1. Report Industry Investment Rating There is no information provided in the content about the report industry investment rating. 2. Core Viewpoints of the Report - Since 2025, the contango of various stock index futures contracts has deepened significantly. As of May 30, 2025, the annualized basis rate of IM futures reached -16.59%, approaching the contango levels after the market decline on April 7, 2025, and during the rapid decline of small - cap stocks from late January to early February 2024 [3][10]. - The reasons for the deep contango of IM02 recently include increased hedging demand due to amplified volatility, profit - taking of long positions after the rebound of spot prices, and a possible significant decline in the scale of structured option products such as snowball - like products [3]. - The current crowding degree of small - cap stocks is relatively high, with high trading activity, elevated valuations, and an increasing number of days with large price fluctuations [3]. - To deal with the potential risks of small - cap stocks in fund investment, investors should identify products exposed to small - cap stocks in advance, pay attention to "pseudo - zero market - value exposure" products, and can choose balanced products with relatively large market - value holdings or products with good investment capabilities in adverse small - cap market environments [3][40]. 3. Summary According to the Directory 3.1 From the Deep Contango of IM to Analyze Small - Cap Stocks - Are Small - Cap Stocks Facing Crowding Risks Again? 3.1.1 IM Futures Contango Situation - The contango of various stock index futures contracts has deepened since 2025. By the end of May, the annualized basis of IH, IF, and IC reached -5.97%, -7.49%, and -12.59% respectively, with significantly higher contango levels compared to the beginning of the year. The annualized basis rate of IM futures was -16.59% as of May 30, 2025 [3][10]. 3.1.2 Reasons for the Deep Contango of IM Futures - **Increased hedging demand due to amplified volatility**: In early April, market volatility increased due to the trade war, with the 1 - month rolling annualized volatility of CSI 1000 exceeding 45%. The ample Alpha in the small - cap market also increased the attractiveness of neutral strategies and short - selling demand [15]. - **Changes in contract volume and structure**: After the index rebounded on April 7, the total futures contract holdings decreased rapidly, likely due to long - position profit - taking, which intensified the contango. As the delivery week approached, short - term contract contango was expected to converge quickly, leading to early roll - over of long - term hedging demand to buy forward contracts and intensifying the contango [18]. - **Decreased demand for structured option products**: Structured option products such as snowball - like products may face a significant decline in scale recently. The notional principal of over - the - counter derivatives linked to stock indices has decreased significantly since October 2024, from 90.963 billion yuan in September 2024 to 54.440 billion yuan in March 2025, which is consistent with the change in contango [21]. 3.1.3 Potential Impact of Deep Contango - Extreme contango or backwardation may be followed by index movements. Extreme backwardation may indicate market panic and could be followed by a rebound. In the past, when the CSI 1000 experienced a short - term decline of over 10% in 10 trading days, the current - quarter IM futures were in a deep contango situation [24]. 3.1.4 Crowding Degree of Small - Cap Stocks - **High trading activity**: Although the crowding degree of small - cap stocks decreased in May, trading activity remained high. The trading volume of CSI 1000 as a proportion of the total decreased from 23.2% in February 2025 to 19.3% in May 2025, and the turnover ratio also declined but remained at a similar level to December 2023. The trading activity of micro - cap stocks increased significantly recently [29]. - **Elevated valuations**: The valuations of small - cap indices are currently at relatively high levels. The PB ratio of the micro - cap stock index has increased significantly, similar to the trend at the end of 2023. The rolling excess return of the micro - cap index is also at a high level [33]. - **Increased frequency of large price fluctuations**: The number of days with large price fluctuations of micro - cap stocks has increased recently. Since 2025, the proportion of days with large upward price fluctuations has also been at a high level [34]. 3.2 How to Deal with Potential Downward Risks of Small - Cap Stocks in Fund Investment? 3.2.1 Dealing with Potential Downward Risks of Small - Cap Stocks in Fund Investment - **Identify exposed products**: Besides products with obvious long - term exposure to small - cap styles, some products that enhance returns by holding micro - cap stocks may also be affected by the decline of small - cap stocks. "Pseudo - zero market - value exposure" products also need attention [40]. - **Adjust fund selection**: Investors can choose balanced products with relatively large market - value holdings to hedge against potential risks, or prefer products with good investment capabilities in adverse small - cap market environments [40]. 3.2.2 Differences Among Small - Cap Style Products - **Degree of market - value sinking**: Different small - cap style products have different degrees of market - value sinking. For example, Noan Multi - Strategy has a more obvious market - value sinking, while others may have small adjustments in market - value styles [47]. - **Turnover rate**: The turnover rates of small - cap style products vary. GF Quantitative Multi - Factor has a relatively high turnover rate, while CITIC Prudential Multi - Strategy has a moderately low turnover rate [47]. - **Portfolio construction method**: Western Securities Event - Driven focuses on industry allocation and makes active industry adjustments, with more concentrated industry and stock holdings. Other products' fund managers make fewer industry adjustments and have more dispersed stock holdings [50]. - **Timing operations**: CITIC Prudential Multi - Strategy has a long - term tendency for timing operations and recently reduced its positions. Other products pay less attention to timing [50].

