行业投资评级 - 推荐（维持）[1] 核心观点 - 基差贴水维持高位，IM贴水走阔，市场交投活跃度提升 [1] 量化私募策略表现 - 300增强策略周/月/年初以来平均收益分别为+2.1%/+2.3%/+16.1%，平均超额分别为0%/+0.6%/+2.6% [1] - 500增强策略周/月/年初以来平均收益分别为+2.7%/+1.5%/+25.7%，平均超额分别为+0.2%/+1.3%/+6.8% [1] - A500增强策略周/月/年初以来平均收益分别为+3%/+2.3%/+24.5%，平均超额分别为-0.4%/+0.7%/+5.2% [1] - 1000增强策略周/月/年初以来平均收益分别为+3.1%/+1.5%/+30.9%，平均超额分别为+0.5%/+1.2%/+12.5% [1] - 空气指增策略周/月/年初以来平均收益分别为+2%/+1.2%/+22% [1] - 市场中性策略周/月/年初以来平均收益分别为+0.6%/+0.7%/+7.6% [1] 指数间超额收益 - 沪深300相对中证500周/月/年初以来超额收益分别为-1.4%/+1.2%/-9% [2] - 中证1000相对中证500周/月/年初以来超额收益分别为+0.2%/+0.2%/-2.5% [2] - 中证2000相对中证500周/月/年初以来超额收益分别为-0.1%/+1.4%/+3.2% [2] - 微盘股相对中证500周/月/年初以来超额收益分别为-0.6%/+6.5%/+37.3% [2] 市场成交活跃度 - 沪深300周/月/年初以来日均成交额分别为6582/6274/3920亿元，环比+33.2%/-37.8%/+59.4% [3] - 中证500周/月/年初以来日均成交额分别为4491/4098/2765亿元，环比+40.5%/-40.1%/+87.8% [3] - 中证1000周/月/年初以来日均成交额分别为4565/4219/3538亿元，环比+31.6%/-41%/+99.7% [3] - 中证2000周/月/年初以来日均成交额分别为4626/4321/4320亿元，环比+20.9%/-42%/+102.4% [3] - 微盘股周/月/年初以来日均成交额分别为346/311/295亿元，环比+7.5%/-35.1%/+82.5% [3] 行业表现 - 本周涨幅前三行业：化工+3.5%、可选消费零售+3.3%、电气设备+3.1%；涨幅后三行业：半导体-3.8%、家庭用品-2.7%、银行-2.3% [4] - 本月涨幅前三行业：煤炭+10.7%、工业贸易与综合+8.5%、石油石化+5.7%；涨幅后三行业：半导体-6.3%、媒体娱乐-5.8%、汽车与零配件-4.2% [4] - 年初以来涨幅前三行业：有色金属+70%、硬件设备+50.3%、工业贸易与综合+43.2%；涨幅后三行业：日常消费零售-7.1%、电信服务-2.5%、食品饮料+0.4% [4] 股指期货基差 - IF/IC/IM当月合约年化贴水分别为-0.1%/+9.9%/+16.3%，居于近一年年化贴水幅度分位数分别为19.5%/45.8%/57.2% [4] - IF/IC/IM下季合约年化贴水分别为+2.3%/+9.2%/+11.6%，居于近一年年化贴水幅度分位数分别为36.7%/54.7%/58% [4]