1. Index Trends - On September 25th, the Shanghai Composite Index had a change of -0.01%, closing at 3853.3 points with a trading volume of 1001.211 billion yuan; the Shenzhen Component Index had a change of 0.67%, closing at 13445.9 points with a trading volume of 1369.879 billion yuan [1]. - The CSI 1000 Index had a change of -0.37% and a trading volume of 464.745 billion yuan, with an opening price of 7521.32, a closing price of 7506.51, a daily high of 7563.08, and a low of 7487.12 [1]. - The CSI 500 Index had a change of 0.24% and a trading volume of 493.047 billion yuan, with an opening price of 7325.66, a closing price of 7341.32, a daily high of 7379.61, and a low of 7312.35 [1]. - The SSE 300 Index had a change of 0.6% and a trading volume of 669.867 billion yuan, with an opening price of 4563.98, a closing price of 4593.49, a daily high of 4613.95, and a low of 4558.84 [1]. - The SSE 50 Index had a change of 0.45% and a trading volume of 158.667 billion yuan, with an opening price of 2944.73, a closing price of 2952.74, a daily high of 2962.18, and a low of 2941.87 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose -27.71 points from the previous closing price. Media and communication sectors significantly pulled the index up, while basic chemicals, machinery, and electronics sectors pulled it down [3]. - The CSI 500 Index rose 17.61 points from the previous closing price. Computer, machinery, and electronics sectors significantly pulled the index up, while the non - banking financial sector pulled it down [3]. - The SSE 300 Index rose 27.42 points from the previous closing price. Power equipment, non - ferrous metals, and communication sectors significantly pulled the index up, while the banking sector pulled it down [3]. - The SSE 50 Index rose 13.23 points from the previous closing price. Non - ferrous metals, pharmaceutical biology, and electronics sectors significantly pulled the index up, while food and beverage and banking sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -69.91, IM01 of -156.48, IM02 of -236.36, and IM03 of -449.96 [13]. - IC00 had an average daily basis of -51.53, IC01 of -122.3, IC02 of -177.77, and IC03 of -356.12 [13]. - IF00 had an average daily basis of -8.53, IF01 of -24.0, IF02 of -33.81, and IF03 of -65.69 [13]. - IH00 had an average daily basis of 2.04, IH01 of -0.05, IH02 of 1.44, and IH03 of -0.53 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IM00 - 01, IM00 - 02, etc.) [21]. - For IC, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IC00 - 01, IC00 - 02, etc.) [23]. - For IF, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IF00 - 01, IF00 - 02, etc.) [24]. - For IH, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IH00 - 01, IH00 - 02, etc.) [26].

Core Viewpoint - The market is experiencing style rotation, with growth styles currently performing strongly while value styles are lagging behind. The recent rise in the ChiNext index indicates a shift in market dynamics, suggesting potential investment opportunities in growth sectors [4][10][11]. Market Performance - The market saw a rise during the day, reaching a peak of 4.1 stars, but closed at 4.2 stars, indicating a slight pullback [1][2]. - Large-cap stocks showed minor gains, while small-cap stocks experienced slight declines [3]. - The growth style overall is on the rise, with significant increases in the ChiNext index recently, which had been undervalued for a long time [4][7][8]. Valuation Insights - The ChiNext index is approaching a price-to-earnings (P/E) ratio of approximately 45 times, indicating it is nearing overvaluation [9]. - Value styles, such as free cash flow and Hong Kong-Shanghai dividend stocks, have seen increases, with the latter rising 7-8% this year, marking the fifth consecutive year of growth [12][13]. - The average turnover rate in A-shares is significantly high, suggesting that many retail investors hold stocks for less than a month, which may not be sufficient to weather market corrections [42][43]. Investment Behavior - Historical data shows that during bull markets, it is common to experience pullbacks, and the market often exhibits a pattern of sharp rises followed by corrections [18][24]. - Attempting to time the market by selling before a correction and buying back at lower prices is challenging and often leads to missed opportunities [27][28]. - Frequent trading and chasing market trends can significantly reduce investor returns, with studies indicating that high turnover rates correlate with lower average profits [52]. Long-term Investment Strategy - Long-term stock and fund investments are closely tied to valuation and earnings growth, with valuation primarily affecting short-term returns and earnings growth driving long-term performance [44][46]. - Investors are encouraged to focus on controlling costs and enhancing revenue, akin to running a business, to achieve better investment outcomes [49][50]. Dividend and Cash Flow Indices - The article includes a valuation table for various dividend and free cash flow indices, providing insights into their earnings yields, P/E ratios, and other financial metrics for reference [51][65].

