Report Industry Investment Rating No relevant content provided. Core View of the Report As of the end of the third quarter of 2025, the total position of public funds in stock index futures continued to reach a new high since 2015, with the increase mainly from short - position increases. The slowdown of long - position increases and concentration in the IH contract, along with short - position increases in the IM contract, indicate that public funds are more optimistic about large - cap indices. The increase in the proportion of long positions in quarterly contracts may be related to the high historical basis in the futures market. Different types of funds show varying participation in terms of quantity and market value, and the top ten managers' total positions have increased [2][42]. Summary According to Relevant Catalogs Market Overall Situation - Significant Growth in Stock Index Futures Position Market Value - As of the end of Q3 2025, public funds held 32,496 lots of stock index futures, a 7.97% increase quarter - on - quarter, with the growth mainly from short - position increases. Long positions were 26,017 lots (up 3.38% QoQ), and short positions were 6,479 lots (up 31.42% QoQ). The total position market value was 43.58 billion yuan, a 28.63% increase QoQ, with long - position market value at 34.25 billion yuan (up 22.15% QoQ) and short - position market value at 9.327 billion yuan (up 59.76% QoQ) [6]. - The net long position was 19,538 lots, a decrease of 699 lots from the previous quarter, but the net long - position market value increased by 9.7 billion yuan to 34.25 billion yuan [6]. - 61 public fund companies participated in stock index futures, 5 fewer than the previous quarter, while the number of participating products increased by 22 to 440. There were 57 long - position companies, 24 short - position companies, 374 long - position products, and 67 short - position products. The number of long - position products has been increasing for 6 consecutive quarters [7][10]. Position Variety and Month Analysis 2.1 Position Variety Indicates Public Funds Are More Optimistic about Large - Cap Indices in the Future - This quarter, public funds' positions in various varieties were divergent. Long - position increases slowed down and were mainly concentrated in the IH contract, with an increase of 1,160 lots (26.6% QoQ) and 1.43 billion yuan (40.82% QoQ). Short - position increases were mainly in the IM contract, with an increase of 1,725 lots (76.9% QoQ) and 3.11 billion yuan (111.1% QoQ). The short - position main variety continued to shift from IF to IM, and the proportion of IM in short - hedge increased from 48.4% to 63.38%. This shows that public funds are more optimistic about large - cap indices [11]. - For different contracts: IF total position was 11,918 lots, with long positions of 10,260 lots (down 5.21% QoQ) and short positions of 1,658 lots (down 5.58% QoQ); IH position was 5,749 lots, with long positions of 5,514 lots (up 26.64% QoQ) and short positions of 235 lots (down 9.96% QoQ); IC position was 6,904 lots, with long positions of 6,287 lots (up 3.09% QoQ) and short positions of 617 lots (down 7.77% QoQ); IM position was 7,925 lots, with long positions of 3,956 lots (up 1.67% QoQ) and short positions of 3,969 lots (up 76.9% QoQ) [17]. 2.2 The Proportion of Long Positions in Quarterly Contracts Continued to Increase Significantly - This quarter, the proportion of public funds' long positions in quarterly contracts increased significantly and reached a historical high, while the proportion in current - month contracts continued to decline. This may be related to the high historical basis in the futures market, as quarterly contracts have higher and more stable basis than current - month contracts. Specifically, the proportions of long positions in current - month, next - month, current - quarter, and next - quarter contracts were 14.41%, 0.66%, 78.36%, and 6.57% respectively, with changes of - 12.7, - 0.86, 17.96, and - 4.42 percentage points QoQ. The proportions of short positions were 33.36%, 1.53%, 58.95%, and 6.15% respectively, with changes of - 11.2, 1.31, 6.47, and 3.43 percentage points QoQ [18]. Position Situation of Various Fund Products 3.1 Significant Increase in the Number of Index - Enhanced Products - The total number of public fund products participating in stock index futures increased by 22 to 440. The number of index - enhanced and flexible - allocation products increased the most, from 120 and 36 to 131 and 43 respectively, while the number of partial - stock hybrid products decreased from 49 to 42 [20]. - In terms of total participation market value, passive index products were the main participants in long positions of public funds' stock index futures, followed by index - enhanced products. The long - position market values of passive index and index - enhanced products increased significantly, and the short - position market value of flexible - allocation products increased significantly, from 24.277 billion, 2.692 billion, and 0.965 billion yuan to 29.499 billion, 3.265 billion, and 3.695 billion yuan respectively. Partial - stock hybrid, flexible - allocation, and neutral products were the main participants in short positions, different from the previous quarter when it was mainly neutral products, indicating that public funds are more cautious about the short - term market and the active hedging momentum has increased [21]. 