Weekly report of the 50 Index (including the Stable Index).
(Data as of April 12, 2024)
1. Market review
The State Council recently issued the "Several Opinions on Strengthening Supervision and Preventing Risks and Promoting the High-quality Development of the Capital Market" (hereinafter referred to as the "Opinions"), which is the third "National Nine Articles" in the capital market. The opinions issued this time involve core issues such as listing access, listed company supervision, delisting supervision, and transaction supervision, and are a more comprehensive guiding document for the construction of the capital market.
On the economic data front, China's March CPI rose 0.1% year-on-year, while core CPI, which excludes food and energy prices, rose modestly by 0.6% year-on-year, while PPI fell slightly more than 2.8% year-on-year. The U.S. non-farm payrolls surged by 303,000 in March, the largest increase since May last year, far exceeding the median forecast of 214,000, and the U.S. unemployment rate was 3.8% in March, down from 3.9% in the previous month.
In terms of the regional situation, the Kazakh-Israeli conflict has cooled down somewhat, and the Israeli army has withdrawn all ground troops from the southern Gaza Strip, leaving only one brigade in the Gaza Strip at present, but the contradictions between Israel and Iran have not yet been properly resolved.
In terms of the market, the A-share market continued to fall last week, and the turnover of the two cities decreased to about 800 billion yuan. In terms of sectors, precious metals, coal and some consumer sectors have some gains, and the sectors with large declines include medical care, real estate, photovoltaics, liquor, etc. Stylistically, large-cap stocks saw limited declines and small-cap stocks performed weakly.
In terms of Hong Kong stocks, the main index of Hong Kong stocks has a strong linkage with A-shares, and it has also weakened recently. In terms of U.S. stocks, a number of Fed officials expressed a hawkish view, and U.S. stocks have fluctuated lower since April.
In the commodity market, the U.S. dollar index jumped to nearly 106 points last week, precious metals extended their rally, crude oil hovered at high levels, most LME metals rose, and agricultural products were weak overall, especially in the soft commodity sector. Domestic commodities rose as a whole, the leading role of industrial products was obvious, the non-ferrous plate and the black plate rose greatly, the chemical products were limited by crude oil, and most of the agricultural products declined.
Overall, domestic A-shares continued to fall last week, the domestic commodity market maintained high volatility, and the China-based Private Equity 50 Index fell slightly.
2. Zhongji Preferred Private Equity Fund 50 Index
With the original intention of promoting the development of the industry, China Fund News launched the "Zhongji Preferred Private Equity Fund Index (Series)" after a long period of deliberation and full preparation, striving to build the "Zhongji Preferred Private Equity Fund Index" into an authoritative investable private equity index, promoting the indexation investment of private equity funds, and promoting the healthy development of the domestic securities private equity industry. On March 5, 2021, China Fund News officially released the flagship index of the series, the "Zhongji Preferred Private Equity Fund 50 Index" (hereinafter referred to as the "Zhongji Private Equity 50 Index").
The "China Base Preferred Private Equity Fund 50 Index" includes a total of 50 constituent funds, all of which come from mainstream strategies in the market, including stock long strategies, hedging strategies, CTA and derivatives strategies. According to the modern asset portfolio theory, the portfolio allocation is carried out in combination with the different logic, return-risk characteristics and low-correlation historical performance of each secondary strategy, of which the stock long strategy accounts for 64%, the hedging strategy accounts for 20%, and the CTA and derivatives strategy accounts for 16%, and the secondary strategy is balanced among the major types of strategies, so that the risk of the portfolio is diversified. China Fund News will continue to track the constituent funds in accordance with the established rules, continuously explore new candidate funds, and gradually optimize the constituent funds.
From the perspective of historical performance, the Zhongji Preferred Private Equity Fund 50 Index has the characteristics of relatively stable and good trend, small drawdown, and short repair drawdown time.
(1) Index performance
The CSI Private 50 Index closed at 1,600.74 points in the week ended April 12, 2024, down 0.55% from the week ended April 3, 2024.
In terms of indicators, the annualized rate of return of the CSI Private 50 Index is nearly 11%, far exceeding the annualized rate of return of the CSI 300 Index; in terms of risk, the annualized volatility of the CSI Private 50 Index is about 11%, and the maximum drawdown is about 20%, both of which are significantly lower than that of the CSI 300 Index; in terms of risk-return ratio, the Sharpe ratio of the CSI Private 50 Index is close to 1, which is much higher than the Sharpe ratio of the CSI 300 Index.
(2) Ingredient performance
Last week, the China Foundation Private Equity 50 Index fell 0.55%, the long equity strategy lost 0.48%, the hedging strategy contributed 0.01%, and the CTA and derivatives strategy lost 0.08%.
The contrarian investment strategy under the long-only equity strategy performed well, the convertible bond alpha strategy under the hedging strategy was more profitable, and the fundamental medium and long-term strategies under the CTA and derivatives strategy performed well.