1. Report Industry Investment Rating No relevant content provided in the report. 2. Report's Core View - The CSI 500 index has high - value configuration due to its alignment with the national "new quality productivity" strategy, and its constituent stocks are expected to have significant profit growth, which may digest the current high valuation [3][10][17]. - The CSI 500 index - enhanced funds are a mature product category with a long history, large scale, and the ability to create obvious excess returns. Among them, the China - Europe CSI 500 Index - Enhanced Fund has excellent performance [23][30][31]. - The China - Europe CSI 500 Index - Enhanced Fund has low deviations in constituent stocks, factors, and industries, outstanding performance, strong unique Alpha acquisition ability, good market environment adaptability, and stock - selection as the main source of excess returns [84][85]. 3. Summary by Directory 3.1中证 500 指数配置价值分析 (Analysis of the Allocation Value of the CSI 500 Index) 3.1.1战略方向契合：新质生产力视角下的政策红利 (Strategic Direction Fit: Policy Dividends from the Perspective of New Quality Productivity) - The industry distribution of the CSI 500 index is highly consistent with the national "new quality productivity" strategy. Its constituent stocks cover many high - tech industries, making it a high - quality carrier for policy dividends [10]. - Most of the top - ten constituent stocks of the CSI 500 index are related to the key areas of new quality productivity and can benefit from policy support [13][14]. 3.1.2估值与盈利情况：当前具有良好的配置价值 (Valuation and Profitability: Currently with Good Allocation Value) - As of September 19, 2025, the PE (TTM) of the CSI 500 index is at a relatively high quantile since 2015, but it is in a reasonable range compared with other broad - based indices [15]. - According to Wind's consensus forecast data, the earnings per share of the CSI 500 index constituent stocks are expected to rise significantly in 2025 and 2026, and the net profit is also expected to increase notably, with expected growth rates of 24.7% and 18.1% respectively [17]. - Although the current valuation quantile of the index is high, the future profitability of the constituent stocks is optimistic, and the valuation is expected to be digested with the profit growth [22]. 3.2中证 500 指数增强基金投资价值与策略分析 (Analysis of the Investment Value and Strategy of CSI 500 Index - Enhanced Funds) 3.2.1产品发展情况：较为成熟的品类 (Product Development: A Relatively Mature Category) - The first CSI 500 index - enhanced product in the Chinese public - offering market was established in 2011, with a 14 - year history, accumulating a lot of investment experience [23]. - As of Q2 2025, the total scale of CSI 500 index - enhanced products exceeded 4.3 billion yuan, and the number of products increased from 15 at the end of 2016 to 71, indicating strong market demand and active layout by fund companies [23][26]. 3.2.2历史表现情况：更加明显的超额 (Historical Performance: More Obvious Excess Returns) - Historically, the CSI 500 index - enhanced products have generally created excess returns for investors, except in a few periods when the index rose rapidly [30]. - Compared with the CSI 300 index - enhanced products, the CSI 500 index - enhanced products can create more obvious excess returns, with a higher slope of the relative return curve and generally higher annual excess returns [31]. 3.2.3产品特征分布：中欧中证 500 指数增强独特性、市场环境适应性均较好 (Product Feature Distribution: The China - Europe CSI 500 Index - Enhanced Fund Has Good Uniqueness and Market Environment Adaptability) - Most CSI 500 index - enhanced products have limited ability to obtain unique Alpha, and their Alpha - acquisition methods may be similar, resulting in homogeneous performance. Only a few products can efficiently obtain unique Alpha [38]. - More than 62% of CSI 500 index - enhanced products have obvious shortcomings in market environment adaptability, while only 15% of products can perform in the top 50% in various market environments [42]. - The China - Europe CSI 500 Index - Enhanced Fund can efficiently obtain unique Alpha and has no obvious market environment adaptability shortcomings, performing in the top 40% in all market environments [44]. 3.3中欧中证 500 指数增强产品特征分析 (Analysis of the Product Features of the China - Europe CSI 500 Index - Enhanced Fund) 3.3.1持仓特征：成分股、因子、行业暴露均较小 (Positioning Characteristics: Small Exposure to Constituent Stocks, Factors, and Industries) - The China - Europe CSI 500 Index - Enhanced Fund has a relatively dispersed stock position, with a low proportion of the top - ten and top - thirty holdings. It does not rely on market - value sinking to obtain excess returns, and its market - value style deviation is small [46][51]. - The fund's factor exposure is relatively mild, with exposure to various factors controlled within 0.5 times the standard deviation in the past four full - position periods. The average factor exposure is lower than the sample average [53][55]. - The proportion of CSI 500 constituent stocks in the fund's position is significantly higher than the average of similar products, and the industry deviation from the CSI 500 index is controllable, with the maximum over - or under - allocation ratio not exceeding 6% and further tightened in H1 2025 [55][61]. 3.3.2业绩表现：25 年表现在同类中较为领先 (Performance: Leading Performance Among Peers in 2025) - Since its establishment, the China - Europe CSI 500 Index - Enhanced Fund has outperformed the benchmark index, with a cumulative return of 31.69% as of September 19, 2025, leading the benchmark by 27.77% [63]. - In 2025, the fund's return reached 34.56%, ranking in the top 5% among similar products, with an annualized tracking error of only 3.54%, ranking in the lower 18% [63]. - The fund has a prominent risk - return ratio, with an annualized Sharpe ratio of 2.29 and a Calmar ratio of 4.44, leading among all CSI 500 index - enhanced products [64]. - The fund has significant advantages in drawdown control, with a lower drawdown than the index and the average of similar products in major market drawdowns since 2024, and its maximum relative return drawdown is also significantly lower than the average of similar products [71][75]. 