1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - In the current market, with the easing of overseas risk factors, the A - share market may continue to rise in the shock center in August. However, it is necessary to be vigilant about the delay of the Fed's interest - rate cut and tariff negotiation disturbances. If external risks ease and the semi - annual report performance verification exceeds expectations, technology growth (AI, robots) and high - dividend (banks, power) sectors may become the main lines of capital switching. IH is for configuration, and IM is for offensive [2][3] 3. Summaries According to Relevant Catalogs 3.1 Macroeconomics - **CPI**: In a certain month, due to the continuous effectiveness of policies to expand domestic demand and promote consumption, the year - on - year CPI turned from a decline to a 0.1% increase. The food item decreased by 0.3% year - on - year, with the decline narrowing by 0.1 percentage points compared to the previous month. The non - food item increased by 0.1% year - on - year, showing a situation of "rising industrial products and stable service growth" [7] - **PPI**: The year - on - year decline of PPI widened to 3.6% in a certain month. Externally, the year - on - year price of exported goods increased by 0.5%, ending a two - year decline. Domestically, the year - on - year growth rate of real estate investment slowed down to - 11.2%, and the price of production materials was flat month - on - month. Necessities such as clothing and daily necessities showed signs of stabilization [11] - **Export**: In a certain month, exports increased by 5.9% year - on - year (in US dollars), with the growth rate further increasing compared to the previous month. There were two trends in structural characteristics: the "rush to export" effect continued to strengthen, and the export to free - trade agreement partners mainly in ASEAN reached a growth rate of 16.92%; the Sino - US tariff agreement was implemented, and the export of some commodities continued to recover [16] - **Consumption and Real Estate**: In a certain month, the growth rate of social retail sales decreased by 1.3 percentage points to 4.8%, still showing robustness. The decline was mainly affected by the drop in catering revenue, the pre - placement of shopping festivals, and the post - holiday consumption decline. The real estate market remained sluggish, and key indicators such as investment and sales grew weakly [19] - **Manufacturing**: In a certain month, the manufacturing PMI rebounded by 0.2 percentage points to 49.7%, remaining in the contraction range for three consecutive months. Sub - indicators showed structural differentiation: the production index returned to the expansion range, the new export orders increased slightly but were still below the boom - bust line; the raw material inventory index increased slightly for several consecutive months, indicating a marginal increase in enterprises' willingness to replenish inventory. In terms of prices, the gap between the purchase price index and the ex - factory price index remained the same, indicating that the cost pressure on mid - and downstream enterprises remained [22] - **Policy**: The central bank continued the "dual - track" regulatory thinking in a certain month, maintaining the historical low of the 1 - year LPR and guiding commercial banks to lower the upper limit of deposit interest rates. The fiscal policy continued the orientation of "increasing intensity and efficiency", with the tax revenue decline narrowing and the proportion of people's livelihood expenditure exceeding 70%. Multiple policies were introduced to stimulate domestic demand and deepen capital market reform [26] 3.2 Market Review - **Overall Market**: In a certain month, A - shares generally rose. At the end of the month, the Shanghai Composite Index closed at a certain point, up by a certain percentage compared to the end of the previous month. The ChiNext Index and the CSI 2000 Index had particularly prominent increases. The technology growth and cycle sectors continued to attract funds, and the large - consumption industry chain maintained a stable performance [31] - **Industry Performance**: As of a certain date in a certain month, among the Shenwan primary industries, most industries rose, with the steel industry leading with an 18.3% increase, followed by building materials and pharmaceutical biology. There were also several industries with an increase of more than 5%, showing the diversity of market hotspots [32] - **Market Style**: In a certain month, A - share market styles, scales, and performance sectors showed differential increases. In terms of style, except for the consumption style index, other styles rose, with the financial style index leading with an 8.92% increase. In terms of scale, large, medium, and small - cap indexes all rose, with the mid - cap index standing out. In terms of performance, loss - making stocks, micro - profit stocks, and high - performance stocks all rose, indicating an increase in market risk appetite [35] - **Liquidity**: From a certain period in a certain month, the average daily trading volume of the A - share market reached a certain amount, a certain percentage increase compared to the previous month. The newly established equity - biased fund shares decreased compared to the previous month but still remained at a high level, indicating strong support from incremental funds [42] - **Market Sentiment**: As of a certain date in a certain month, the average monthly turnover rate of major indexes continued to rise. The turnover rate of the STAR 50 Index increased by more than a certain percentage month - on - month, and the ChiNext Index increased by nearly a certain percentage. At