3.2 Significant Increase in Short Positions of Flexible - Allocation Products in IM - For long - position products, passive index products increased their long positions in all four major futures contracts. Index - enhanced products also significantly increased their positions in IC and IM due to the high historical basis. - For short - position products, in addition to traditional neutral products still having a large proportion of positions in IF, flexible - allocation products significantly increased their short positions in IM from 0.763 billion yuan to 3.46 billion yuan. Partial - stock hybrid products maintained a short - position of about 1.8 billion yuan in IM, with a slight increase from the previous quarter. This shows that public funds are more cautious about small - and medium - cap indices in the later period [34][35]. The Total Position of the Top Ten Managers Continued to Increase - This quarter, the total position of the top ten managers reached 28,153 lots, with a total position market value of 37.447 billion yuan, increasing by 10.78% and 31.86% respectively quarter - on - quarter. China Europe Fund significantly increased its short positions by more than 2,700 lots, and Harvest Fund increased its long positions by 1,200 lots. Specifically, the long positions of the top ten managers were 22,654 lots (up 4.21% QoQ) with a market value of 29.425 billion yuan (up 22.49% QoQ), and the short positions were 5,499 lots (up 49.6% QoQ) with a market value of 8.05 billion yuan (up 83.12% QoQ) [36][37].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - As of the end of Q2 2025, the total position of public funds in stock index futures reached a new high since 2015, mainly due to long - position increases, indicating that public funds are optimistic about the future market [2][6][40]. - The increase in long positions is mainly concentrated in IF, IC, and IH contracts, mainly due to the increase in passive index - type products, while the increase in short positions is mainly in the IM contract of partial - stock hybrid products [2][40]. - In terms of contract months, public funds believe that using the current - month contract is better for hedging, while using the quarterly - month contract is better for going long, which is related to the large historical basis of the futures index market [2][16][40]. Summary by Relevant Catalogs Market Overall Situation - Significant Increase in Long Positions of Stock Index Futures - As of the end of Q2 2025, public funds held 30,097 lots of stock index futures, a significant increase of 37.4% quarter - on - quarter, with the total position reaching a new high since 2015. Long positions were 25,167 lots, a 39.13% increase, and short positions were 4,930 lots, a 29.36% increase [6]. - The market value of public funds' stock index futures holdings was 33.88 billion yuan, a 37.05% increase. The long - position market value was 28.042 billion yuan, a 38.34% increase, and the short - position market value was 5.838 billion yuan, a 31.21% increase [6]. - The net long position was 20,237 lots, an increase of 5,960 lots from the previous quarter, and the net long - position market value was 22.204 billion yuan, an increase of 6.38 billion yuan [6]. - There were 66 public fund companies participating in stock index futures, 1 less than the previous quarter, and 418 participating products, 24 more than the previous quarter [7][10]. Position Variety and Month Analysis 2.1 Position Variety Shows Public Funds are Optimistic about the Future Market - This quarter, public funds increased positions in various varieties. Long - position increases were mainly concentrated in IF, IC, and IH contracts, with increased market values of 2.94 billion yuan, 2.3 billion yuan, and 1.608 billion yuan, and quarter - on - quarter increases of 30.33%, 48.2%, and 84.5% respectively. Short - position increases were mainly in the IM contract, with an increased market value of 1.26 billion yuan, an 81.5% increase [11]. - For different contracts, the total positions of IF, IH, IC, and IM contracts were 12,580 lots, 4,615 lots, 6,767 lots, and 6,135 lots respectively, with varying degrees of long - and short - position increases [13][15]. 