This kind of product has obvious effect on revenue enhancement

China Fund News reporter Li Shuchao Zhang Ling

Under the sharp fluctuations in the stock market this year, index-enhanced funds still have a good enhancement effect. According to the data, 70% of index-enhanced funds have achieved over-benchmark returns during the year, and the highest has reached 9%.

Interviewees and individuals said that benefiting from mature factor models and effective risk control measures, the index enhancement fund has achieved significant enhancement effects during the year. Although the performance of some products is differentiated, with the continuous layout of related products and the improvement of managers' investment capabilities, the overall enhanced income effect of such products is still relatively optimistic, and the performance of fundamental factors is worth looking forward to.

Up to 9.24%, the index enhancement fund has a significant effect during the year

Wind data shows that as of April 19, the average over-benchmark return of 257 index-enhanced funds in the whole market (combined with different shares) has been 1.38% since the beginning of this year, which is close to the over-benchmark return level of 1.63% for the whole of last year.

Excluding the sub-new funds with the advantage of building positions, the highest over-benchmark return this year is the China Post CSI 500 Index Enhancement, which has exceeded the benchmark return of 9.24% since the beginning of this year, the Fuanda CSI 500 Index Enhancement ranks second with 8.31%, and many funds such as China Merchants CNI 2000 Index Enhancement and E Fund CSI 300 Select Enhancement have also achieved enhanced returns of more than 7%.

In this regard, Wang Gao, manager of the China Post CSI 500 Index Enhancement Fund, revealed that the index enhancement fund he manages mainly adopts a multi-factor stock selection strategy, and selects stocks with the top factor comprehensive scores from the constituent stocks of the benchmark index to form a portfolio, in order to obtain alpha returns that exceed the index. This year's excess return mainly comes from the stock selection factor, and if the stock selection factor is more in line with the current market environment, the excess return will be more obvious. "Of course, our stock selection model is more about taking a long-term view, seeking to outperform the benchmark in the long run, rather than pursuing a significant overperformance for a while. ”

Deng Tong, manager of China Merchants China Securities 2000 Index Enhancement Fund, said bluntly that since the beginning of this year, the market has fluctuated greatly, and the trend of individual stocks has been greatly differentiated, which is conducive to the quantitative stock selection model. In addition, the fundamental stock selection model usually refers to the recent performance in the allocation of factor weights, when a certain type of factor performs well, the weight will increase, and when the style continues, the excess return will also increase accordingly, because the overall style of the market at the beginning of this year is close to last year, it is still biased towards the value style, the value factor and the dividend factor have obvious excess contributions, and the performance of the quality factor and cash flow factor is also good.

"Another hot spot in the market is machine learning factors, which have also been widely used in public index enhancement funds in the past one or two years, and this kind of factor has fluctuated greatly this year, but if you can stick to it, you have the opportunity to win the corresponding excess returns. Deng Tong said.

The quantitative and overseas investment department of Huatai Berry Fund also said that the quantitative performance of fundamentals has been good this year, mainly due to two factors: first, several types of alpha factors, such as valuation, growth, and earnings quality, have contributed; "The combination of mature factor models and effective risk control measures has enabled us to achieve better excess returns in the market this year. ”

Seventy percent of the above-benchmark return enhancement is expected to continue

From the perspective of the whole market, a total of 179 products have achieved over-benchmark returns since the beginning of this year, accounting for 70%. However, the gap between the first and last exceeded the benchmark also widened to 16 percentage points.

Among them, the relevant indexes tracking the CSI 500, CSI 1000 and CNI 2000 have higher returns than the benchmark, tracking the CSI 300 index, as well as the enhanced indices of semiconductors, artificial intelligence and other industries, and the enhancement effect is relatively poor.

In this regard, Wang Gao of China Post Fund said that CSI 500, CSI 1000, CNI 2000, etc. are broad-based indexes, which are characterized by a relatively large number of constituent stocks, scattered industry distribution, and relatively dispersed individual equity redistribution, which is conducive to doing enhancement strategies through quantitative multi-factor or other methods, and the enhancement effect can also be better reflected.

Huatai Pineapple Fund also added that stocks with weak fundamentals in the constituent stocks of the CSI 300 Index may perform better, but relatively speaking, it is relatively difficult for quantitative investment to achieve excess returns on the CSI 300 Index. As for the enhanced indices of industries or themes such as semiconductors and artificial intelligence, they are narrow-based indices, which are more difficult to obtain enhancements, and it is also very difficult to obtain stable excess returns in the long run, which will test the investment ability of managers more.

Looking ahead, respondents are generally optimistic about the effect of index-enhanced funds on enhancing returns, and are optimistic about the performance of fundamental factors.

Deng Tong believes that in the sharp fluctuations in the market at the beginning of the year, many quantitative private placements with machine learning as the main strategy suffered relatively large losses, and some funds withdrew from the market. The overall performance of public offerings this year is relatively more stable, and the withdrawal of some private equity funds may have some room for improvement in excess returns.

From the perspective of factors, Deng Tong said that although the valuation factors are still performing well, with the gradual stabilization of the market, the performance of growth factors and analyst factors that have been weak for several years may rebound, and machine learning factors still have strong vitality, but the volatility level may increase.

Wang Gao also said that he remains optimistic about the follow-up enhancement of the index increase fund, the core of which is that the current market is at a low level, many stocks are very cheap, the profits are also very good, and there is plenty of room for valuation repair in the future, which provides a good opportunity and strategic space for quantitative multi-factor and other stock selection methods to be enhanced. Looking ahead, he is more bullish on fundamental factors based on the company's profitability and valuation position.

"As far as the fundamental quantitative model is concerned, the alpha has been in the process of regression since the Spring Festival in 2021, and we believe that the next 3-5 years may be better. Huatai Berry Fund also said that on the one hand, after the Spring Festival in 2021, the intensity of capital concentration will gradually weaken until it collapses, and the investment of market funds will be more decentralized, which is conducive to the quantitative model to better play the role of stock selection; The proposal of the detailed rules will make investors pay more attention to the fundamentals of enterprises, and the fundamental quantitative model is expected to have better performance.

Huatai Berry Fund believes that valuation factors and earnings quality factors may perform better in the coming period, and growth factors may still perform better.

Editor: Captain

Review: Muyu