Group 1 - The announcement from Zhongyou Chuangye Fund states that the Zhongyou Zhongzheng Interbank Certificate of Deposit AAA Index 7-Day Holding Period Securities Investment Fund contract became effective on June 3, 2025, with a net subscription amount of 5 billion yuan and effective subscription shares of 5 billion [1] - The fund is a contractual open-end fund managed by Zhongyou Chuangye Fund Management Co., Ltd., and the custodian is China Postal Savings Bank Co., Ltd. [1] - The fund's subscription period was from May 28, 2025, to May 28, 2025, and the subscription confirmation ratio reached 96.54% [1] Group 2 - In 2023, the equity market has been volatile, with only a few new funds initiating proportionate allocation after their first fundraising, while three interbank certificate of deposit funds have conducted proportionate allocation [2] - As of June 3, 2025, the number of interbank certificate of deposit index funds has expanded to 98 since the first batch was established on December 13, 2021 [2] - The main investment targets of interbank certificate of deposit funds are high-rated bank certificates, which have good liquidity, low credit risk, and relatively small drawdowns, with returns typically between money market funds and pure bond funds [2] Group 3 - The performance benchmark for the Zhongxin Baosheng Zhongzheng Interbank Certificate of Deposit AAA Index 7-Day Holding Fund is set at 95% of the Zhongzheng Interbank Certificate of Deposit AAA Index yield plus 5% of the after-tax one-year fixed deposit rate [2] - As of June 3, the year-to-date yield of the Zhongzheng Interbank Certificate of Deposit AAA Index was 0.72%, and the three-year yield reached 2.26% [2] - The average year-to-date yield of 92 interbank certificate of deposit index funds, excluding the six newly established funds, was 0.43%, with 34 products yielding over 2% [2]

Group 1 - A total of 36 new funds were launched this week, including equity, mixed, QDII, and other types, from 26 fund companies such as Huatai-PineBridge, ICBC Credit Suisse, and Bosera [1][3] - Among the new funds, 13 are equity funds, 11 are mixed funds, 10 are bond funds, 1 is a FOF fund, and 1 is an international (QDII) fund, with equity and mixed funds accounting for 66.7% of the total [1] Group 2 - The top fund managers include Huatai-PineBridge, ICBC Credit Suisse, and Huafu, each launching 3 products, while others like Bosera and CMB have launched 2 products each [3] - Notable fund managers participating in the equity funds include Yin Hao from Bosera and Jiao Wenlong from ICBC Credit Suisse, focusing on popular sectors such as the Sci-Tech Innovation Board and innovative pharmaceuticals [4] Group 3 - 11 mixed funds were launched, with subscription thresholds as low as 1 yuan, and performance benchmarks including indices related to China's strategic emerging industries and the Hang Seng Index [6] - The mixed fund managers include veterans like Zhu Hongyu from CMB and younger managers like Nong Bingli from Invesco Great Wall [6] Group 4 - 10 bond funds were issued this week, including mixed secondary bond funds and pure bond funds, providing various options for investors based on their risk preferences [8] - The bond funds include products like Pengyang Heli A and Huisheng Hesheng Pure Bond, with subscription thresholds starting at 1 yuan [9] Group 5 - A QDII fund was launched after a 10-week hiatus, focusing on the Hang Seng Technology Index, with a subscription starting at 1 yuan and a performance benchmark tied to the index [10]

Group 1 - The bond market has shown signs of recovery, with over 40% of bond funds reaching historical net value highs as of May 26, 2023 [1][2] - The Wind medium to long-term pure bond index reached a historical high of 2515.42 points on May 26, 2023, with a 0.25% increase over the past month and 0.81% over the past three months [1] - The bond market has attracted significant inflows, with a total net inflow of over 310 billion yuan into 29 bond ETFs since May [3] Group 2 - Several bond funds have reported strong returns, with 2986 products achieving historical net value highs, and many funds showing returns exceeding 3% over the past three months [2] - The recent influx of capital into the bond market has led to the emergence of several "popular" bond funds, with notable fundraising successes [2] - The short-term bond ETF has become particularly popular, with net inflows exceeding 58 billion yuan in May, indicating a preference for short-term, liquid investment options [3] Group 3 - The bond market is expected to maintain its long-term investment value due to the People's Bank of China's continued accommodative monetary policy [4] - The long-end interest rates have shown a downward trend, and the market is currently assessing the impact of external disturbances on the economy [4] - The credit bond market is experiencing a steepening yield curve, with mid to long-term credit bonds becoming increasingly attractive for investment [4]

