20230604-华泰期货-股指期货月报_悲观情绪释放_股指有望迎来探底回升_13页

Market Situation and Core Views

• Current market: Pessimistic sentiment is largely incorporated into prices, limiting further stock declines, making it a good opportunity for long-term equity investments. Turnaround depends on policy changes and economic expectation shifts, with the upcoming July Politburo meeting as a key focus.

Macro Factors

• Economic recovery is ongoing but at a slower pace due to data underperformance in May, such as indices correlating closely with the economy declining.
• Short-term pressures persist from manufacturing slowdowns and real estate uncertainties, marked by PMI readings below 50 and reduced sales.
• Domestic trends indicate a continuation of recovery, but global risks like USD strength and potential Fed policy adjustments could exert more pressure on markets.

Spot Market Dynamics

• After significant adjustments in May, market sentiment is stabilizing, with reduced fund outflows from Northbound channels and margin of improvement.
• Capital flows may increase, supporting market bounce, though it remains structured with TMT sectors poised for growth due to supportive policies.
• Valuations offer relative attractiveness, with stock vs. bond yields favorable, signaling potential for upward returns.

Futures Market Analysis

• Stock index futures have less of a discount to spot prices, improved by dividend payouts.
• Cross-holding strategies are suggested, such as long on near-term contracts (IH2309) and short on later ones (IH2312), based on historical price deviations.

Investment Strategies

• Recommended positions include buying hedging on key IF, IH, IC, and IM contracts for single-side exposure.
• Specific cross-holding trades involve long IH2309 against short IH2312 to capitalize on term structure opportunities.

Key Risks

• Exogenous factors such as global liquidity issues, US-China relations deterioration, unexpected monetary tightening, or regional conflicts could lead to market downturns and increased volatility.