the end of the month, the margin trading balance in the Shanghai and Shenzhen stock markets increased compared to the previous month and the same period last year, and the margin trading buying amount also increased significantly [45][49] 3.3 Private - Fund Strategies - **Basis Analysis**: In a certain month, the basis of small - and medium - cap indexes showed significant phased characteristics. In the first half of the month, the basis fluctuated within a narrow range, and in the second half, as the market style switched to large - cap blue - chips, the basis widened rapidly. Near the end of the month, the basis narrowed slightly [53] - **Performance Review of Private - Fund Sub - Strategies**: In a certain month, among private - fund strategies, the macro strategy and the stock long - only strategy had single - month returns of a certain percentage and a certain percentage respectively. From the beginning of the year to the end of a certain month, the stock market neutral strategy led with a certain percentage of cumulative return, followed by the macro strategy [56] - **Index - Enhancement Strategy**: In a certain month, the excess returns of the CSI 300 index - enhancement, CSI 500 index - enhancement, and CSI 1000 index - enhancement showed a relatively differentiated structure. From the beginning of the year to June, the cumulative excess returns of the three reached a certain percentage, a certain percentage, and a certain percentage respectively, with the small - and medium - cap index - enhancement strategies leading [59] - **Neutral Strategy**: In the first half of the year, the market turnover rate and trading volume first increased and then decreased, remaining at a high level. Volatility increased briefly in a certain month due to tariff events but decreased compared to the second half of last year. The average annualized basis of IC and IM put pressure on the neutral strategy, but the strong performance of small - cap stocks still drove the strategy to achieve outstanding results [63] 3.4后市展望 - In a certain month, the A - share market is expected to maintain a dynamic balance between value and growth. High - dividend assets such as coal and banks still have defensive advantages, while the technology growth sector is waiting for two key catalysts: the Fed's interest - rate cut and the continuous easing of Sino - US tariffs. If these two variables are realized in the second half of the month, the market style may turn to growth; otherwise, the dumbbell strategy will continue [66]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The report provides a daily tracking and analysis of the positions of stock index futures, including IF, IH, IC, and IM, presenting the changes in total positions, main contract positions, and the significant changes in the top 20 seats [1]. 3. Summary by Related Catalogs IF - **Total Position and Main Contract Position Changes**: On July 23, the total position of the IF variety increased by 1,510 lots, while the position of the main contract 2509 decreased by 1,146 lots [5]. - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats on that day, Guotai Junan Futures ranked first with a total position of 46,618 lots. Shenyin Wanguo Futures had the most long - position increases, adding 724 lots, and CITIC Futures had the most long - position decreases, reducing 1,806 lots [6]. - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 50,721 lots. GF Futures had the most short - position increases, adding 856 lots, and CITIC Futures had the most short - position decreases, reducing 862 lots [8]. IH - **Total Position and Main Contract Position Changes**: On July 23, the total position of the IH variety decreased by 1,022 lots, and the position of the main contract 2509 decreased by 1,357 lots [11]. - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, CITIC Futures ranked first with a total position of 12,196 lots. GF Futures had the most long - position increases, adding 235 lots, and Guotai Junan Futures had the most long - position decreases, reducing 1,125 lots [12]. - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 21,225 lots. China Merchants Futures had the most short - position increases, adding 358 lots, and Guotai Junan Futures had the most short - position decreases, reducing 941 lots [13]. IC - **Total Position and Main Contract Position Changes**: On July 23, the total position of the IC variety increased by 2,910 lots, and the position of the main contract 2509 increased by 399 lots [17]. - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, CITIC Futures ranked first with a total position of 34,605 lots. CITIC Futures had the most long - position increases, adding 970 lots, and Guotai Junan Futures had the most long - position decreases, reducing 996 lots [18]. - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 41,595 lots. CITIC Futures had the most short - position increases, adding 858 lots, and China Merchants Futures had the most short - position decreases, reducing 696 lots [19]. IM - **Total Position and Main Contract Position Changes**: On July 23, the total position of the IM variety increased by 9,947 lots, and the position of the main contract 2509 increased by 3,423 lots [23]. - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, Guotai Junan Futures ranked first with a total position of 45,127 lots. CITIC Futures had the most long - position increases, adding 2,705 lots, and Guoxin Futures had the most long - position decreases, reducing 502 lots [23]. - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 68,013 lots. CITIC Futures had the most short - position increases, adding 4,125 lots, and China Merchants Futures had the most short - position decreases, reducing 279 lots [25].