3.3.3收益拆分：选股收益贡献明显 (Return Decomposition: Significant Contribution from Stock - Selection Returns) - The China - Europe CSI 500 Index - Enhanced Fund mainly obtains excess returns through stock - selection, and trading can also contribute part of the excess returns [78]. - The fund's absolute returns come from a wide range of sectors, with the science and technology innovation sector contributing more returns. It can also obtain excess returns in most sectors through stock - selection [80]. 3.3.4产品特征总结 (Product Feature Summary) - The fund has no significant deviations in constituent stocks, factors, and industries, and the deviations in all dimensions tightened in H1 2025 [84]. - Despite strict deviation control, the fund's performance in 2025 is outstanding, with leading returns, small tracking errors, excellent risk - return ratios, and leading drawdown control among similar products [84]. - The fund has outstanding ability to obtain unique Alpha and good market environment adaptability, with no obvious market environment shortcomings [85]. - Stock - selection is the main source of excess returns, with the main stock - selection returns coming from the science and technology innovation sector, and relatively good stock - selection performance in other sectors [85].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The CSI 500 Index is highly consistent with the national "new quality productivity" strategy, benefiting from policy dividends and technological innovation [4][12]. - The earnings per share of CSI 500 constituent stocks are expected to rise, and the valuation is likely to be digested with the improvement of earnings [4][20]. - The CSI 500 index enhancement is a relatively mature product with a large scale and obvious excess returns [4][26]. - The China - Europe CSI 500 Index Enhancement has good performance in unique Alpha acquisition and market environment adaptation, with outstanding risk - return characteristics [4][47]. 3. Summary by Directory 3.1 CSI 500 Index Allocation Value Analysis 3.1.1 Strategic Direction Fit: Policy Dividends from the Perspective of New Quality Productivity - The CSI 500 Index, as a core representative of A - share mid - cap enterprises, has a high proportion of technology innovation sectors in its constituent stocks, which are consistent with the key areas in the "Action Plan" [4][12]. - Many of the top - proportion industries in the CSI 500 constituent stocks are in line with the definition of new quality productivity, such as electronics, pharmaceutical biology, and power equipment [12]. - Most of the top ten constituent stocks of the CSI 500 can benefit from the national promotion of new quality productivity [16]. 3.1.2 Valuation and Earnings: Good Current Allocation Value - As of September 19, 2025, the PE (TTM) of the CSI 500 Index was 34.20 times, at the 76.7% quantile since 2015, which is in a reasonable range compared with other broad - based indexes [18]. - According to Wind's consensus forecast, the earnings per share of CSI 500 constituent stocks are expected to significantly recover in 2025, rising from 0.36 yuan in 2024 to 0.49 yuan, an increase of over 38%, and continue to rise in 2026 [20]. - The net profit of the CSI 500 Index is expected to increase significantly in 2025 and 2026, by 24.7% and 18.1% respectively [20]. 3.2 Investment Value and Strategy Analysis of CSI 500 Index Enhancement Funds 3.2.1 Product Development: A Relatively Mature Category - The first CSI 500 index enhancement product in the Chinese public fund market was established in 2011, with 14 years of history, accumulating a lot of investment experience [26]. - As of Q2 2025, the total scale of CSI 500 index enhancement products exceeded 4.3 billion yuan, and the number of products increased from 15 at the end of 2016 to 71 [26][29]. 3.2.2 Historical Performance: More Obvious Excess Returns - Since 2017, the CSI 500 index enhancement products have generally outperformed the CSI 500 Index, except in some periods when the index rose rapidly [32]. - Compared with the CSI 300 index enhancement, the CSI 500 index enhancement can create more obvious excess returns, with a steeper slope of the relative return curve and higher annual excess returns on average [33]. 3.2.3 Product Feature Distribution: Good Uniqueness and Market Environment Adaptability of China - Europe CSI 500 Index Enhancement - Most CSI 500 index enhancement products have limited ability to obtain unique Alpha, and their Alpha sources may be similar, resulting in homogeneous performance [41]. - More than 62% of CSI 500 index enhancement products have obvious shortcomings in market environment adaptability, and only 15% of products can perform in the top 50% in various market environments [45]. - The China - Europe CSI 500 Index Enhancement can efficiently obtain unique Alpha and perform in the top 40% in all market environments [47]. 3.3 Product Feature Analysis of China - Europe CSI 500 Index Enhancement 3.3.1 Positioning Characteristics: Small Exposure to Constituent Stocks, Factors, and Industries - The China - Europe CSI 500 Index Enhancement has a relatively dispersed stock position, with a low proportion of the top ten and top thirty stocks, and low deviation in market - value style [49][54]. - The product has relatively mild factor exposure, with exposure to most factors within 0.3 times the standard deviation, and lower than the average of similar products [56][58]. - The proportion of CSI 500 constituent stocks in the product's position is higher than the average of similar products, and the industry deviation is controllable, especially in H1 2025 [58][64]. 