2.2 The Proportion of Long Positions in Quarterly - Month Contracts Increased Significantly - This quarter, the proportion of public funds' long positions in quarterly - month contracts increased significantly, while the proportion in current - month contracts decreased significantly. The proportion of short positions in current - month contracts increased slightly [16]. - Specifically, the proportions of long positions in current - month, next - month, current - quarter, and next - quarter contracts were 27.08%, 1.52%, 60.4%, and 10.99% respectively, with quarter - on - quarter changes of - 13.4, 1.33, 3.68, and 8.36 percentage points. The proportions of short positions were 44.57%, 0.23%, 52.48%, and 2.72% respectively, with quarter - on - quarter changes of 2.44, - 0.75, - 1.67, and - 0.01 percentage points [16]. Position Situation of Various Fund Products 3.1 The Number of Index - Enhanced Products Increased Significantly - The total number of public fund products participating in stock index futures continued to increase, reaching 418, a 22 - lot increase. The number of index - enhanced and partial - stock hybrid products increased the most, from 109 and 42 to 120 and 49 respectively, while the number of partial - debt hybrid products decreased from 16 to 12 [19]. - Passive index - type products were still the main participants in the long positions of public funds' stock index futures, with a significant increase in long positions. Partial - stock hybrid products had a more obvious increase in short positions. The hedging ratio of neutral products decreased slightly from 91.44% to 89.07% [20]. 3.2 Passive Index - Type Products Significantly Increased Long Positions in the Four Major Futures Indexes - Passive index - type products, the main force in public funds' long positions, significantly increased long positions in the four major futures indexes this quarter. The long positions of IH and IF increased from 1.893 billion yuan and 8.96 billion yuan to 3.501 billion yuan and 11.63 billion yuan respectively, and the long positions of IC and IM increased from 3.79 billion yuan and 2.656 billion yuan to 5.57 billion yuan and 3.572 billion yuan respectively [31]. - In terms of short - position types, in addition to traditional neutral products still holding a large proportion of positions in IF, partial - stock hybrid products significantly increased short positions in IM, from 350 million yuan to 1.404 billion yuan. Flexible - allocation products still held about 700 million yuan in IM short positions [31]. The Top Ten Managers Significantly Increased Long Positions - This quarter, the total position of the top ten managers reached 25,412 lots, and the total position market value reached 28.42 billion yuan, a significant increase of 39.7% and 38.2% quarter - on - quarter respectively. Most managers increased positions to varying degrees, with China Asset Management and Southern Asset Management having the most obvious increases, with long - position increases of 4,269 lots and 1,729 lots, and quarter - on - quarter increases of 97.07% and 51.52% respectively [33]. - The long positions of the top ten managers were 21,737 lots, and the long - position market value was 24.023 billion yuan, an increase of 37.94% and 35.79% quarter - on - quarter respectively. The short positions were 3,675 lots, and the short - position market value was 4.396 billion yuan, an increase of 51.2% and 56.16% quarter - on - quarter respectively [33]. Summary - Overall, this quarter, the total position of public funds in stock index futures reached a new high since 2015, mainly due to long - position increases. Long positions were 25,167 lots, a 39.13% increase, and short positions were 4,930 lots, a 29.36% increase [40]. - The net long position was 20,237 lots, an increase of 5,960 lots from the previous quarter, and the net long - position market value was 22.204 billion yuan, an increase of 6.38 billion yuan [40]. - The increase in long positions was mainly concentrated in IF, IC, and IH contracts, mainly due to the increase in passive index - type products, while the increase in short positions was mainly in the IM contract of partial - stock hybrid products [40]. - In terms of contract months, the proportion of long positions in quarterly - month contracts increased significantly, while the proportion in current - month contracts decreased significantly. The proportion of short positions in current - month contracts increased slightly [40]. - The total number of participating products increased to 418, with the number of index - enhanced and partial - stock hybrid products increasing the most, and the number of partial - debt hybrid products decreasing. Passive index - type products had a significant increase in long positions, and partial - stock hybrid products had a more obvious increase in short positions. The hedging ratio of neutral products decreased slightly [41]. - There were 66 public fund companies participating, 1 less than the previous quarter. The total position of the top ten managers increased significantly, with China Asset Management and Southern Asset Management having the most obvious long - position increases [41].