公募新规量化观察系列之二：基金超额收益的困境与突破

Group 1 - The report focuses on the performance of actively managed equity funds in relation to their performance benchmarks, highlighting a significant underperformance with an average excess return of -7.17% over the past three years, and 48% of funds lagging their benchmarks by more than 10 percentage points [4][12][15] - A strong correlation exists between most funds and their benchmarks, with over 80% of funds having a correlation coefficient above 0.7, indicating a high degree of alignment in performance [4][20][22] - The report identifies 35 funds with a correlation coefficient below 0.1, suggesting a significant mismatch between the funds' investment strategies and their chosen benchmarks, often using fixed deposit rates as benchmarks [4][24][23] Group 2 - The report analyzes the difficulty of enhancing performance benchmarks for actively managed equity funds, utilizing a multi-factor and portfolio optimization model to assess various indices [25][36] - The results indicate that broad market indices like CSI 500 and CSI 1000 are easier to enhance for excess returns, while sector-specific indices show limited enhancement potential [4][36][38] - A comprehensive list of 19 stock selection factors is provided, covering various dimensions such as valuation, quality, growth, and momentum, which are used to construct enhanced portfolios [25][26][30]