Group 1: Fund Manager Dynamics - A well-known 'fund king' has never received a rating from Jinan due to significant style drift, operating open-end funds like closed-end funds, raising industry concerns [1] Group 2: Market Insights - Goldman Sachs' chief China equity strategist Liu Jinjun and his team support an overweight stance on the Chinese stock market, citing potential resilience in the RMB exchange rate and an expected moderate improvement in corporate earnings [2] - The first batch of innovative floating-rate funds will start selling on May 27, with most products expected to close fundraising in June [3] - Credit bond ETFs are set to officially implement a pledge-style repurchase business, with several public fund institutions' credit bond ETFs meeting the necessary conditions [4] Group 3: Banking Sector - With domestic deposit rates declining, over 70% of A-share listed banks have a dividend yield exceeding 4%, and some banks have yields surpassing 8%, making bank stocks more attractive than traditional savings [5] Group 4: New Fund Launches - 15 new public funds were launched, with over 70% being equity funds, primarily index funds, covering various sectors including fintech, internet, pharmaceuticals, and consumer goods [6] Group 5: ETF Market Performance - A-shares experienced a collective adjustment, with the Shanghai Composite Index down 0.05%, Shenzhen Component down 0.41%, and ChiNext down 0.80%, while the Northbound 50 Index rose 1.94% [7] - The total market turnover was 10,339 billion, a decrease of 1,487 billion from the previous day, with nearly 3,800 stocks rising [7] - The gaming sector saw strong performance, with multiple gaming ETFs rising between 2.93% and 2.96% [9] Group 6: Hong Kong Market Trends - Hong Kong automotive stocks experienced a pullback, with the Hong Kong Stock Connect automotive ETF down 4.38% and the Hong Kong automotive ETF down 4.31% [11]

Group 1 - The core viewpoint of the article highlights the increasing demand for stable value growth among investors in a volatile bond market, leading to the popularity of "fixed income +" funds [1][2] - CITIC Prudential Fund is launching a new "fixed income +" fund called CITIC Prudential Hui Li Bond, managed by Zheng Yisa, who has 14 years of industry experience and over 8 years in investment management [1] - The fund aims to combine pure bonds with selected equity public funds or ETFs to enhance returns while ensuring a good holding experience for investors [1] Group 2 - Zheng Yisa emphasizes the importance of precise duration management in the current low-interest-rate environment to systematically improve bond returns [2] - The fund will implement upper and lower limits on duration exposure based on market benchmarks to mitigate risks associated with duration [2] - The company is enhancing its trading capabilities and tools for fund managers to adapt to market challenges, focusing on optimizing product allocation and operational discipline [2]

Core Insights - The bond market in China has experienced increased volatility in 2023, contrasting with the previous years of consistent growth, making it challenging for fund managers to generate returns [1][2] - Many bond fund managers are now focusing on trading as a key method to achieve excess returns due to the diminishing effectiveness of credit downgrading strategies [1][2] - The need for enhanced trading capabilities and macroeconomic analysis has become critical for investment teams in response to the rapidly changing market environment [1][2] Market Environment - Over two-thirds of medium to long-term pure bond funds reported negative returns in the first quarter of 2023, highlighting the difficulties faced by fund managers [1] - The expectation of significant returns from interest rate declines has become unrealistic, prompting fund managers to adopt timing strategies for trading [1][2] Trading Strategies - Investment teams are focusing on improving trading success rates by developing comprehensive investment frameworks that consider various economic and market factors [2] - Quantitative strategies are increasingly being utilized to assist in trading decisions, with teams monitoring market bond durations to optimize investment accounts [2] - A shift towards scenario analysis and market expectation dynamics is being adopted to better navigate the uncertain bond market [2][3] Future Outlook - The bond market is expected to remain in a narrow fluctuation pattern due to ongoing uncertainties and the need for further policy adjustments [3][4] - The central bank's stance on interest rate curves is identified as a crucial factor influencing the bond market, necessitating close monitoring and timely strategy adjustments [4] - The investment approach is evolving from precise predictions to trend tracking and embracing limited rationality, recognizing the limitations of trading models [4]

