In the past 1-2 years, the growth style of small and mid-cap stocks represented by the CSI 500 Index has performed very strongly and attracted the attention of many investors. Therefore, more and more fund companies have also launched index-enhanced products. In terms of quantity, there is a tendency to increase the number of products more than the CSI 300 Index.
The following filters were made on all tracked index-enhanced products:
Only the main code of the fund is considered, such as the A and C categories of the same fund, and only the A fund is considered.
Established for more than 3 years;
The smallest scale in history is more than 100 million; (the enhancement of the CSI 1000 index is slightly relaxed)
Among them, the smallest scale in history is more than 100 million, mainly to avoid the impact of redemption fluctuations on the net worth, and to avoid the impact of some new income.
After the screening, there are relatively few CSI 500 enhanced public offerings.
Historical performance
On the whole, compared with the CSI 300, the excess return is relatively stable and the fluctuation is relatively small.
Because the establishment time of different products is different, it is not accurate to use the performance of the whole range, so consider the time range comparison of the last N years. From the perspective of annualized returns, the equal-weighted average representing the overall level of the market, the annualized excess return is about 8.14%, higher than the CSI 300 and the CSI 500.
From the perspective of the past 4 years, the best performance of excess returns is SDIC UBS CSI 500 Index Enhancement, followed by Shenwan Lingxin CSI 500 Preferred Enhancement A.
In terms of annual excess returns, 2020 is a big year for excess returns. From the perspective of the whole range, the average annualized excess return of the market is about 11%. However, the annual excess returns are not very stable. In 2019 and 2021, the annualized returns are only 5% and 3.7%. The highest is in 2020, with an annualized excess return of nearly 13%.
hit new income
From the perspective of new revenue, some products have high new revenue, including China Investment CSI 500 Quantitative Enhancement A, Invesco Great Wall CSI 500 Index Enhancement A, and Broadway CSI 500 Enhancement A.
The SDIC CSI 500 Index has been quantitatively enhanced A, and the proportion of revenue from new sales in the early stage is relatively high. After the second half of 2021, the scale has expanded rapidly, and the contribution of the entire revenue from new sales has dropped significantly.
There is a similar situation for the Invesco Great Wall CSI 500 Index enhancement:
It should be noted that some products with outstanding performance have a relatively high contribution to new income, and the CSI 500 index itself has been trending relatively strongly in recent years, so the 500 index enhanced products have attracted the attention of many investors, and the corresponding management scale has grown rapidly. , the yield of subsequent new revenue contributions is bound to drop significantly. (Even if the new income remains unchanged, but the base is large, the rate of return will decrease), so to analyze the enhanced products of the CSI 5000 Index, we must do a split analysis of the new income.
Position Analysis
From the perspective of asset holdings, some funds hold certain stock index futures, especially the CCB China Securities 500 Index Enhancement A.
The stock index futures positions of CCB CSI 500 Index Enhancement A are basically around 10%. Considering that the discount of CSI 500 and the stock index futures margin can cope with subscription and redemption, some funds have certain stock index futures positions. However, due to the limited position size, the impact on excess returns is also limited.
From the perspective of the overlap of individual stocks, each index enhancement strategy is mainly in the selection of index constituent stocks, which are basically above 85%. Among them, Shenwanlingxin CSI 500 preferred enhancement A is close to 90%, and CCB CSI 500 index enhancement is relatively low. , the overall is less than 80%, but the CCB China Securities 500 Index has stock index futures positions. But in comparison, it seems that there is no stock selection as high as the CSI 300.
From the perspective of CITIC industry exposure, the degree of deviation of each index product is not large, basically within the range of plus or minus 5%.
From the perspective of CITIC’s first-tier industry: the overall industry deviation is relatively small, basically within plus or minus 2%, only Shenwanling CITIC 500 Preferred Enhancement A has a slightly larger deviation, so the excess return of this product fluctuates slightly. .
From the perspective of style deviation: CSI 500 index enhancement products have obvious positive deviations in growth, expected growth, momentum and profitability, and negative deviations in market value factors.
From the point of view of the frequency of position adjustment, the frequency of position adjustment of the CSI 500 index increase strategy is much higher than that of the 300 index increase strategy. Among them, the Bodao CSI 500 Index’s enhanced turnover rate is much higher than the average of other similar products, almost twice as high.
Extended analysis
Why is the enhanced excess return of the CSI 500 index much more stable than the enhanced trend of the CSI 300 index? This is actually related to the constituent stock structure of the CSI 500. Unlike the CSI 300, the CSI 300 Index constituent stocks are concentrated in several industries such as banking, insurance, securities, food and beverage, and the industry weight distribution of the CSI 500 is relatively balanced and scattered. .
Assuming that under the premise of maintaining industry neutrality, the CSI 500’s excess returns will be much more stable even if the excess returns of different industries fluctuate greatly due to industry dispersion.
Why does the private placement of the CSI 500 Index Enhancement can crush the CSI 500 in terms of excess returns? First of all, private equity can select stocks in the whole market, and the corresponding sources of excess income will be more. Secondly, there are more restrictions on changing hands and positions in public offerings, and the holding period is about 1-2 months. However, the short-cycle volume and price strategy of private equity, You can change hands once in a few days, and you can even do T+0 revolving transactions. (Sell yesterday’s position today and buy it back soon after closing). Private placements are less restrictive, so there will be a little more revenue streams.
summary
Due to the relatively strong style of small and medium-sized caps in the past two years, the CSI 500 Index and its index-enhanced products have also received more and more attention from the market, and the scale of the corresponding products has also increased rapidly. However, from the perspective of my revenue split, some products with excellent historical performance will have more historical new revenue contributions, and these products expand rapidly, and the subsequent new revenue contribution will be significantly reduced, so this needs special attention. .
On the whole, although some public offering products hold a certain amount of stock index futures, they are limited by the fund contract, and the holding ratio is relatively low. Most of them are liquidity management tools, which have limited impact on excess returns. Most of the funds select stocks in the index constituent stocks, and the overall exposure to the overall CITIC industry and CITIC tier-one industries is relatively small, and more excess returns come from style exposure. From the perspective of style deviation, there is a positive deviation in the overall growth, expected growth, momentum and profitability, and a negative deviation in the market value factor.
The turnover rate and repositioning frequency of the CSI 500 are generally higher than those of the CSI 300 products. Among them, the Bodao CSI 500 Index enhancement is significantly higher than other CSI 500 index enhancement products.
From the perspective of historical excess returns, compared with CSI 300 and SSE 50 enhanced products, the excess returns of CSI 500 are higher and more stable. Historically, the annualized excess return of the CSI 500 is about 10%, but the excess return in different years will fluctuate slightly. The equal-weighted average excess return in 2021 is only about 3.7%, and only about 5% in 2019.
This excess return, whether it is for investors looking for better investment tools, or investors looking for higher excess returns as a safety pad, will be a little attractive, but the public offering CSI 500 Index increase product, compared to the private placement CSI 500 For index products, the competitiveness in excess returns is not enough.
At this point, the full text is over, thank you for reading.
If you find any mistakes or omissions in my analysis, please correct me and add them.
The above content is only used as a personal investment analysis record, and only represents personal opinions. The analysis content is based on historical data. Historical performance does not indicate its future performance. It does not serve as a basis for buying and selling, and does not constitute investment advice.
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$ Shenwan Lingxin CSI 500 Index Optimal Enhancement (F003986)$ $ SDIC UBS CSI 500 Index Quantitative Enhancement A (F005994)$ $ Invesco CSI 500 Index Enhancement (F006682)$
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