3.3.2 Performance: Leading Performance among Peers in 2025 - As of September 19, 2025, the cumulative return of the China - Europe CSI 500 Index Enhancement since its establishment was 31.69%, leading the benchmark by 27.77%. Since H2 2023, it has outperformed the benchmark [66]. - In 2025, the product's return reached 34.56%, ranking in the top 5% among similar products, with an annualized tracking error of only 3.54%, ranking in the bottom 18% [66]. - The product has a high risk - return ratio, with an annualized Sharpe ratio of 2.29 and a Calmar ratio of 4.44, leading among CSI 500 index enhancement products [67]. - The product has significant advantages in drawdown control, with a smaller drawdown than the index and the average of similar products in several market drawdowns since 2024, and a smaller relative return drawdown [74][78]. 3.3.3 Return Breakdown: Significant Contribution from Stock Selection - The China - Europe CSI 500 Index Enhancement mainly obtains excess returns through stock selection, and trading can also contribute part of the excess returns [81]. - The product's absolute return comes from a wide range of sectors, with the technology innovation sector contributing more, and it can obtain excess returns in most sectors [84]. 3.3.4 Product Feature Summary - The product has no significant deviation in constituent stocks, factors, and industries, and the deviation has further tightened in H1 2025 [89]. - Despite strict deviation control, the product has outstanding performance in 2025, with high returns, low tracking error, and excellent risk - return characteristics [89]. - The product has strong ability to obtain unique Alpha and good market environment adaptability, performing in the top 40% in all market environments [90]. - Stock selection is the main source of excess returns, with significant contributions from the technology innovation sector and good performance in other sectors [90].

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints of the Report - The study explores the effectiveness of the NASDAQ Golden Dragon China Index in predicting the short - term trends of domestic stock indices. The quantitative timing strategy based on the previous night's performance of the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially for the CSI 500 and CSI 1000 indices [4][37]. - This research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [4][37]. Summary by Relevant Catalogs 1. NASDAQ Golden Dragon China Index Introduction - It is a stock index compiled by the NASDAQ to track the stock price performance of Chinese companies listed in the US, regarded as a "barometer" of Chinese new - economy enterprises in US stocks. As of September 23, 2025, it has 73 constituent stocks, including Alibaba and Baidu, covering new - economy sectors such as the Internet, new energy, and consumer services. In terms of the number of constituent stocks, the optional consumer and information technology sectors have relatively large shares [9]. 2. Correlation Analysis between NASDAQ Golden Dragon China Index and Domestic Stock Indices - There is a significant positive correlation (correlation coefficients above 0.65) between the NASDAQ Golden Dragon China Index and the Shanghai 50, SSE 300, CSI 500, and CSI 1000 indices in the past three years, indicating that the previous night's movement of the NASDAQ Golden Dragon China Index affects the next - day movement of domestic stock indices [12][13]. - The Granger causality test on the NASDAQ Golden Dragon China Index and the SSE 300 and CSI 1000 indices shows that the lagged first - order NASDAQ Golden Dragon China Index has a certain predictive effect on domestic stock indices, and it can be used to predict the next - day movement of domestic stock indices statistically [16]. 3. Quantitative Timing Strategy Based on NASDAQ Golden Dragon China Index 3.1 Strategy Basic Logic - When (closing price - opening price)/opening price of the NASDAQ Golden Dragon China Index on the previous day is greater than X%, indicating that the K - line entity is at least a medium - sized positive line, go long on domestic stock indices at the opening price the next day and hold until closing [17]. 3.2 Historical Back - test Performance - **Shanghai 50 Index Timing Strategy**: Since 2018, the strategy has significantly outperformed the Shanghai 50 Index, with a compound annualized return of 7.63% (compared to 0.22% of the Shanghai 50 Index), and the maximum drawdown has decreased from - 44.43% to - 13.21% [19][22]. - **SSE 300 Index Timing Strategy**: The compound annualized return of the strategy is 8.42% (compared to 1.28% of the SSE 300 Index), and the maximum drawdown has decreased from - 45.6% to - 10.07% [23][24]. - **CSI 500 Index Timing Strategy**: The compound annualized return of the strategy can reach 11.05% (compared to 1.65% of the CSI 500 Index), and the maximum drawdown has decreased from - 41.68% to - 9.44% [28][29]. - **CSI 1000 Index Timing Strategy**: The compound annualized return of the strategy can reach 12.74% (compared to 0.63% of the CSI 1000 Index), and the maximum drawdown has decreased from - 45.38% to - 10.51% [33][36]. 4. Conclusion - The strategy based on the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices in the past seven - plus years, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially effective for the CSI 500 and CSI 1000 indices [37]. - The research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [37].

