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In previous articles, we have briefly analyzed index-enhanced funds. In this article, we will write about CSI 1000 index-enhanced funds separately. For most Christians, they may start with index funds. Index funds follow the index. At the same time, the comprehensive fee rate of the fund is also relatively low. At the same time, because the fund constituents are relatively transparent, it is also relatively easy to value the fund. Most It is easier for Christians to understand when they start with index funds. Before talking about index-enhanced funds, let’s revisit the fund classification based on the perspective of underlying assets:
It can be seen that index-enhanced funds are under the category of “stock funds”. Along with index-enhanced funds, there are FOF funds, active stock funds, index funds, and quantitative funds.
Active funds mainly depend on the investment level of the fund manager. When you meet an excellent fund manager, you can create excess returns for the citizens. Therefore, it is not easy to choose an excellent active fund. At the same time, the comprehensive rate of active funds It will also be higher than a pure index fund.
Between index funds and active funds, there is actually another important category of subdivided funds: index-enhanced funds . Since index funds allocate positions by tracking the index, in addition to the new income of the fund holding itself, the income of the index fund mainly depends on the strategic income of the index. Some indexes are limited by the defects of the compilation rules or are limited The market style preference may not be so good in terms of yield, and the role of index enhancement funds will be highlighted at this time. Index enhanced funds perform enhanced operations on the basic market of index constituent stocks. The enhanced operation can be to increase or decrease the weight of a certain constituent stock, or simply remove it directly. Compared with pure index funds, index enhanced funds, fund managers With a certain degree of autonomy, you can superimpose your own investment strategy through “index enhancement operation” to a certain extent.
In A-shares, most index-enhanced funds can obtain excess returns relative to their tracking index. There are three main underlying logics:
I. Index compilation rules rely on financial reports and it is difficult to cover all situations of constituent stocks
Index compilation rules are usually difficult to cover all possible situations that may arise in constituent stocks. For example, Wen’s shares in the GEM have a large market value but are inconsistent with the “entrepreneurial, small and medium-sized” style positioning of the GEM. Another example is some SmartBeta strategy indexes. Some growth strategies cannot rule out the “false growth” brought about by external mergers and acquisitions; some value strategies cannot rule out the “false underestimation” of non-recurring profit and loss or strong cyclical enterprises; some dividend strategies cannot rule out the overdraft dividend belt The main input information of the index compilation rules are: component stock market value, stock price, industry attributes, corporate financial reports, etc., among which the information weight of corporate financial reports is greater, and for the special financial situation of some companies, It is often difficult to fully cover the index when formulating the compilation rules. For this kind of fish that slipped through the net, the fund manager of the index enhancement fund can play a very good “enhancement role”
II. Index compilation rules are difficult to capture market style rotation returns
The income of the index strategy mainly depends on the long-term expected income of the operation of the index strategy. For example, the industry index mainly relies on the “industry factor” to obtain income, the broad-based index mainly relies on the “market value factor” to obtain income, and the strategy index mainly relies on the “SmartBeta factor” to obtain income. For market style rotation returns, most of the indexing rules are difficult to capture. Relying on strong investment and research strength, fund companies often have an advantage in capturing market-style rotation returns. Therefore, fund managers of index-enhanced funds can partially capture market-style rotation returns by adjusting constituent stocks and weights.
III. Index compilation rules often have room for optimization
Index compilation rules often have room for optimization. For example, an index using a “market capitalization factor” may further increase the weight of a constituent stock due to the rise in the market value of a certain constituent stock. High, the further increase of the weight of the index may lead to an increase in the index valuation and affect the long-term return rate; for example, some indexes that use quality factors may pursue the quality of companies too much and ignore the valuation of constituent stocks, and for example, some indexes that use dividend factors or value factors The index may pursue low valuation too much while ignoring the quality and growth of the company. At this time, if the “enhancement operation” of the fund manager of the index enhancement fund is used, the index constituent stocks can be well optimized.
CSI 1000 Index Enhanced Fund:
Before analyzing the CSI 1000 Index Enhanced Fund, you need to look at the situation of the CSI 1000 benchmark index. First, look at the compilation rules of the CSI 1000 Index:
Sample selection space:
Same as the sample space of CSI All-Share Index
Note: The content of the picture comes from the official website of China Securities Index
Quantum salted fish analysis: This sample space is almost the stock selection of the Shanghai and Shenzhen markets, but the impact of new stock listings is excluded, especially the general valuation of new stocks listed on the Science and Technology Innovation Board is relatively expensive. Considering that after one year of listing can reduce the cost of new stocks Influenced by the future, a sufficiently broad sample space can effectively tap valuable small-cap growth stocks.
