Stock index futures holdings of public funds at the end of the third quarter of 2021

Both the number of stock index futures public offering products and the number of institutions held have reached a record high

Since the second quarter of this year, the number of public offering products holding stock index futures has continued to rise. At the end of the third quarter, the number of public offering fund products holding stock index futures increased to 229, reach a record high, an increase of 13 from the end of the previous quarter; The number of stock index futures trading institutions in the third quarter of this year has increased to 58, which is also a historical high.

However, from an absolute level, the participation rate of public funds in stock index futures is still low. The total market value of long and short positions has reached 37.105 billion yuan, accounting for only 4.97% of the total market value of unilateral positions in the whole market at the end of the third quarter of this year. Highly concentrated on a small number of products, there is still much room for improvement in the participation of public offering products in stock index futures.

From the perspective of the scale of holding stock index futures, the total market value (net long + net short) of stock index futures contracts held by all public offering products at the end of the third quarter of 2021 was 37.105 billion yuan, an increase of 730 million yuan from the end of the second quarter. Among them, the total market value of the net long index futures held by public funds was 7.98 billion yuan, an increase of 850 million yuan from the end of the second quarter. In addition, the total market value of the net short index futures held by the funds was 29.12 billion yuan, a decrease of 130 million from the 29.25 billion yuan at the end of the second quarter.

Public fund long products prefer IC and IF, while short products prefer IF

From the perspective of the preference of public offering products, the fund prefers IC and IF in the use of long index construction strategies, while short investors prefer IF. At the end of the third quarter, IC accounted for 53.7% of the stock index futures long positions of public offering products, IF was 40.2%, and IH was only 6.1%. Compared with the previous quarter, the long positions of all varieties increased; The proportions of short positions of IC, IF, IH were 9.4%, 77.6%, and 13.1% respectively. The same conclusion can be drawn from the long and short positions of various varieties. IF is more used as a hedging tool, with short positions accounting for as much as 87%; IC’s long and short positions are more balanced, with deep discounts over the years let IC become the best alternative to long positions, with long positions accounting for 62%. It can be seen that IF, which has a smaller discount and a more balanced style, is still the most popular hedging tool for public offering products. The short positions of IF and IH both increased in the third quarter, and the short positions of IC dropped significantly, from 3102 lots in the second quarter to 1958 lots in the third quarter. ICs with deeper discounts are used more as long alternative tools, and there are more long positions in index products.

公募基金2021年三季度末股指期货持仓情况

持有股指期货公募产品数量和机构数量均达历史新高

今年2季度以来，持有股指期货的公募产品数量持续上升，三季度末有股指期货持仓的公募基金产品数量增加至229只，创下历史新高，较上季度末增加了13只；今年三季度参与股指期货交易的机构增长至58家，同样是历史高点。

但是从绝对水平上看公募基金对股指期货的参与率依然较低，目前多空持仓总市值达到了371.05亿元，仅占今年三季度末当天全市场单边持仓总市值的4.97%，并且持仓高度集中在少数产品上，公募产品对股指期货的参与度仍有较大的提升空间。

从持有股指期货的规模上来看，2021年三季度末所有公募产品持有的股指期货合约总市值（净多头+净空头）为371.05亿元，较二季度末增加了7.3亿元。其中公募基金持有净多头期指总市值79.8亿元，较二季度末增加8.5亿元，另外所持有净空头期指总市值为291.2亿元，较二季度末的292.5亿元减少了1.3亿元。

公募基金多头产品偏好IC和IF，而空头产品偏好IF

从公募产品的品种偏好来看，基金在利用期指多头构建策略方面偏好使用IC和IF，空头则偏好IF。三季度末公募产品的股指期货多头持仓中，IC占比53.7%，IF为40.2%，IH仅为6.1%，较上一季度各品种的多头持仓都有所增加；空头持仓中IC、IF、IH的占比分别为9.4%、77.6%、13.1%。从各品种的多空持仓也可以得到相同结论，IF更多的作为对冲工具，空头持仓占比高达87%；IC的多空持仓更加均衡，长年的深度贴水让IC成为多头替代的最佳选择，多头持仓占比为62%。可见贴水较小且风格更加均衡的IF仍是公募产品最青睐的对冲工具，三季度IF和IH的空头持仓量均有所增加，IC空头持仓量则大幅下降，从二季度的3102手下降至三季度的1958手；贴水更深的IC则更多的作为多头替代的工具，在指数型产品中有更多的多头持仓。