Investment Summary - The report indicates that all five major benchmark indices tracked last week experienced an overall increase, showcasing a strong market characteristic [2][22]. - The PE percentile for the CSI 300 index since January 1, 2021, is approximately 54%, while the Shanghai Composite Index is around 94%. This suggests that the current PE for the Shanghai Composite is higher than 94.62% of the time since January 1, 2019, indicating it has surpassed the 70% high threshold [2][22][23]. Index Performance Overview - The specific performance of major indices last week includes: CSI 300 index up by 1.38%, Shanghai Composite Index up by 1.52%, Shenzhen Component Index up by 2.65%, ChiNext Index up by 2.10%, and CSI 500 up by 3.38% [8][13][14]. - Among the 31 primary industry indices tracked, 26 sectors saw an increase while 5 sectors declined. The top five performing sectors were electronics, real estate, agriculture, media, and non-ferrous metals, while the bottom five were comprehensive, banking, oil and petrochemicals, pharmaceuticals, and social services [8][14]. Market Trading Data - The total trading volume last week was 7,176 billion shares, with a trading value of 116,320.75 billion yuan. There were 3,464 stocks that rose and 1,894 that fell [16][17]. - As of the end of last week, 59 stocks reached historical highs, while 4 stocks hit historical lows. The number of stocks reaching new highs over the past 30, 60, and 120 days were 486, 423, and 380 respectively, while the new lows were 46, 30, and 16 respectively [16][18]. Margin Trading Data - Margin trading data indicates that the weekly financing balance increased by approximately 636.57 billion yuan, while the weekly margin balance rose by about 8.59 million yuan [16][19].

Core Viewpoint - The article introduces a comprehensive index map that includes various commonly used stock indices, their codes, selection rules, industry distribution, average and median market capitalization of constituent stocks, and the number of constituent stocks, which will be regularly updated for easy reference [1][2]. Group 1: Types of Indices - The index map includes several categories of stock indices: broad-based indices, strategy indices, industry indices, thematic indices, and overseas indices [4][8]. Group 2: Broad-based Indices - Examples of broad-based indices include: - CSI 300 (000300.SH) with an average market cap of 206.67 billion and 300 constituent stocks [5]. - CSI 500 (000905.SH) with an average market cap of 32.77 billion and 500 constituent stocks [5]. - CSI 800 (000906.SH) with an average market cap of 97.98 billion and 800 constituent stocks [5]. - CSI 1000 (000852.SH) with an average market cap of 14.42 billion and 1000 constituent stocks [5]. - CSI 2000 (932000.CSI) with an average market cap of 5.93 billion and 2000 constituent stocks [5]. Group 3: Strategy Indices - Strategy indices include: - CSI Dividend (000922.CSI) reflecting high dividend yield companies with an average market cap of 193.25 billion and 100 constituent stocks [6]. - Shanghai Dividend (000015.SH) with an average market cap of 275.17 billion and 50 constituent stocks [6]. - Shenzhen Dividend (399324.SZ) with an average market cap of 105.30 billion and 40 constituent stocks [6]. Group 4: Industry Indices - Industry indices are designed to reflect specific sectors, such as: - CSI Consumer (000932.SH) focusing on major consumer industry stocks with an average market cap of 125.14 billion and 40 constituent stocks [7]. - CSI Medical (000933.SH) which includes companies related to the pharmaceutical industry [7]. Group 5: Thematic Indices - Thematic indices are tailored to specific investment themes, such as: - CSI Innovation (399989.SZ) which selects companies involved in innovative drug development [7]. - CSI Green Energy focusing on companies in the renewable energy sector [7].