Report Industry Investment Rating - Not provided Core View of the Report - A - share major indices collectively declined with narrow - range fluctuations in the three major indices. The trading volume of the Shanghai and Shenzhen stock markets slightly decreased. The domestic economic fundamentals are under pressure, and consumer stocks are expected to lead the next - stage structural market. It is recommended to allocate IF on dips [3] Summary by Related Catalogs Futures Quotes - **Contract Prices**: IF (2506) was at 3868.6 (- 0.4), IF (2509) at 3799.2 (- 0.2); IH (2506) at 2680.8 (+ 2.6), IH (2509) at 2642.8 (+ 6.4); IC (2506) at 5748.4 (- 11.8), IC (2509) at 5575.4 (- 7.6); IM (2506) at 6130.0 (+ 1.2), IM (2509) at 5877.6 (+ 3.6) [2] - **Contract Spreads**: IF - IH spread was 1187.8 (- 3.6), IC - IF spread was 1879.8 (- 6.6), etc. [2] - **Quarter - to - Month Spreads**: IF quarter - to - month was - 69.4 (- 0.6), IH quarter - to - month was - 38.0 (+ 2.8), etc. [2] - **Net Positions of Top 20 Holders**: IF was - 25100.00 (- 1503.0), IH was - 13246.00 (- 304.0), IC was - 10509.00 (+ 472.0), IM was - 34063.00 (- 595.0) [2] Spot Market - **Stock Index Prices**: CSI 300 was 3870.38 (- 3.4), SSE 50 was 2683.95 (- 1.1), CSI 500 was 5750.91 (- 16.9), CSI 1000 was 6141.47 (- 6.0) [2] - **Base Differences**: IF base difference was - 1.8 (+ 2.2), IH base difference was - 3.2 (+ 3.5), IC base difference was - 2.5 (+ 9.1), IM base difference was - 11.5 (+ 8.6) [2] - **Other Data**: A - share trading volume was 12371.36 billion yuan (- 65.05), margin trading balance was 18223.27 billion yuan (+ 56.29) [2] Market Sentiment - **Trading Volume and Balance**: North - bound trading volume was 1446.43 billion yuan (- 690.66), reverse repurchase was - 1986.0 billion yuan (+ 1973.0) [2] - **Fund Flows**: Main funds were - 20.94 billion yuan (- 304.57), MLF net injection was - 1820 billion yuan [2] - **Other Indicators**: Rising stock ratio was 41.57% (- 24.15), Shibor was 1.369% (- 0.019), etc. [2] Wind Market Strength - Weakness Analysis - **Overall A - shares**: Score was 4.40 (- 2.20), technical score was 4.20 (- 2.30), capital score was 4.70 (- 2.00) [2] Industry News - **Economic Data**: In May, industrial added value increased by 5.8% year - on - year, fixed asset investment increased by 3.7% year - on - year, social retail sales increased by 6.4% year - on - year, etc. [2] - **Real Estate Market**: From January to May, real estate development investment decreased by 10.7% year - on - year, new housing sales area decreased by 2.9% year - on - year [2] - **Geopolitical News**: Iran hopes to dialogue with the US and Israel to end hostilities [2] Key Data to Watch - 6/17 20:30 US May retail sales, core retail sales, import/export price indices - 6/18 14:00 UK May CPI, core CPI - 6/19 2:00 Fed interest rate decision - 6/19 16:30 Swiss National Bank interest rate decision - 6/19 19:00 Bank of England interest rate decision - 6/19 US financial markets closed for Juneteenth - 6/20 9:00 China June 1 - year, 5 - year LPR quotes [3]

Report Industry Investment Rating - No relevant information provided Core Viewpoints - The report provides a daily tracking and analysis of the positions of stock index futures, including IF, IH, IC, and IM. Each variety shows different trends in total positions and changes in the important positions of the top 20 seats [1] Summary by Directory IF (CSI 300) - On June 9, the total position of the IF variety increased by 15,151 lots, with the position of the main contract 2506 rising by 8,593 lots [5] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 40,479 lots. Guotai Junan Futures had the most long - position increase, adding 3,139 lots, while Shenyin Wanguo Futures had the most long - position decrease, reducing 469 lots [6] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 44,956 lots. Guotai Junan Futures had the most short - position increase, adding 2,421 lots, while Huatai Futures had the most short - position decrease, reducing 298 lots [8] IH (SSE 50) - On June 9, the total position of the IH variety increased by 5,976 lots, with the position of the main contract 2506 rising by 2,695 lots [11] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 10,056 lots. Guotai Junan Futures had the most long - position increase, adding 1,990 lots, while Everbright Futures had the most long - position decrease, reducing 142 lots [12] - Among the top 20 short - position seats, Guotai Junan Futures ranked first with a total position of 11,752 lots. Guotai Junan Futures had the most short - position increase, adding 2,023 lots, while Guotou Futures had the most short - position decrease, reducing 297 lots [13] IC (CSI 500) - On June 9, the total position of the IC variety increased by 12,736 lots, with the position of the main contract 2506 rising by 4,877 lots [17] - Among the top 20 