Core Viewpoint - The active equity funds have shown significant performance disparity in 2023, with some funds achieving over 80% returns while others have seen declines exceeding 25% [1][2][5]. Group 1: Performance Highlights - As of May 20, 63 active equity funds have returned over 30% this year, with 11 funds exceeding 50% [1][2]. - More than 150 active equity funds have reached historical highs in their adjusted net asset values [1][2]. - The top-performing funds have capitalized on opportunities in innovative pharmaceuticals, new consumption, and robotics sectors [1][3]. Group 2: Characteristics of Top-Performing Funds - The leading fund, 华夏北交所创新中小企业精选两年定开混合基金, achieved a return of 80.79%, followed by 中信建投北交所精选两年定开混合基金 at 73.12% and 汇添富北交所创新精选两年定开混合基金 at 63.29% [3]. - Funds heavily invested in the robotics sector, such as 鹏华碳中和主题混合基金, reported returns of 61.72%, with several others exceeding 50% [3]. - Pharmaceutical-themed funds, particularly those focused on innovative drugs, have also performed well, with 长城医药产业精选混合基金 returning 55.32% [3]. - Funds focused on new consumption have seen significant rebounds, with 恒越匠心优选一年持有期混合基金 achieving a return of 51.49% [3]. Group 3: Underperforming Funds - Over 90 active equity funds have experienced declines of more than 10%, with the worst-performing fund down by 27.03%, resulting in a performance gap of 107.82 percentage points [1][5]. - Underperforming funds often exhibit concentrated holdings and frequent changes in their top stocks, indicating a trend of chasing market movements [5]. Group 4: Fund Flow and Market Outlook - Due to increased inflows into high-performing funds, several have announced purchase limits, including 中信保诚多策略混合基金 and 中欧价值回报混合基金 [5][6]. - The market is expected to shift from emotion-driven pricing to a focus on fundamentals, with attention on technology growth sectors, cyclical areas, and dividend assets [6]. - The AI sector is highlighted as a key investment theme for the year, with opportunities in AI applications and related hardware expected to exceed market expectations [6].

Core Viewpoint - "Fixed Income +" products are becoming a key focus for public fund companies, driven by investor demand for absolute returns and the need for fund companies to grow their management scale [1][2]. Group 1: Market Trends - The total scale of "Fixed Income +" funds increased by over 100 billion yuan in the first quarter of this year, showing a significant rise compared to the second half of 2024 [1]. - In the first quarter, the issuance scale of public fixed income funds was approximately 121 billion yuan, with average fundraising sizes for various fund types showing recovery [1][2]. - Several fund companies, including China Universal Fund and Bank of China Fund, reported substantial growth in their "Fixed Income +" product scales, with China Universal Fund leading the market with an increase of 17.7 billion yuan in the first quarter [2]. Group 2: Investor Demand - The recent "Action Plan for Promoting High-Quality Development of Public Funds" emphasizes the support for low-volatility products and asset allocation products, indicating a favorable environment for "Fixed Income +" products [2]. - Investors are increasingly seeking funds that can provide positive returns over a certain period, especially after experiencing fluctuations in the equity market [3]. Group 3: Performance and Strategy - "Fixed Income +" products, which combine bond assets with equity for enhanced returns, are designed to capture structural opportunities in the stock market while striving for coupon income amid bond market volatility [3][4]. - The performance of certain "Fixed Income +" funds has been commendable, with examples like the Guangfa Jutai Mixed A fund achieving a total return rate of 74.25% since its inception [3]. - Fund managers are focusing on strategies that balance risk and return, with expectations that certain bond investment strategies will perform better than duration strategies in the second quarter [5].

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has released an action plan to promote the high-quality development of public funds, emphasizing the importance of performance benchmarks for funds [1][7]. Group 1: Changes in Performance Benchmarks - A significant increase in the number of funds changing their performance benchmarks has been observed this year, with 82 funds making changes compared to only 37 in the same period last year [3]. - Several North Exchange theme funds have updated their performance benchmarks to align with relevant indices, although five companies have yet to make these necessary adjustments [3][6]. - The Tianhong Qingxiang Fund and Zheshang Huijin Quantitative Fund have both adjusted their performance benchmarks to better reflect their investment strategies, moving away from indices that do not accurately represent their risk-return profiles [4][5]. Group 2: Importance of Performance Benchmarks - Performance benchmarks are crucial for evaluating fund performance, yet many funds have benchmarks that do not serve their intended purpose, leading to a lack of accountability for fund managers [6][9]. - The CSRC's action plan aims to enforce stricter guidelines for setting and modifying performance benchmarks, linking them to fund company performance assessments and manager compensation [7][10]. - The current benchmarks often reflect a simplistic approach, with a high concentration of funds using major indices like the CSI 300, which may not accurately represent the diverse market landscape [9][11]. Group 3: Future Implications - The action plan is expected to lead to more refined management of performance benchmarks, encouraging fund companies to reassess their benchmarks and align them more closely with their investment strategies [8][10]. - As the industry evolves, there is a push for more sophisticated benchmark selection, including the potential use of composite indices instead of relying solely on broad indices [11].