公募基金股指期货持仓

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2025年一季度公募基金股指期货持仓分析报告
Guo Lian Qi Huo· 2025-04-30 02:17
Report Industry Investment Rating - No relevant information provided Core Viewpoints of the Report - As of the end of Q1 2025, the total holdings of public funds in stock index futures dropped significantly by 27.9% quarter-on-quarter after five consecutive quarters of growth, mainly due to long position reduction. The increase in short positions of IM by active management products indicates that public funds are more cautious about small and medium-cap indexes. The changes in the proportion of long and short positions in different contract months show that public funds have differences in the short-term target market and are still optimistic about the long-term market [2][6][40]. Summary by Relevant Catalog Market Overall Situation - Significant Reduction in Long Positions of Stock Index Futures - As of the end of Q1 2025, public funds held 18,390 lots of stock index futures, a significant 27.9% decrease quarter-on-quarter. Long positions were 14,579 lots, down 31.4% quarter-on-quarter, and short positions were 3,811 lots, down 14.6% quarter-on-quarter. In terms of market value, the total market value of stock index futures held was 20.64 billion yuan, a 27.4% decrease quarter-on-quarter. The long position market value was 16.19 billion yuan, down 30.9% quarter-on-quarter, and the short position market value was 4.45 billion yuan, down 14.4% quarter-on-quarter. The net long position was 10,768 lots, a decrease of 4,015 lots from the end of the previous quarter, and the net long market value was 11.74 billion yuan, a decrease of 4.37 billion yuan from the end of the previous quarter. There were 68 public fund companies participating in stock index futures, an increase of 6 from the end of the previous quarter, and 394 participating products, a significant increase of 44 from the end of the previous quarter [6][7][9]. Analysis of Holdings by Variety and Month Holdings by Variety Indicate Public Funds' Caution about the Future Market - In this quarter, the reduction of long positions by public funds was mainly concentrated in IF and IH contracts, with the reduction in market value reaching 4.867 billion yuan and 746 million yuan respectively, a significant 86.8% and 39.4% decrease quarter-on-quarter. The reduction of short positions was mainly in the IF contract, with a reduction in market value of 570 million yuan, a 19.05% decrease quarter-on-quarter. Meanwhile, both long and short positions in the IM contract increased significantly, with the former increasing by 15.6% quarter-on-quarter and the latter by 20.56% quarter-on-quarter. The main hedging variety continued to shift from IF to IM, but IF remained the main short hedging variety, with its proportion in all short hedging dropping to around 54.9% [10]. Holdings by Month Indicate Public Funds' Significant Differences in the Short-Term Market - In terms of the contract month of holdings, the proportion of short positions of public funds in the current-month contract increased significantly, while the proportion in the current-quarter contract decreased significantly. Long positions showed a sign of shifting from the next-quarter contract to the current-month contract. The increase in the proportion of both long and short positions in the current month indicates that public funds have differences in the short-term target market. The significant decrease in the proportion of short positions in the current-quarter contract while the proportion of long positions changed little indicates that they are still optimistic about the long-term market. Specifically, the proportions of long positions in the current-month, next-month, current-quarter, and next-quarter contracts were 30.86%, 0.22%, 65.59%, and 3.31% respectively, with a quarter-on-quarter increase of 7.89 percentage points, -0.4 percentage points, 0.1 percentage points, and -7.57 percentage points respectively. The proportions of short positions were 42.13%, 0.97%, 54.16%, and 2.73% respectively, with a quarter-on-quarter increase of 20.13 percentage points, 0.63 percentage points, -22.51 percentage points, and 1.75 percentage points respectively [16]. Holdings of Various Fund Products Significant Decrease in the Long Position Market Value of Passive Index Funds - In this quarter, the total number of public fund products participating in stock index futures increased significantly to 394, a quarter-on-quarter increase of 54. The products with the largest increase were passive index products, index enhancement products, and flexible allocation products, with the number increasing from 132, 93, and 27 to 148, 108, and 35 respectively. Although the number of passive index products increased significantly, the long position