long - position seats, CITIC Futures ranked first with a total position of 34,133 lots. Guotai Junan Futures had the most long - position increase, adding 1,900 lots, while JPMorgan Chase had the most long - position decrease, reducing 568 lots [18] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 35,691 lots. Guotai Junan Futures had the most short - position increase, adding 2,758 lots, while CICC Wealth had the most short - position decrease, reducing 515 lots [19] IM (CSI 1000) - On June 9, the total position of the IM variety increased by 9,941 lots, with the position of the main contract 2506 rising by 1,955 lots [23] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 42,551 lots. Haitong Futures had the most long - position increase, adding 1,958 lots, while Yide Futures had the most long - position decrease, reducing 712 lots [23] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 57,200 lots. CITIC Futures had the most short - position increase, adding 1,806 lots, while Huatai Futures had the most short - position decrease, reducing 337 lots [24]

Report Industry Investment Rating - No information provided on the report industry investment rating Core Viewpoints - The report provides a daily tracking of the positions of stock index futures, including IF, IH, IC, and IM, and analyzes the changes in total positions, main contract positions, and the important changes in the top 20 seats [1] Summary by Relevant Catalogs IF (CSI 300) - Total positions decreased slightly by 2,753 hands on May 21, with the main contract 2506 positions decreasing by 3,691 hands [5] - Among the top 20 long positions, CITIC Futures added the most long positions, with an intraday increase of 899 hands, while Haitong Futures reduced the most long positions, with an intraday decrease of 1,610 hands [6] - Among the top 20 short positions, Galaxy Futures added the most short positions, with an intraday increase of 342 hands, while CITIC Futures reduced the most short positions, with an intraday decrease of 853 hands [8] IH (SSE 50) - Total positions decreased by 1,210 hands on May 21, with the main contract 2506 positions decreasing by 842 hands [11] - Among the top 20 long positions, Haitong Futures added the most long positions, with an intraday increase of 170 hands, while Guotai Junan Futures reduced the most long positions, with an intraday decrease of 584 hands [11] - Among the top 20 short positions, Baocheng Futures added the most short positions, with an intraday increase of 240 hands, while Guotou Futures reduced the most short positions, with an intraday decrease of 388 hands [13] IC (CSI 500) - Total positions increased by 1,085 hands on May 21, while the main contract 2506 positions decreased by 1,450 hands [16] - Among the top 20 long positions, CITIC Futures added the most long positions, with an intraday increase of 865 hands, while Guoxin Futures reduced the most long positions, with an intraday decrease of 191 hands [17] - Among the top 20 short positions, Guotai Junan Futures added the most short positions, with an intraday increase of 998 hands, while Dongzheng Futures reduced the most short positions, with an intraday decrease of 569 hands [18] IM (CSI 1000) - Total positions decreased by 2,343 hands on May 21, with the main contract 2506 positions decreasing by 4,060 hands [22] - Among the top 20 long positions, CITIC Futures added the most long positions, with an intraday increase of 605 hands, while Guotai Junan Futures reduced the most long positions, with an intraday decrease of 1,435 hands [22] - Among the top 20 short positions, Huatai Futures added the most short positions, with an intraday increase of 253 hands, while Guotai Junan Futures reduced the most short positions, with an intraday decrease of 1,062 hands [23]

Report Industry Investment Rating - Not provided Core Viewpoints - The report provides a daily tracking and analysis of the positions of four stock index futures: IF, IH, IC, and IM, including changes in total positions, positions of the main contracts, and important changes in the top 20 seats [1]. Summary by Relevant Catalogs IF (CSI 300) - **Total Position and Main Contract Position Changes**: On May 8, the total position of the IF variety increased by 5,914 lots, and the position of the main contract 2506 increased by 4,027 lots [5]. - **Top 20 Long Seats Position Changes**: Among the top 20 long seats of the IF variety, Guotai Junan Futures ranked first with a total position of 46,088 lots. The largest long - side increase was Guotai Junan Futures, with an intraday increase of 1,872 lots; the largest long - side decrease was Zheshang Futures, with an intraday decrease of 403 lots [6]. - **Top 20 Short Seats Position Changes**: Among the top 20 short seats of the IF variety, CITIC Futures ranked first with a total position of 50,770 lots. The largest short - side