【A50 Weekly Report】

　　Opinion: Abroad: The global epidemic continues to climb at a record high + expectations of a shrinking balance sheet during the year are heating up. ( 1 ) Global epidemic: In addition to the slowdown in new confirmed cases in the United Kingdom, new confirmed cases in major European and American countries continued to accelerate; the number of confirmed cases in emerging markets such as India, ASEAN, and Brazil surged in a week. As of 01/14 , the average daily number of new crown diagnoses in the world in the past 7 days is nearly 2.74 million, compared with a week ago, the United States ( +35% , 776,000 people / day), France ( +41% , 286,000 people / day), Germany ( +56% , 60,000 / day ) , Japan ( +540% , 9,400 / day) , India ( +250% , 194,000 / day), Brazil ( +113% , 12,000 / day ) and ASEAN countries (+80.6% , 61,000 people / day) The growth of new diagnoses accelerated. The UK ( -25% , 136,000 / day) saw a slowdown in new confirmed cases (both MA7 ). US / France Covid-19 hospitalisations accelerated while UK slowed. In terms of severe cases, the United States ( +3900 cases, 25000 cases), France ( +180 cases, 3900 cases) rose in the past week, the United Kingdom ( -90 cases) and Germany ( -510 cases) fell in the past week. ( 2 ) US economy: Compared with the previous cycle, the first rate hike at the end of 2015 showed relatively large fluctuations . Then this year's U.S. interest rate hike policy and signal changes are likely to experience relatively large fluctuations. It is recommended to pay close attention to the January FOMC meeting , which will be held on January 25-26 . If interest rates are to be raised in March as the market currently expects, the January meeting will be the window for the last official signal, and if the signal of interest rate hikes in March is passed by then , the market's expectations for the balance sheet shrinking during the year will also heat up again, and it is not ruled out that further Pushed up U.S. bond interest rates and caused market volatility.

　　Domestic: ( 1 ) Macro liquidity: Social financing data in December shows that domestic credit has not yet exerted its force, and residents' financing continues to be sluggish. This year, benefiting from the “stable growth” expected real estate, building materials and home appliances and other “pan-real estate chain” sectors It fell, but the magnitude was flatter than that at the beginning of the year, or it has basically been adjusted in place, and the market is in a downward trend. ( 2 ) Market liquidity: Last week, the net inflow of northbound funds, the position of stock funds increased, and the scale of two financing increased, but the activity of corporate capital transactions declined. ( 3 ) Under the interference of the new wave of epidemic, consumption is weak.

　　In terms of A50

　　, last week, the market mainly fell sharply, the belief in wide credit has not been confirmed, and residents' financing continued to be sluggish. Since the beginning of this year, the “pan-real estate chain” sectors such as real estate, building materials and home appliances, which benefited from the expectation of “steady growth”, fell, but the extent Compared with the beginning of the year, it has tended to be flat, or has basically been adjusted in place, and the market is in a downward trend. The three major sectors of the A50 fell collectively. Overseas, expectations for interest rate hikes and balance sheet reductions are heating up during the year, causing certain disturbances to the market. From the perspective of valuation, A50 price-earnings ratio PE and price -book ratio PB are near the average. From a technical point of view, A50 is currently at an important support level, and is expected to stabilize and rise at the 15000 support level. In the short term, the index may fluctuate at the bottom and wait for the market to stabilize.

　　Figure

　　1

　　Year-to-date stock index ups and downs

　　Data source: Henghua International, wind

　　1. Technical analysis

　　From the technical analysis point of view, A50 is at the monthly support level, which is the previous high point. We will pay attention to whether this point can rebound. Support point: 15000 . Today's lowest point reaches 15002 and bottoms out. If there is no breakout at 15000 , A50 will likely bottom out and rebound.

