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 Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of September 24, 2025, highlighting the number of companies at various stages of dividend announcements and distributions [1][3][17] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index showing a realized yield of 2.20% and a remaining yield of 0.57% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 2.47%, while the IC and IM contracts show significant discounts of 8.34% and 12.52%, respectively [4][12] Dividend Progress of Constituent Stocks - As of September 24, 2025, the Shanghai 50 Index has 16 companies in the proposal stage, 3 in the decision stage, 4 in the implementation stage, 24 that have paid dividends, and 3 that have not [1][3] - The CSI 300 Index has 69 companies in the proposal stage, 16 in the decision stage, 16 in the implementation stage, 174 that have paid dividends, and 25 that have not [1][3] - The CSI 500 Index has 42 companies in the proposal stage, 29 in the decision stage, 19 in the implementation stage, 339 that have paid dividends, and 71 that have not [1][3] - The CSI 1000 Index has 50 companies in the proposal stage, 41 in the decision stage, 25 in the implementation stage, 682 that have paid dividends, and 202 that have not [1][3] Dividend Yield Comparison - The article presents statistics on the current dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of September 24, 2025, are as follows: - Shanghai 50 Index: 2.20% realized, 0.57% remaining [8][7] - CSI 300 Index: 1.75% realized, 0.39% remaining [8][7] - CSI 500 Index: 1.12% realized, 0.12% remaining [8][7] - CSI 1000 Index: 0.88% realized, 0.07% remaining [8][7] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures as of September 24, 2025: - IH main contract: 2.47% premium [4][12] - IF main contract: 1.71% discount [4][12] - IC main contract: 8.34% discount [4][12] - IM main contract: 12.52% discount [4][12]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The A-share market has resumed its upward trend after several days of contraction and oscillation, with future upward potential due to abundant domestic liquidity, increased expectations of a September Fed rate cut, and potential PPI marginal repair and improved A-share profitability. The strategy is to go long opportunistically and utilize the discount advantage of stock index futures to place long orders [6] 3. Summary by Relevant Catalogs 3.1 Money Market - **Price Changes**: DROO1 closed at 1.37, down 5.69bp; DR007 at 1.48, up 0.50bp; GC001 at 1.08, down 46.00bp; GC007 at 1.41, down 8.00bp; SHBOR 3M at 1.55, unchanged; LPR 5-year at 3.50, unchanged; 1-year treasury at 1.40, down 1.31bp; 5-year treasury at 1.63, down 2.24bp; 10-year treasury at 1.87, down 1.74bp; 10-year US treasury at 4.04, down 4.00bp [4] - **Market Operations**: The central bank conducted 292 billion yuan of 7-day reverse repurchase operations, with 212.6 billion yuan of reverse repurchases maturing, resulting in a net injection of 79.4 billion yuan. The money market liquidity has marginally eased, and there are increasing expectations for the central bank to restart treasury trading operations [4] 3.2 Stock Index Market - **Price Changes**: The CSI 300 rose 2.31% to 4548; SSE 50 rose 1.48% to 2983; CSI 500 rose 2.75% to 7123; CSI 1000 rose 2.35% to 7400. The trading volume of the Shanghai and Shenzhen stock markets reached 2.4377 trillion yuan, a significant increase of 459.6 billion yuan. Industry sectors generally rose, with electronics, semiconductors, and communication equipment leading the gains, while precious metals and jewelry underperformed [5] - **Market Analysis**: The overnight surge of Oracle boosted the A-share AI sector. The announcement of 10 pilot projects for factor market - oriented allocation reform also contributed to the market's rise. With ample domestic liquidity, increased Fed rate - cut expectations, and potential PPI repair, the A - share market is expected to continue rising [6] 3.3 Stock Index Futures Market - **Volume and Open Interest Changes**: IF volume increased 29.8% to 169,613, and open interest rose 2.4% to 282,139; IH volume increased 33.3% to 70,995, and open interest rose 8.9% to 104,398; IC volume increased 45.5% to 195,795, and open interest rose 7.7% to 266,336; IM volume increased 15.6% to 318,107, and open interest rose 1.2% to 388,332 [5] - **Premium and Discount Situation**: IF had a discount of - 14.01% for the current - month contract, - 1.42% for the next - month contract, a premium of 1.45% for the current - quarter contract, and 1.72% for the next - quarter contract; IH had a discount of - 10.89% for the current - month contract, - 1.88% for the next - month contract, - 0.66% for the current - quarter contract, and - 0.52% for the next - quarter contract; IC had a discount of - 1.21% for the current - month contract and premiums for other contracts; IM had premiums for all contracts [7]

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].

