Under the volatile market conditions since the beginning of this year, small and medium-sized caps have been favored by private and public placements.
First of all, in terms of private placement, the number of small and mid-cap related filings increased sharply in August. According to the data of the private placement ranking network, there are 119 products with the words "500", "1000", "2000" and "small market capitalization" in the names of the products filed in August, and many related products in the private placement are related to the latest release of the CSI 2000 Index in August this year. Since the beginning of this year, 619 similar small and medium-cap products have been recorded.
Secondly, in terms of public funds, small and mid-cap style funds are also popular. According to data from the public offering network, as of September 27, of the 48 newly established equity funds in September, 20 public funds were deployed in the small and mid-cap index. Together, these newly established mid- and small-cap index funds raised more than $13 billion in September.
In addition, private placement in the first half of this year through public ETF funds layout small and medium cap. For example, the "Penghua CSI 1000 Enhanced ETF", which was listed and traded on September 25, has two private placements in the top 10 holders. One of the private securities investment funds holds 20 million shares of the ETF, ranking the largest holder of the ETF.
The hot pursuit of the market is related to the characteristics of the small and mid-cap
Why have funds with a mid- and small-cap layout been popular this year? This is mainly because the performance of the small and mid-cap indexes represented by the CSI 500, CSI 1000 and CSI 2000 is more sensitive to the economy than the large-cap index such as the CSI 300.
At present, the overall valuation of A-shares is below the pivot position in the past decade, and the downside risk is small. When the economy is gradually repaired in the future, the profit growth rate of small and medium-sized enterprises with stable and good economies is relatively higher, which may be more conducive to the performance recovery of small and mid-cap indexes such as CSI 500 and CSI 1000.
In addition, products holding the CSI 2000 Index or microcap style as the benchmark have a strong allocation value.
According to relevant sources of private placement, most public and private placement products in the market still use the CSI 300 Index as the performance benchmark, while the CSI 300 Index is dominated by the food and beverage, financial real estate and power equipment industries, and other heavy industries are also highly related to the domestic economy as a whole, and the proportion of industries with strong independence is relatively low; The CSI 2000 Index includes all Shenwan primary industries, of which consumer and financial real estate industries account for a relatively high proportion of positions.
Comparison of industry proportions of CSI 300 Index (left) and CSI 2000 Index (right).
Source: Choice
From an alpha perspective, microcap stocks still have a high level of overmining. The proportion of public funds representing "smart funds" and the Stock Connect in the constituent stocks of the CSI 2000 Index has significant room for growth compared with the CSI 300 Index; Compared with the China Securities 2000 Index, the CSI 2000 Index has less capital attention and less market congestion.
Of course, the mid- and small-cap related indices have not just been released for a day or two, and the private equity products with the layout of the mid- and small-cap are not new, so how are these products performing?
Based on the data of the private placement ranking network, the author screened out the products with the words "500", "1000", "2000" and "small market capitalization" in the product name, as well as the product performance of "CSI 500 Index Increase" and "CSI 1000 Index Increase" in index enhancement products for readers' reference.
It should be noted that the following products are ranked by excess return, as excess return reflects the portion of the fund's actual return that exceeds the performance benchmark over a certain period of time, which can be used to measure a product's ability to exceed the benchmark.
The average excess return of 721 small and mid-cap private equity products in the past three years is nearly 45%!
After the author's screening based on the above conditions, 721 private equity products met the conditions. Among them, the CSI 500 index increase strategy products accounted for the majority, with 513, and the second largest was the CSI 1000 index increase product with 199. There are also 9 mid- and small-cap private placement products with other strategies, including subjective stock selection, other index increase, and quantitative stock selection.
In terms of overall performance, the average excess return of 721 mid- and small-cap private placement products in the past three years was 44.85%, which means that these small- and medium-cap private placement products have exceeded the benchmark by nearly 45% in the past three years.
From a strategic point of view, the excess return of CSI 1000 index products in the past three years has been outstanding, with an average excess return of 67.46% in the past three years, followed by CSI 500 index products, with an average excess return of 41.24% in the past three years.
Most of the benchmarks compared with these 721 small and mid-cap private placement products are the CSI 500 Index and the CSI 1000 Index, and the newly issued mid- and small-cap indexes, such as CSI 2000 and Kechuang 100, have not yet had enough time to be allocated to the market.
Excess returns in the past three years: tens of billions of private equity products dominate the list!
From the performance of the top 10 small and mid-cap products with excess returns in the past three years, 10 billion private placement products accounted for 70%. Among them, the product "Jiukun ****" from Jiukun Investment ranked first with the excess return of ****% in the past three years, and the income in the past three years was ***%.
[Due to compliance requirements, private equity funds cannot publicly display performance, and the product name and income data involved in the text are replaced by ****, and qualified investors can view the income data.] ]
The fund manager of the product is Yao Qicong, who holds a bachelor's degree in mathematics and a master's degree in financial mathematics from Peking University, once worked in a well-known quantitative hedge fund in the United States, and established a quantitative investment team in 2010 to start domestic futures and securities investment. The manager of the product is Jiukun Investment, according to the data of private placement network, Jiukun Investment officially established an investment company in 2012, is one of the earliest teams in China to engage in professional quantitative trading and high-frequency trading, the company focuses on quantitative trading and high-frequency trading in the stock and futures markets.
The excess return in the past three years was followed by the product "Wenbo ****" from Wenbo Investment, the excess return of the product in the past three years was ***%, and the income in the past three years was ***%.
The fund manager of this product is Yin Tao, one of the founders of Wenbo Investment, graduated from Shanghai Jiao Tong University, and currently serves as the head of equity alpha at Wenbo Investment. Wenbo Investment, founded by Wenbo Investment, is a professional quantitative private equity investment institution with an investment research team of more than 70 people, and its investment scope covers commodity futures investment, stock index investment, securities investment, option investment and many other fields, and has developed diversified investment methods such as high-frequency quantitative strategies, trend strategies, swing strategies, and arbitrage strategies.
Excess returns in the past year: small and medium-sized private equity products are in the lead!
Small and medium-sized private placement products have performed well in obtaining excess returns in the past year, with products with a scale of less than 5 billion accounting for 60% of the top 10 excess returns in the past year.
Among them, the product "Siye ****" from Siye Investment ranked first, the excess income of the product in the past year was ***%, and the income in the past year was ***%.
The fund manager of the product is Zhang Ye, he is the founder and chairman of Siye Investment, graduated from Columbia University in the United States, has rich experience in the technology and financial industry, has worked in Bank of America Merrill Lynch Securities, Societe Generale, Barclays Capital and other international financial institutions, good at global market volatility arbitrage strategy and trend tracking trading based on the application of artificial intelligence technology.
It was followed by Time Series Asset's product "Time ***", which ranked second with an excess return of ****% in the past year, and a return of ***% in the past year.
According to the files of the private placement company, Time Series Assets was established in July 2020, with a scale of 5-1 billion yuan, and its office is located in Beijing, and the core figures of the company are Lu Feifei, Liao Zicheng and Wang Yinghao, of which Lu Feifei is the founding partner, mainly responsible for the company's strategy and data resource integration.
Risk Disclosure: Investment is risky, the past performance of the fund involved in this information is not indicative of its future performance, the performance of other funds managed by the fund manager does not constitute a guarantee of the performance of the fund, and our company does not promise or predict the future return of the product by express, implied or any other means. Investors should pay careful attention to various risks, carefully read the fund contract, fund product information summary and other sales documents, fully understand the risk-return characteristics of the product, make investment decisions according to their own circumstances, and bear their own profits and losses for investment decisions.