increase was Guotai Junan Futures, with an intraday increase of 1,359 lots; the largest short - side decrease was Huatai Futures, with an intraday decrease of 1,072 lots [8]. IH (SSE 50) - **Total Position and Main Contract Position Changes**: On May 8, the total position of the IH variety decreased by 284 lots, while the position of the main contract 2506 increased by 927 lots [11]. - **Top 20 Long Seats Position Changes**: Among the top 20 long seats of the IH variety, Guotai Junan Futures ranked first with a total position of 11,902 lots. The largest long - side increase was Huatai Futures, with an intraday increase of 481 lots; the largest long - side decrease was CITIC Futures, with an intraday decrease of 1,078 lots [12]. - **Top 20 Short Seats Position Changes**: Among the top 20 short seats of the IH variety, Guotai Junan Futures ranked first with a total position of 14,177 lots. The largest short - side increase was Guotai Junan Futures, with an intraday increase of 310 lots; the largest short - side decrease was CITIC Futures, with an intraday decrease of 849 lots [13]. IC (CSI 500) - **Total Position and Main Contract Position Changes**: On May 8, the total position of the IC variety decreased by 3,756 lots, and the position of the main contract 2506 decreased by 1,908 lots [18]. - **Top 20 Long Seats Position Changes**: Among the top 20 long seats of the IC variety, CITIC Futures ranked first with a total position of 34,168 lots. The largest long - side increase was CICC Futures, with an intraday increase of 298 lots; the largest long - side decrease was Haitong Futures, with an intraday decrease of 939 lots [19]. - **Top 20 Short Seats Position Changes**: Among the top 20 short seats of the IC variety, CITIC Futures ranked first with a total position of 37,670 lots. The largest short - side increase was GF Futures, with an intraday increase of 152 lots; the largest short - side decrease was CITIC Futures, with an intraday decrease of 1,288 lots [21]. IM (CSI 1000) - **Total Position and Main Contract Position Changes**: On May 8, the total position of the IM variety decreased significantly by 17,592 lots, and the position of the main contract 2506 decreased by 8,842 lots [24]. - **Top 20 Long Seats Position Changes**: Among the top 20 long seats of the IM variety, Guotai Junan Futures ranked first with a total position of 44,137 lots. The largest long - side increase was Ping An Futures, with an intraday increase of 199 lots; the largest long - side decrease was CITIC Futures, with an intraday decrease of 4,553 lots [25]. - **Top 20 Short Seats Position Changes**: Among the top 20 short seats of the IM variety, CITIC Futures ranked first with a total position of 60,317 lots. The largest short - side increase was Shenyin Wanguo Futures, with an intraday increase of 186 lots; the largest short - side decrease was CITIC Futures, with an intraday decrease of 4,873 lots [27].

Core Viewpoint - The deep discount of stock index futures has raised concerns in the market, impacting market-neutral strategy products and leading to net value declines, although quant hedge funds have managed to maintain overall excess returns this year [1][2]. Group 1: Market Conditions - Since April, the discount rates for IC (CSI 500 index futures) and IM (CSI 1000 index futures) have deepened, with IC reaching an annualized discount rate of 19.23% and IM at 22.36% as of April 16 [2]. - The significant drop in the CSI 500 and CSI 1000 indices on April 7, attributed to tariff shocks, resulted in extreme declines in stock index futures, causing a sharp increase in hedging costs for neutral products [2]. - The overall excess returns for quant strategies have improved compared to last year, despite increased market volatility and deepening discounts [2][4]. Group 2: Performance of Market-Neutral Strategies - As of April 18, the average return for 738 market-neutral strategy products since 2025 was 3.06%, but the average return over the past month dropped to 0.03%, with a slight recovery to 0.34% in the last week [3]. - Market-neutral products have maintained relatively stable operations since April, although new investors may face risks related to basis convergence [3][4]. - The overall return rate for market-neutral strategies this year is reported at 4%, with a yield of 0.47% since April [4]. Group 3: Risk Management and Strategy Optimization - Companies have implemented various methods for basis management and volatility response, including optimizing strategy models to enhance return stability [1][4]. - A multi-dimensional risk control system has been established, utilizing mixed hedging and automated dynamic management of basis [5]. - Recent upgrades to strategy frameworks have improved the ability to capture excess returns by integrating multi-frequency price and volume characteristics with AI models [5].