1. Report Industry Investment Rating - The investment rating for the stock index is "Oscillation" [1] 2. Core Viewpoints of the Report - In the short - term, market sentiment remains strong. Although there is hesitation during the market upswing, the willingness of funds to support the market is strong, and the retracement of the stock index is less than expected. Some funds are rushing ahead due to short - term pricing of medium - term factors. However, investors have significant differences at the current level, and a market consensus has not been formed. Considering the strong technical resistance at the March high and the expected weakening of China's economic data in the second half of the year, the timing for a new full - scale bull market has not arrived. Overall, the short - term baseline prediction is the preparation period for a bull market. Given the early entry of some funds, it is recommended to be cautious when going long this week (either wait and see or conduct intraday short - term long positions). If there is a sharp decline later, it can be regarded as a good opportunity to re - enter the market with long positions. In terms of style, a light - position left - hand layout for IH - IM can be started this week [3] 3. Summary by Relevant Catalogs 3.1 Macro Stock Market Information - From 1998 to the end of the second quarter of 2025, Chinese public funds created a profit of 5.94 trillion yuan for holders. At the end of the second quarter, the market scale of public funds reached a new high of 33.73 trillion yuan. China's LPR in July remained unchanged for the second consecutive month, with the 1 - year variety at 3.0% and the over - 5 - year variety at 3.5%. Monetary policy has entered an observation period, and the unchanged LPR quote is in line with market expectations [4] 3.2 Stock Index Disk Review 3.2.1 Disk Tracking - In the previous trading day, the A - share market oscillated upwards. Among the four major indices, the Shanghai Composite 50 Index rose 0.28%, the CSI 300 Index rose 0.67%, the CSI 500 Index rose 1.01%, and the CSI 1000 Index rose 0.92%. In terms of sectors, building materials (+5.45%) and construction machinery (+4.00%) led the gains, while education (-0.79%) and banking (-0.77%) lagged. More than 4,000 stocks rose, and 130 stocks hit the daily limit, indicating a good profit - making effect [4] 3.2.2 Technical Tracking - The stock indices generally approached the March high. The daily and weekly lines have turned into a bullish trend, indicating short - term market strength, while the monthly line remains in an oscillating market [4] 3.2.3 Fund Flow - The trading volume of the A - share market yesterday increased to around 1.7 trillion yuan, and investor sentiment was moderately bullish [4] 3.3 Core Logic Summary - Short - term market sentiment is strong, but there are differences among investors. The start of a new full - scale bull market is not yet due to technical resistance and economic data expectations. It is recommended to be cautious when going long in the short - term, and a sharp decline can be an opportunity to re - enter the market. A light - position left - hand layout for IH - IM can be started this week [3] 3.4 Operation Suggestions 3.4.1 Futures Operation - In the short - term, the market is in a strong oscillation. Pay attention to the resistance at the March high. It is recommended that investors wait and see or conduct intraday short - term long positions. The styles of large - and small - cap stocks alternate, and a left - hand layout for IH - IM can be started this week [3] 3.4.2 Options Operation - The implied volatility of stock index options has slightly declined, with the at - the - money IV of the CSI 300 for the current month fluctuating between 13 - 14%. During the oscillation period, it is recommended to wait for the volatility to rise before intervening in short - term double - selling [3]

Group 1 - The semiconductor and domestic computing power sectors are benefiting from favorable conditions for IM and IC contracts, indicating a strong short-term trading opportunity [1][4] - The stock index has shown strong performance, with the Shanghai Composite Index reaching a high of 3555.22 points, supported by multiple factors, including the recent approval of the "Stablecoin Regulation" in Hong Kong [1][2] - The "anti-involution" sector is becoming active, with the central government's emphasis on promoting product quality and orderly competition, positively impacting various industries [2] Group 2 - The approval of the H20 chip sales to China by the U.S. is expected to alleviate previous supply restrictions, potentially leading to a recovery in the AI sector as demand increases [4] - The long-term outlook for the stock index remains optimistic, despite uncertainties surrounding U.S.-China tariffs, with expectations of improved market sentiment and potential fiscal policy support in the fall [3][4] - The stablecoin market is anticipated to grow, with the U.S. pushing for legislation that could enhance the dominance of the U.S. dollar, while the development of the RMB stablecoin is seen as inevitable, starting with trials in Hong Kong [2]

