基金投资策略研究系列报告之八：重塑基金业绩衡量体系：另辟蹊径探索定量选基新思路

Group 1: Performance Momentum - Traditional Selection Method - The concept of "momentum" in behavioral finance is crucial and widely applied in various asset investment strategies, but its application in active funds differs significantly from other assets [3][10] - The traditional "momentum selection" method has been widely used in the industry but has shown poor effectiveness, with many top-performing funds in one year falling to the bottom tier in the following year, indicating the inefficiency of relying solely on past performance for future predictions [4][15][18] - The "champion curse" effect reveals that, on average, 19.4% of the top 20% performing funds in previous years drop to the bottom 20% in the following year, further demonstrating the limitations of performance momentum methods [18][22] Group 2: New Approach to Fund Performance Measurement - A new fund performance measurement method is proposed, which involves extracting similar fund samples based on past performance and calculating their relative performance as a benchmark for future performance [31][32] - The model constructed based on this new measurement method has shown stable historical performance, achieving a return of 112.96% since 2017, significantly outperforming the benchmark index with a return of 53.43% [41][44] - The model exhibits significant monotonicity and low sensitivity to hyperparameters, indicating its robustness across various market conditions [46][48] Group 3: Market Environment Adaptability - The new method for assessing market environment adaptability involves using the performance of similar fund samples to classify funds into favorable or unfavorable market conditions [54][55] - Funds that perform well in favorable conditions tend to have higher concentration in specific sectors, while those that excel in unfavorable conditions exhibit more balanced and diversified portfolios [58][59] - This adaptability assessment can serve as an effective reference for evaluating the sharpness of fund performance [59]