1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase, with broad - based index gains narrowing. The basis showed significant two - way fluctuations, weakly correlated with daily index movements, and the divergence at the 1 - minute level increased, indicating weak and disordered risk sentiment in the futures market. The changes in neutral and CTA strategy products also reflected this. In the short term, the two - way basis fluctuations may continue, and in the long run, if the policy of reducing volatility is implemented, the central level of stock index futures discounts may narrow [5][15]. 3. Summary According to the Directory 3.1 Recent Basis Review - Market Conditions: After the "Jiusan" consensus was fulfilled, the market entered a moderately shrinking rotation phase. The ChiNext and STAR Market indices led the gains in September, while the gains of other indices narrowed, and the small - cap index declined. Domestic policies were relatively quiet, with a focus on "anti - involution" and potential future volatility - reduction policies. Overseas, the Fed cut interest rates by 25bp, and the A - share market reacted calmly to the Sino - US Madrid talks. Daily trading volume gradually decreased to around 2.2 trillion yuan [6]. - Basis Changes: At the beginning of September, the basis of each variety weakened with the index decline. Subsequently, it fluctuated up and down during the index recovery. By the end of the month, the basis of IF, IC, and IM strengthened. Overall, the basis of IH and IF decreased compared to the end of August, while that of IC and IM increased. As of September 30, the annualized basis rates of the four varieties' quarterly contracts had recovered to around the 20th percentile in the past three years. The daily - level basis changes were weakly correlated with index changes, and there was significant divergence at the 1 - minute level, indicating weak risk appetite [9]. - Product - end Performance: Index - related product scale was stable with a slight decline, and the number of newly issued public - offering index - enhanced products reached a new monthly high. The net value curve of neutral strategies flattened in the past two months, with a median annual return of around 5.5%, and both long and short positions decreased in September. The CTA strategy's leverage ratio for stock indices remained stable, but the net long position fluctuated significantly, reflecting disordered market sentiment [14]. 3.2 Performance Review of Long - Position Rollover - The annualized excess returns of the long - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 2.7%, 0.2%, 1.2%, and - 3.0% respectively. The benchmark portfolio was set as a weighted combination based on the previous trading day's contract positions, without considering transaction costs, and the trading price was the TWAP price in the first half - hour of trading [5][22]. 3.3 Performance Review of Short - Position Rollover - The annualized excess returns of the short - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 0.5%, - 0.3%, 2.2%, and 0.6% respectively [5][25].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In April, the market sought balance between economic and foreign trade pressures and policy support. The market was affected by overseas tariff issues, with policy - makers taking a firm stance to support the market. The transaction volume decreased, and the basis of stock index futures changed significantly. The basis of IH and IF weakened slightly compared to the end of last month, while IC and IM remained basically the same. In the future, the basis of IH and IF may rise with the inflow of long - term funds, and the deep discount of IC and IM is likely to converge [5][22]. - There are potential long - term bullish factors in the product side, such as the increase in the share of index ETFs and the new issuance of index - enhanced products. The neutral strategy has stable performance, and the impact of over - the - counter options on the futures market has basically ended [5]. Summary by Related Catalogs 1. Recent Basis Review - **Market Situation**: In April, the market faced external tariff pressure at the beginning, with small - cap and high - valuation sectors under pressure. The policy layer actively supported the market, and the core broad - based indexes were strongly supported. As the tariff issue eased, the market was volatile and bullish, but the market's upward drive was insufficient, and the average daily trading volume of the whole A - share market dropped to 120 million. By the end of April, the broad - based indexes had not fully recovered, with small - cap stocks having a larger gap [6]. - **Basis Changes**: IH and IF basis weakened slightly compared to the end of last month, while IC and IM remained basically the same. As of April 30, 2025, the annualized basis rates of the quarterly contracts of IH, IF, IC, and IM were 0.76%, - 2.36%, - 8.43%, and - 11.23% respectively, still at a relatively low level in the past three years [8]. - **Driving Factors**: The main fluctuations in April came from the overseas tariff event on April 7, when IC and IM hit the limit down, and the hedging demand shifted to large - cap varieties, causing the basis of IH and IF to decline significantly. The change in the capital side was also an important factor. Due to the policy of restricting institutional stock sales, the basis of each variety declined rapidly on April 11, and the estimated impact scale on the futures side was about 30 - 40 billion [13][15]. - **Product - Side Changes**: Index ETF shares increased significantly, and index - enhanced products were newly issued at a relatively fast pace in April. The neutral strategy had stable performance, with a median return of about 4% and a maximum drawdown of about 1% since this year. The expiration peak of over - the - counter option products has passed, and the impact on the futures market has basically ended [5]. - **Future Outlook**: Currently, IH and IF are slightly discounted, and the potential increase in new - share subscription hedging demand has limited directional impact on the basis. The inflow of long - term funds from insurance may drive the basis of these two varieties to rise. For IC and IM, the deep discount is likely to converge as the over - the - counter option drive disappears and the neutral strategy cannot support a higher discount level [22]. 2. Long - Position Rollover Performance Review - **Performance Data**: As of April 2025, the annualized yields of the long - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 0.8%, 3.6%, 7.5%, and 8.9% respectively; the benchmark portfolios were 3.0%, 3.3%, 6.1%, and 12.3% respectively; the excess returns were - 3.9%, 0.3%, 1.4%, and - 3.4% respectively [26]. 3. Short - Position Rollover Performance Review - **Performance Data**: As of April 2025, the annualized yields of the short - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 4.8%, - 5.2%, - 6.5%, and - 12.2% respectively; the benchmark portfolios were - 3.6%, - 3.9%, - 6.7%, and - 12.1% respectively; the excess returns were - 1.1%, - 1.3%, 0.2%, and - 0.2% respectively [28].