Report Industry Investment Rating - No relevant information provided Core Viewpoints - The September trend is more volatile compared to July and August, entering a high - level consolidation phase after continuous growth. The divergence between long and short forces due to increased hedging demand of some funds at high levels brings greater fluctuations to stock index futures. However, in the long - term, the strategic allocation period of the Chinese capital market has just begun. The CSI 500 and CSI 1000 indices, which have more technology - growth components, are more offensive with higher volatility but may bring higher returns, while the SSE 50 and CSI 300 indices, which have more dividend - blue - chip components, are more defensive with lower volatility but relatively weaker price elasticity [2] Summary by Directory 1. Stock Index Futures Market - **IF Contracts**: The closing prices of IF contracts showed different changes, with the next - month contract rising by 2.20, the next - quarter contract falling by 2.20, and the far - quarter contract falling by 8.60. The trading volume of the current - month contract was 73,627.00, and the open interest decreased by 17,133.00 [1] - **IH Contracts**: The closing prices of IH contracts generally declined, with the current - month contract falling by 7.40. The trading volume of the current - month contract was 31,164.00, and the open interest decreased by 5,440.00 [1] - **IC Contracts**: The closing prices of IC contracts all decreased, with the current - month contract falling by 38.20. The trading volume of the current - month contract was 67,687.00, and the open interest decreased by 20,183.00 [1] - **IM Contracts**: The closing prices of IM contracts also decreased, with the current - month contract falling by 32.20. The trading volume of the current - month contract was 107,983.00, and the open interest decreased by 19,043.00 [1] - **Inter - month Spreads**: The inter - month spreads of IF, IH, IC, and IM contracts changed, for example, the IF next - month minus current - month spread was - 8.00 (previous value: - 6.20) [1] 2. Stock Index Spot Market - **Major Indices**: The CSI 300 index rose by 0.24%, the SSE 50 index fell by - 0.20%, the CSI 500 index fell by - 0.15%, and the CSI 1000 index fell by - 0.10%. Different industries in the CSI 300 index also had different performance, with the industrial sector rising by 2.14% and the real - estate and finance sector falling by - 0.62% [1] 3. Basis between Futures and Spot - The basis between different stock index futures contracts and their corresponding spot indices changed, for example, the IF current - month minus CSI 300 basis was - 5.26 (previous value: 1.20) [1] 4. Other Domestic and Overseas Indices - **Domestic Indices**: The Shanghai Composite Index fell by - 0.26%, the Shenzhen Component Index rose by 0.63%, the Small and Medium - sized Board Index rose by 0.76%, and the ChiNext Index rose by 1.52% [1] - **Overseas Indices**: The Hang Seng Index rose by 0.22%, the Nikkei 225 rose by 0.89%, the S&P 500 rose by 0.47%, and the DAX Index rose by 0.21% [1] 5. Macro Information - Sino - US economic and trade talks were held in Madrid, reaching a basic framework consensus on issues such as resolving the TikTok issue, reducing investment barriers, and promoting relevant economic and trade cooperation. China's economic data in August showed that the industrial added value increased by 5.2% year - on - year, and the social consumer goods retail总额 increased by 3.4% year - on - year [2] 6. Industry Information - In August, the new - house prices in first - tier cities decreased by 0.1% month - on - month, and the decrease in second - tier cities decreased by 0.3% month - on - month. The State Council issued a document to strengthen the comprehensive supervision of the tourism market. 17 car companies will implement the initiative on payment of supplier accounts. Guangzhou plans to build at least 300 V2G piles by the end of 2025 and launched a car - consumption promotion activity. Henan aims to make the AI industry scale exceed 160 billion yuan by 2027 [2]

Report Industry Investment Rating - No relevant information provided Core View of the Report - In 2025, domestic liquidity is expected to remain loose, and it is in a policy window period. More incremental policies may be introduced in Q4 to boost the real economy. External risks are gradually easing, and the increasing probability of the Fed cutting interest rates in September further enhances the attractiveness of RMB assets. The current market is in a resonance period of "policy bottom + capital bottom + valuation bottom", but it is necessary to adapt to the accelerating sector rotation and structural differentiation. The CSI 500 and CSI 1000 indices, which have more technology - growth components, are more offensive, with larger fluctuations but potentially higher returns. The SSE 50 and CSI 300, which have more dividend - blue - chip components, are more defensive, with smaller fluctuations but relatively weaker price elasticity. Since July, the stock index has continued to rise with a large increase, with short - term fluctuations and consolidations, but the probability of a medium - to - long - term upward trend is high [2] Summary by Relevant Catalogs I. Stock Index Futures