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.