20230612-招商期货-股指期货早班车_3页_865kb

Summary of Financial Report Analysis

Date and Source: This report is from Zhaoshang Futures Co., Ltd., dated 2023年6月12日星期一.

Market Overview: The market experienced a pullback last week, with only the Shanghai Composite and SSE 50 indices rising, indicating a continued consolidation process. Index correlations showed a decline, particularly in positive correlation between SSE 50 and CSI 500/1000 indices.

Key Data Points: For the first five months of 2023, total imports and exports reached 167.7 trillion RMB, with exports growing 81% and imports by 5%. In May, exports fell due to high-year-on-year comparisons and reduced global demand from Europe and the US.

Fund Flows: Capital flows were mixed, with no sustained foreign capital outflow despite a weakening RMB. Domestic investors showed hesitant leverage increases, reducing recent bumper returns.

Basis Levels: Basis for IF, IC, IF, and IH June contracts narrowed, signaling reduced backwardation and potential convergence ahead of expiration on June 30.

Valuation Analysis: Valuations at current levels show Shanghai Composite PE at 985 (44.34th percentile), CSI 300 PE 1190 (35.94%), CSI 500 PE 2527 (32.23%), and CSI 1000 PE 3543 (28.51%), indicating undervalued and strong buy-side吸引力 due to recent market dips.

Viewpoint: Short-term consolidation is likely, given market underperformance and improved valuation metrics, suggesting opportunities for investors in large-cap stocks.