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].