中金：主动权益基金超额收益的“纵”与“横”

Core Insights - The active equity funds have shown significant outperformance compared to index products in 2025, achieving a return of +29.2% against the index's +17.0%, resulting in an excess return of over 12 percentage points [1][5][7] - Despite the positive performance, there are concerns regarding the sustainability of this outperformance as the market enters a volatile phase and new regulations are introduced [1][5][7] Vertical Analysis: Timing Predictions for Active Equity Outperformance - Six indicators have been identified to predict the excess return of active equity funds, including tracking error differentiation (TE-S) and tracking error concentration (HHI), which indicate stronger pricing power and potential for excess returns when concentrated [1][10][13] - A short-term timing model using TE-MDQ, MMT, and VIX has shown a 69% success rate in predicting active equity outperformance for Q4 2025, with an expected outperformance of 2.33% [2][24] - A long-term model using AMT and TE-S predicts underperformance for the period Q4 2025 to Q3 2026, with an expected shortfall of -6.49% [2][27] Horizontal Analysis: Fund Selection Using Excess Return Information - Two effective selection factors for predicting future performance of active equity funds have been identified: Long-term Information Ratio (INFO_LONG) and Tracking Error Change Level (TRACK_D) [1][31] - A composite indicator combining these factors has been developed for fund selection, showing improved predictive power and a backtested annualized return of 11.1% from Q1 2016 to Q3 2025, outperforming the benchmark [3][40][41]