　　Figure 2 FTSE China A50 trend

　　Data source: Henghua International, wind

　　2. Sector trends

　　Figure 3 Trends of the three major sectors of the FTSE China A50 Index

　　Data source: Henghua International, wind

　　Last week, the A50 experienced a slump on Thursday and Friday, with the three major sectors collectively falling. The banking sector fell 0.8% , non-bank financials fell 3.0% , food and beverages fell 4.9% and the A50 futures 2201 contract fell 1.9% .

　　Banking and non-banking financial sectors are in the depression of valuation and have little room to fall, while food and beverages do not have the opportunity to continue to fall due to the increase in demand at the end of the year and the sharp pullback in the first half of the year. At the end of the year, the A50 index is likely to bottom out and rebound.

　　3. Funding

　　In terms of public offerings, compared with last week, the positions of stock funds increased, and the share of newly established stock-oriented funds increased; compared with last week, northbound funds saw a net inflow of land-based stocks and increased trading activity; compared with last week, leveraged funds, The scale of the balance of financing and financing increased, and the transaction activity decreased; for industrial capital, in January, the transaction activity of industrial capital decreased, and the net increase in agricultural, forestry, animal husbandry, and construction materials was the top.

　　4. Index Valuation

　　In the past five years, the average value of PE is 13.9 times, and the average value of PB is 1.95 times. But since 2019 , its valuation has rebounded from a low level and has risen all the way. The current PE is 14.53 times, which is near the average; 2.08 times PB, which is near the 6 -year average. Compared with the Shanghai Stock Exchange 50 and the CSI 300 Index, the ROE of the A50 's return on equity is larger, and the current value is 14.3 .

　　Calculation formula: price-earnings ratio PE ( TTM ) = 1/SUM(Wi/PEi) , price -to-book ratio PB ( TTM ) = 1/SUM(Wi/PBi) , return on equity ROE=PB/PE .

　　Figure 4 PE of each index from 2015 to present

　　Data source: Henghua International, wind

　　Figure 5 A50 PE ratio

　　Data source: Henghua International, wind

　　Figure 6 A50 P/B PB

　　Data source: Henghua International, wind

　　Figure 7 A50 ROE

　　Data source: Henghua International, wind

　　5. Spread analysis

　　Monthly spread: Last week, the upper and lower bounds of the Bollinger Band of the A50 monthly spread: [-47,17], it is suggested that the spread can break through this range for arbitrage.

　　Figure 8 A50 Basis Chart

　　Data source: Henghua International, wind

　　Figure 9 A50 basis chart (five-month data)

　　Data source: Henghua International, wind

　　Figure 10 A50 month-to-month spread

　　Data source: Henghua International, wind

　　Figure 11 Application of Bollinger Bands in monthly spreads

　　Data source: Henghua International, wind

　　6. Trading strategy

　　Unilateral strategy: In terms of A50 , the market mainly fell sharply last week, the belief in wide credit has not been confirmed, and residents' financing continued to be sluggish. It fell, but the magnitude was flatter than that at the beginning of the year, or it has basically been adjusted in place, and the market is in a downward trend. The three major sectors of the A50 fell collectively. Overseas, expectations for interest rate hikes and balance sheet reductions are heating up during the year, causing certain disturbances to the market. From the perspective of valuation, A50 price-earnings ratio PE and price -book ratio PB are near the average. From a technical point of view, A50 is currently at an important support level, and is expected to stabilize and rise at the 15000 support level. In the short term, the index may fluctuate at the bottom and wait for the market to stabilize.

　　Inter-month arbitrage: Last week, the upper and lower rail range of the Bollinger Band of the A50 inter-month spread: [-47,17], it is suggested that the spread can break through this range for arbitrage.

　　7. Focus this week

　　Table 1 Follow this week

　　Data source: Henghua International, Jinshi Data

　　8. Risk warning

　　( 1 ) Domestic policy easing is less than expected; ( 2 ) The overseas new crown epidemic is out of control; ( 3 ) The upward pressure on inflation is increasing; ( 4 ) The yields of treasury bonds of major overseas countries are rising too fast.

　　Disclaimer

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