Market - **IF Contracts**: The previous day's closing prices of IF contracts (IF当月, IF下月, IF下季, IF隔季) were 4562.00, 4554.40, 4530.20, and 4507.20 respectively, with increases of 117.40, 117.20, 115.00, and 113.20, and increases of 2.64%, 2.64%, 2.60%, and 2.58% respectively. The trading volumes were 96412.00, 11604.00, 47652.00, and 13945.00 respectively, and the open interests were 115085.00, 18038.00, 108324.00, and 40692.00 respectively, with changes of 1600.00, 2953.00, 1872.00, and 239.00 respectively [1] - **IH Contracts**: The previous day's closing prices of IH contracts (IH当月, IH下月, IH下季, IH隔季) were 2990.20, 2988.60, 2988.40, and 2991.20 respectively, with increases of 46.00, 45.20, 45.20, and 45.40, and increases of 1.56%, 1.54%, 1.54%, and 1.54% respectively. The trading volumes were 42028.00, 4349.00, 19781.00, and 4837.00 respectively, and the open interests were 50570.00, 7175.00, 36302.00, and 10351.00 respectively, with changes of 2315.00, 1502.00, 3653.00, and 1041.00 respectively [1] - **IC Contracts**: The previous day's closing prices of IC contracts (IC当月, IC下月, IC下季, IC隔季) were 7124.60, 7073.00, 6969.20, and 6823.20 respectively, with increases of 236.80, 247.20, 259.20, and 266.60, and increases of 3.44%, 3.62%, 3.86%, and 4.07% respectively. The trading volumes were 103556.00, 16823.00, 55990.00, and 19426.00 respectively, and the open interests were 105917.00, 22720.00, 96364.00, and 41335.00 respectively, with changes of 623.00, 7285.00, 7632.00, and 3408.00 respectively [1] - **IM Contracts**: The previous day's closing prices of IM contracts (IM当月, IM下月, IM下季, IM隔季) were 7387.80, 7326.00, 7183.60, and 6994.00 respectively, with increases of 211.20, 213.60, 218.60, and 216.60, and increases of 2.94%, 3.00%, 3.14%, and 3.20% respectively. The trading volumes were 181199.00, 20631.00, 87901.00, and 28376.00 respectively, and the open interests were 147845.00, 34852.00, 136366.00, and 69269.00 respectively, with changes of - 6657.00, 4743.00, 3831.00, and 2712.00 respectively [1] - **Inter - month Spreads**: The current inter - month spreads of IF下月 - IF当月, IH下月 - IH当月, IC下月 - IC当月, and IM下月 - IM当月 were - 7.60, - 1.60, - 51.60, and - 61.80 respectively, compared with the previous values of - 9.60, - 1.60, - 60.40, and - 62.40 respectively [1] II. Stock Index Spot Market - **Major Indexes**: The previous value of the CSI 300 index was 4548.03, with a trading volume of 6931.57 billion yuan and a trading volume of 253.26 billion hands, and a previous two - day value of 4445.36, with a rise of 2.31%. The previous value of the SSE 50 index was 2983.08, with a trading volume of 1884.95 billion yuan and a trading volume of 68.33 billion hands, and a previous two - day value of 2939.59, with a rise of 1.48%. The previous value of the CSI 500 index was 7122.71, with a trading volume of 4694.98 billion yuan and a trading volume of 243.95 billion hands, and a previous two - day value of 6932.11, with a rise of 2.75%. The previous value of the CSI 1000 index was 7399.89, with a trading volume of 4862.37 billion yuan and a trading volume of 293.98 billion hands, and a previous two - day value of 7230.17, with a rise of 2.35% [1] - **Industry Indexes**: Among different industries, the energy, raw materials, industry, and optional consumption sectors had increases of 0.28%, 1.64%, 1.43%, and 0.69% respectively. The main consumption, medical and health, real - estate finance, and information technology sectors had increases of 0.96%, - 0.40%, 1.36%, and 6.34% respectively. The telecommunications business and public utilities sectors had increases of 8.27% and 0.10% respectively [1] III. Futures - Spot Basis - **IF Contracts**: The previous values of IF当月 - CSI 300, IF下月 - CSI 300, IF下季 - CSI 300, and IF隔季 - CSI 300 were 13.97, 6.37, - 17.83, and - 40.83 respectively, compared with the previous two - day values of - 12.96, - 22.56, - 44.76, and - 67.16 respectively [1] - **IH Contracts**: The previous values of IH当月 - SSE 50, IH下月 - SSE 50, IH下季 - SSE 50, and IH隔季 - SSE 50 were 7.12, 5.52, 5.32, and 8.12 respectively, compared with the previous two - day values of - 1.79, - 3.39, - 2.79, and 0.21 respectively [1] - **IC Contracts**: The previous values of IC当月 - CSI 500, IC下月 - CSI 500, IC下季 - CSI 500, and IC隔季 - CSI 500 were 1.89, - 49.71, - 153.51, and - 299.51 respectively, compared with the previous two - day values of - 68.71, - 129.11, - 249.31, and - 400.91 respectively [1] - **IM Contracts**: The previous values of IM当月 - CSI 1000, IM下月 - CSI 1000, IM下季 - CSI 1000, and IM隔季 - CSI 1000 were - 12.09, - 73.89, - 216.29, and - 405.89 respectively, compared with the previous two - day values of - 79.17, - 141.57, - 291.97, and - 480.17 respectively [1] IV. Other Domestic and Overseas Indexes - **Domestic Indexes**: The previous value of the Shanghai Composite Index was 3875.31, with a previous two - day value of 3812.22 and a rise of 1.65%. The previous value of the Shenzhen Component Index was 12979.89, with a previous two - day value of 12557.68 and a rise of 3.36%. The previous value of the Small and Medium - sized Board Index was 7923.26, with a previous two - day value of 7686.96 and a rise of 3.07%. The previous value of the ChiNext Index was 3053.75, with a previous two - day value of 2904.27 and a rise of 