Sample selection method:
Note: The content of the picture comes from the official website of China Securities Index
Quantum Salted Fish Analysis: From the sample selection method of CSI 1000, we can also see that the CSI 1000 Index is positioned as a small and medium-cap stock, but the so-called small and medium-cap stocks are relative to the Shanghai and Shenzhen 300. According to the data disclosed on the official website of the CSI , the average market value of the constituent stocks of the CSI 1000 Index is about 10 billion. In fact, the constituent stocks of the CSI 1000 Index are not mini-sized companies. It can also be seen from the stock selection method that the CSI 1000 will also value components when selecting constituent stocks If the value of the constituent stocks is too small, it may lead to a discount in the valuation of market liquidity. It can be seen that the CSI 1000 Index has fully considered this problem in terms of compilation rules:
Note: The content of the picture comes from the official website of China Securities Index
The industry distribution of the constituent stocks of the CSI 1000 Index is more balanced, and the proportion of the financial industry is low, and the proportion of emerging industries is higher:
Note: The content of the picture comes from the official website of China Securities Index
Analysis of quantum salted fish: It can be seen that the financial industry accounts for only 2.2% of the CSI 1000 index constituent stocks, real estate accounts for 2.15%, information technology industry accounts for 15.46%, and industrial accounts for 28.82%. Many of the constituent stocks are high-end Manufacturing and emerging technology companies.
Take a look at the top ten heavyweights of the China Securities 1000 Index:
Note: The content of the picture comes from the official website of China Securities Index
Quantum salted fish analysis: Due to the large number of constituent stocks in the CSI 1000 Index, the total positions of the top ten weights are not high, which cannot fully reflect the position distribution of the CSI 1000 Index, but we can also feel the middle The industry attributes of the constituent stocks of the China Securities 1000 Index Compared with the big blue chips of the CSI 300 and a higher proportion of the financial industry, the industries of the constituent stocks of the China Securities 1000 Index have better growth and more vitality.
Let’s look at the performance of the CSI 1000 Index Enhanced Fund: “Wan Zhongzheng 1000 Index Enhanced A (005313)”:
Note: The content of the picture comes from choice
Quantum salted fish analysis: Wanzhong Securities 1000 Index Enhancement A (005313) Morningstar rating and market comprehensive rating are both 4 stars, indicating that the market still recognizes its index enhancement effect. Judging from the trend of the net worth curve, Wan Zhongzheng 1000 Index Enhanced A (005313) not only outperformed the benchmark index CSI 1000, but also outperformed the Shanghai and Shenzhen 300 Index Fund. The excess return is quite obvious.
In terms of absolute returns:
Note: The content of the picture comes from choice
Quantum salted fish analysis: Wan Zhongzheng 1000 Index has strengthened the annualized return rate of 16.44% in the past three years, which is still very eye-catching, which is significantly higher than the annualized return rate of 4.43% of the CSI 1000 benchmark index and the Shanghai and Shenzhen 300 Index. Compared with the CSI 1000 benchmark index, the enhancement of the China Securities 1000 Index can obtain stable excess returns.
From the perspective of retracement control:
Note: The content of the picture comes from choice
Some children’s shoes may not know the Sharpe ratio and Sordino ratio, here is a brief introduction:
Sharpe ratio: Sharpe ratio = (annualized rate of return – risk-free interest rate) / portfolio annualized volatility = excess return / annualized volatility
The Sharpe ratio is meaningless by itself, only in comparison to other combinations
Analysis of Quantum Salted Fish: Wan Zhongzheng 1000 Index Enhanced Sharpe Ratio is also significantly higher than that of Shanghai and Shenzhen 300 Index Funds, indicating that Wan Zhongzheng 1000 Index Enhanced can obtain excess returns while its retracement control level is better than the overall beta fluctuation of the market (Background fluctuations in the Shanghai and Shenzhen 300 Index);
Finally, to summarize:
The constituent stocks of the CSI 1000 Index are relatively dispersed, with a balanced industry allocation, and the constituent stocks focus on emerging and better growth industries, while traditional industries such as financial real estate account for a very small proportion. Index-enhanced funds perform enhanced operations on the basic market of index constituent stocks. Compared with pure index funds, index-enhanced funds have certain autonomy and can superimpose their own funds through “index-enhanced operations” to a certain extent. Investment Strategy.
Wan Zhongzheng 1000 Index Enhanced A (005313), as the “index enhancement fund” of the CSI 1000 benchmark index, can obtain stable excess returns compared with the CSI 1000 benchmark index and the large-cap Shanghai and Shenzhen 300 index. At the same time, its retracement control level must be Better than overall market beta volatility.
$Wan CSI 1000 Index Enhanced A(F005313)$ $300ETF Fund(SH510330)$ $CSI 1000(SH000852)$
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