market value decreased significantly from 18.458 billion yuan to 13.223 billion yuan. Passive index products remained the main participants in the long positions of stock index futures, followed by index enhancement products. Neutral products were still the main participants in short positions, and the hedging ratio increased significantly from 88.88% in the previous quarter to 91.44% in this quarter [18][19]. Significant Reduction in Long Positions of Passive Index Products in IF - Among different products' holdings of stock index futures varieties, passive index products, which are the main force in long positions of public funds, significantly reduced their positions in IF this quarter and increased their positions in IM to some extent. The long positions in IF decreased significantly from 9.771 billion yuan to 4.89 billion yuan, and the long positions in IM increased from 2.196 billion yuan to 2.656 billion yuan. Neutral products, the main force in short positions of public funds, reduced their short positions in IF, IC, and IM to some extent. The short positions in these three varieties were 2.38 billion yuan, 136 million yuan, and 447 million yuan respectively, a decrease of 465 million yuan, 487 million yuan, and 174 million yuan respectively compared with the end of the previous quarter. In addition, the increase in short positions of IM was mainly in partial stock hybrid and flexible allocation products, increasing from 720 million yuan and 454 million yuan in the previous quarter to 3.51 billion yuan and 7.1 billion yuan respectively, indicating that active management products of stock funds are generally more cautious about IM [26][31]. Most of the Top Ten Managers Reduced Their Holdings to Varying Degrees - In this quarter, the total holdings of the top ten managers reached 14,917 lots, with a total market value of 16.62 billion yuan, a significant decrease of 5,375 lots and 6.024 billion yuan respectively compared with the end of the previous quarter. Most managers showed varying degrees of position reduction, with Huatai-PineBridge and China Asset Management reducing their positions most significantly, with their holdings in stock index futures decreasing by 3,093 lots and 1,548 lots respectively. Specifically, the long positions of the top ten managers were 12,203 lots, with a long position market value of 13.446 billion yuan, a decrease of 4,832 lots and 5.374 billion yuan respectively compared with the end of the previous quarter. The short positions were 2,714 lots, with a short position market value of 3.157 billion yuan, a decrease of 543 lots and 663 million yuan respectively compared with the end of the previous quarter [33]. Summary - Overall, in this quarter, the total holdings of public funds in stock index futures dropped significantly after five consecutive quarters of growth, mainly due to long position reduction. Long positions were 14,579 lots, a 31.4% decrease quarter-on-quarter, with a market value of 16.19 billion yuan, a 30.9% decrease quarter-on-quarter. Short positions were 3,811 lots, a 14.6% decrease quarter-on-quarter, with a market value of 4.45 billion yuan, a 14.4% decrease quarter-on-quarter. The net long position was 10,768 lots, a decrease of 4,015 lots from the end of the previous quarter, and the net long market value was 11.74 billion yuan, a decrease of 4.37 billion yuan from the end of the previous quarter. In terms of holdings by variety, the reduction of long positions was mainly concentrated in IF and IH contracts, mainly due to the reduction of positions by passive index funds, with the reduction in market value reaching 4.867 billion yuan and 746 million yuan respectively, a significant 86.8% and 39.4% decrease quarter-on-quarter. The increase in short positions of IM was mainly in partial stock hybrid and flexible allocation products, increasing from 720 million yuan and 454 million yuan in the previous quarter to 3.51 billion yuan and 7.1 billion yuan respectively. The increase in short positions of IM by active management products indicates that public funds are more cautious about small and medium-cap indexes. In terms of holdings by month, the proportion of short positions in the current-month contract increased significantly, while the proportion in the current-quarter contract decreased significantly. Long positions showed a sign of shifting from the next-quarter contract to the current-month contract. The increase in the proportion of both long and short positions in the current month indicates that public funds have differences in the short-term target market. The significant decrease in the proportion of short positions in the current-quarter contract while the proportion of long positions changed little indicates that they are still optimistic about the long-term market [40][41].