5.15% [1] - **Overseas Indexes**: The previous value of the Hang Seng Index was 26086.32, with a previous two - day value of 26200.26 and a decline of 0.43%. The previous value of the Nikkei 225 was 44372.50, with a previous two - day value of 43837.67 and a rise of 1.22%. The previous value of the S&P 500 was 6587.47, with a previous two - day value of 6532.04 and a rise of 0.85%. The previous value of the DAX Index was 23703.65, with a previous two - day value of 23632.95 and a rise of 0.30% [1] V. Macroeconomic Information - **Domestic**: The State Council approved a two - year pilot program for comprehensive reform of factor market allocation in 10 regions including the Beijing Sub - center and key cities in southern Jiangsu, covering traditional factors such as land, labor, and capital, as well as innovative factors such as technology and data, aiming to remove institutional obstacles to factor flow and efficient allocation. The People's Bank of China and the Central Bank of Indonesia launched a bilateral local - currency settlement framework and a QR - code interconnection cooperation project [2] - **International**: The US Bureau of Labor Statistics reported that the US CPI in August rose 2.9% year - on - year, in line with expectations, and 0.4% month - on - month, slightly higher than the expected 0.3%. The core CPI rose 3.1% year - on - year and 0.3% month - on - month, in line with expectations and the previous value. The number of initial jobless claims in the US last week increased by 27,000 to 263,000, the highest since October 2021. After the data release, traders fully priced in three Fed rate cuts by the end of the year. Mexico plans to raise import tariffs on some trading partners, and China's Ministry of Commerce said it would closely monitor the situation and take necessary measures to safeguard its legitimate rights and interests [2] VI. Industry Information - **Automobile Industry**: In 2026 and 2027, the purchase tax on new - energy vehicles will be halved to 5%. In August, China's automobile production and sales were 2.815 million and 2.857 million respectively, up 13% and 16.4% year - on - year. New - energy vehicle production and sales were 1.391 million and 1.395 million respectively, up 27.4% and 26.8% year - on - year. From January to August, China's automobile production and sales exceeded 20 million for the first time [2] - **Internet Industry**: The National Internet Information Office shut down or restricted multiple illegal accounts such as "券业行家" and "国际投行研究报告" [2] - **Labor Union**: The All - China Federation of Trade Unions held a meeting on platform algorithm and labor rule negotiation. As of now, 15 leading platform companies have been included in the scope of work, 7 of which have signed special agreements on algorithms and labor rules, and the rest are expected to complete negotiations and sign agreements by the end of September, covering over 20 million new - form workers [2]

Core Viewpoint - The overall market is experiencing a decline, with significant drops in various stock categories, particularly in growth styles, indicating a potential shift in market dynamics and investor sentiment [1][2][3]. Market Performance - The market saw a decline across large, mid, and small-cap stocks, with losses exceeding 2% [2]. - The ChiNext 50 index has faced a notable drop of 6% in a single day, marking a 10% pullback over just four trading days [4][5]. - Despite recent gains, the ChiNext 50 remains relatively expensive even after the pullback [6]. Sector Analysis - Industries such as semiconductors and military-related stocks have also reached high valuations and are experiencing significant corrections [7]. - Value styles tend to exhibit less volatility during market fluctuations compared to growth styles [8]. Market Dynamics - The A-share market often experiences style rotation, where growth stocks perform well while value stocks lag, and vice versa during downturns [10]. - Some dividend indices have shown resilience, with certain indices even posting gains amidst the broader market decline [9]. Bull and Bear Market Insights - The article discusses the characteristics of bull and bear markets, noting that a technical bull market is generally defined as a rise of over 20% from a bear market low [14]. - A-shares and Hong Kong stocks rarely exhibit slow bull markets, often characterized by rapid increases [17][20]. - Historical data indicates that significant market gains occur in a small percentage of trading days, emphasizing the importance of being present during these periods [23][24]. Future Market Outlook - Market fluctuations are normal, and the potential for future gains largely depends on the earnings growth of listed companies [37][39]. - Companies with strong earnings growth and reasonable valuations are less likely to face significant downturns [40][42]. - The long-term trend of the market remains upward, with each bear market bottom typically higher than the previous one [44][46]. Investment Strategies - The article provides insights into dividend indices and their valuations, suggesting that certain indices may be suitable for investment based on their current valuation status [11][50]. - A summary of various dividend funds and their performance metrics is included for investor reference [48][49].