Last week, 17 of the 50 constituent funds were profitable, and from the perspective of statistical indicators, among the three types of strategies, the profit and loss distribution of CTA and derivatives strategies is relatively balanced.
3. Zhongji Preferred Private Equity Fund 50 Stable Index
In order to meet the investment needs of the pursuit of long-term stable returns and provide the market with an ideal investment tool, China Fund News released the first secondary index of the China Foundation Private Equity 50 Index on June 4, 2021, the China Foundation Preferred Private Equity Fund 50 Stable Index (hereinafter referred to as the "China Foundation Private Equity 50 Stable Index"), which is currently performing well with high returns, small drawdowns and high Sharpe ratios.
Allocation, portfolio and optimization are the three key words for the excellent performance of the Zhongji Private Equity 50 Stable Index. In terms of allocation, the index adheres to the concept of "all-weather", and allocates three sub-fund categories with significant risk-return characteristics: stock long funds, hedge funds, and CTA funds, of which hedge funds account for 50%, stock funds account for 25%, and CTA funds account for 25%, and the correlation between the three types of strategies is low (the correlation coefficient is below 0.3), and the impact of the stock market is small, and profit opportunities can always be captured in different market environments. Portfolio refers to the three types of strategies and subdivision of 15 sub-categories of investment strategies, through a large number of data simulation, strategy correlation testing, investment empirical analysis, as far as possible to maintain the low correlation of each subdivision of the strategy funds, so as to make the index level more stable; at the same time, there are 20 constituent funds, reasonable diversification and avoid broad, the portfolio effect is just right. In terms of fund selection, China Fund News has the natural advantages of data analysis and on-the-spot due diligence, and among many private equity institutions and fund products, in accordance with high standards and high requirements, excellent private equity is included in the candidates, and through in-depth research on candidate private equity institutions, the ideal investment targets (constituent funds) are found in various profit sources, and the investment institutions selected for the constituent funds are all first-tier excellent private equity in China.
The Zhongji Preferred Private Equity Fund 50 Stable Index has attracted wide attention from the industry due to its clear rules, transparent trends, retrospective and analyzable performance, and large strategic capacity.
(1) Index performance
The benchmark date of the China Base Preferred Private Equity Fund 50 Conservative Index was January 1, 2020, and it closed at 1528.46 points in the week of April 12, 2024, down 0.44% from the week of April 3, 2024.
The Zhongji Private 50 Conservative Index has higher returns, small drawdowns, and high Sharpe ratios, which are the combined results of "preferred" and "allocation". With the goal of "stability", on the basis of hedging strategy, the Zhongji Private Equity 50 Stable Index selects sub-funds with large volatility stock long strategy and CTA and derivatives strategy, which are balanced and allocated, the volatility is expected to be reduced, the stable income is very expected, and the fund yield can become the basic yield.
Since its establishment, the annualized volatility of the index has been around 7%, and the maximum drawdown has not exceeded 8%, and in terms of income, the cumulative return of the Zhongji Private 50 Stable Index has exceeded 52%, with an annualized return of nearly 11% and a Sharpe ratio of 1.2.
(2) Ingredient performance
Last week, the China-based Private Equity 50 Conservative Index fell 0.44%, of which the hedging strategy, which accounts for half of the country and plays the role of a portfolio performance stabilizer, contributed 0.04%, the balanced equity long strategy lost 0.37%, and the CTA and derivatives strategy lost 0.11%.
In terms of secondary strategies, the convertible bond alpha strategy under the hedging strategy performed prominently, the balanced growth strategy under the equity long strategy was more profitable, and the volume-price medium and long-term strategy under the CTA and derivatives strategy performed relatively well.
Illustrate:
1. The Zhongji Private Equity 50 Index, the Zhongji Private Equity 50 Stable Index and trend charts are updated weekly (the net value as of the end of last week is released), which can be viewed on the official website of China Fund News (website https://www.chnfund.com/), the official WeChat public account, and the relevant columns of the official APP, and the relevant weekly, monthly, quarterly, semi-annual, annual and other fixed reports will also be disclosed through the above media channels.
2. If a private equity institution intends to participate in the fund selection of future series of indexes, it can send the company, product and other materials to the [email protected], and we will arrange follow-up docking.
Related Information:
1. "Investment Circle Events!China Fund News Private Equity Index Officially Released!"
2. Instructions for the Compilation of the 50 Index of Zhongji Preferred Private Equity Funds
3. Ten Questions and Ten Answers on the Zhongji Private Equity 50 Index
4. "Major Events in the Investment Circle! Just now, China Fund News Active Index: Zhongji Private Equity 50 Stable Index Officially Released! How to compile and how to perform? Authoritative expert analysis, ten questions and ten answers to understand"
5. Instructions for the Compilation of the 50 Stable Index of Zhongji Preferred Private Equity Funds
6. Ten Questions and Ten Answers on the Zhongji Private Equity 50 Stable Index
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