 3亿。其中沪指下跌 1 . 3 3%，收报3 1 6 8 . 5 2点；深成指下跌1 . 8 0%，收报9 7 9 5 . 9 4点；创业板指下跌1 . 7 6%，收报 1 9 7 5 . 3 0点。 昨天最后讲大概率再盘一下向下结果盘一下都没有，直接就选择了方向，虽然我们一直讲休 息、轻仓、观望，但当市场真的走出了很差的走势的时候，并没有因为预测对而有一点点开 心，基本只有浓浓的失望，以及对市场越来越多的怀疑。 盘面上，全天两市5 2 8家上涨，4 6 2 1家下跌，仅仅比1月3日好那么一点点，上海2 6 0家上涨， 深圳2 6 8家上涨，又是一个泥沙俱下的走势。中位数跌幅又2 . 8 0%，微盘股下跌3 . 1 8%，中证 2 0 0 0下跌3 . 0 5%，不得不承认的是，或许你还没感受到反弹，反弹就已经结束了。 板块上，全军覆没，东财的行业板块分类8 6个板块全部下跌，商业百货、文化传媒、通信服 务、光伏设备、家电行业、互联网、计算机等跌幅居前。题材热点上，也只 ...