Group 1: Interest Rates and Central Bank Operations - DRO01 closed at 1.45 with a -6.33bp change, DR007 at 1.62 with a -3.59bp change, GC001 at 1.77 with a 15.00bp change, and GC007 at 1.76 with a 4.00bp change [4] - SHBOR 3M closed at 1.64 with a 0.10bp change, LPR 5 - year at 3.60 with a 0.00bp change [4] - 1 - year, 5 - year, and 10 - year Chinese treasury bonds closed at 1.46, 1.54, and 1.72 respectively, with changes of 0.76bp, 1.12bp, and 0.51bp; 10 - year US treasury bonds closed at 4.51 with a -3.00bp change [4] - The central bank conducted 4480 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40%, and a net investment of 910 billion yuan after 3570 billion yuan of reverse repurchases matured [4] - There will be 9460 billion yuan of reverse repurchases maturing in the central bank's open market this week, with 1570 billion, 1545 billion, and 1425 billion yuan maturing from Wednesday to Friday [5] - On May 20, the 1 - year LPR was 3.0% (down from 3.1%), and the 5 - year LPR was 3.5% (down from 3.6%); state - owned and some joint - stock banks cut deposit rates [5] Group 2: Stock Indexes and Market Conditions - The CSI 300, SSE 50, CSI 500, and CSI 1000 closed at 3839, 2685, 5652, and 6008 respectively, with changes of -0.54%, -0.52%, -0.31%, and -0.34% [6] - IF, IH, IC, and IM of the current - month contracts closed at 3809, 2669, 5578, and an unspecified value respectively, with changes of -0.6%, -0.6%, -0.3%, and -0.2% [6] - IF, IH, IC, and IM trading volumes were 75774, 39115, 74989, and 195063 respectively, with changes of -12.6%, -15.2%, -10.3%, and 5.2%; their positions were 240995, 81979, 209867, and 329034 respectively, with changes of 2.3%, 2.0%, 0.4%, and 3.2% [6] - The trading volume of the Shanghai and Shenzhen stock markets was 9989 billion yuan, a decrease of 110 billion yuan; the pesticide and veterinary medicine sector rose significantly, while consumer sectors led the gains, and precious metals, semiconductors and other sectors led the losses [6] - The market volume shrank again, and the stock indexes oscillated weakly; the US postponed the implementation of a 50% tariff on EU imports to July 9 [7] - Stock indexes may continue to oscillate weakly; the probability of incremental policies and strong capital intervention in the short - term is low, and the market may enter a policy vacuum period [7] - Macro - level core indicators showed a decline in April, indicating that the effectiveness of previous growth - stabilizing policies was not obvious; it is advisable to observe stock indexes cautiously and pay attention to macro - incremental signals [7] Group 3: Futures Premium and Discount - The premium and discount rates of IF for the current - month, next - month, current - quarter, and next - quarter contracts were 11.96%, 12.43%, 0.02%, and 6.10% respectively [8] - The premium and discount rates of IH for the current - month, next - month, current - quarter, and next - quarter contracts were 9.45%, 12.20%, 6.30%, and 3.70% respectively [8] - The premium and discount rates of IC for the current - month, next - month, current - quarter, and next - quarter contracts were 19.95%, 18.47%, 14.81%, and 12.26% respectively [8] - The premium and discount rates of IM for the current - month, next - month, current - quarter, and next - quarter contracts were 23.66%, 21.62%, 18.05%, and 15.38% respectively [8]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of May 13, 2025, highlighting the number of companies in different stages of dividend announcements and distributions [1][3][8] - It provides a comparison of dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for different indices are presented, with the Shanghai 50 Index having a realized yield of 0.12% and a remaining yield of 2.22% [6] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 0.34%, while the IF, IC, and IM contracts show significant discounts [1][3][17] Group 1: Dividend Progress of Constituent Stocks - As of May 13, 2025, in the Shanghai 50 Index, 37 companies are in the proposal stage, 4 in the decision stage, 0 in the implementation stage, 4 have paid dividends, and 4 do not pay dividends [1] - In the CSI 300 Index, 206 companies are in the proposal stage, 36 in the decision stage, 7 in the implementation stage, 23 have paid dividends, and 27 do not pay dividends [1] - The CSI 500 Index has 281 companies in the proposal stage, 97 in the decision stage, 17 in the implementation stage, 14 have paid dividends, and 91 do not pay dividends [1][8] - The CSI 1000 Index shows 505 companies in the proposal stage, 188 in the decision stage, 39 in the implementation stage, 43 have paid dividends, and 224 do not pay dividends [1][8] Group 2: Dividend Yield Comparison - The article presents the median dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields as of May 13, 2025, are 0.12% for the Shanghai 50 Index, 0.18% for the CSI 300 Index, 0.05% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3: Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 0.34%, while the IF, IC, and IM contracts show discounts of 4.15%, 13.18%, and 18.20% respectively [1][3][17] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures [2]

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].