权益公募基金业绩比较基准重构方案

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report combines policy understanding with overseas market experience to propose a methodology for reconstructing the performance comparison benchmarks of active equity funds. It aims to design more suitable benchmarks for different investment - style active equity funds, considering the impact on holders, fund managers, and fund companies, and evaluates the results of the benchmark reconstruction [1][3][61]. 3. Summary According to the Directory 3.1 Performance Comparison Benchmark Selection Rules - Impact on Stakeholders: The "Action Plan for Promoting the High - Quality Development of Public Offering Funds" strengthens the role of performance comparison benchmarks. For holders, it affects fund - selection and fee levels; for fund managers, it impacts strategy adaptability, operation boundaries, and compensation; for fund companies, it influences compensation fairness and long - term stability [6][9]. - Benchmark Selection Rules: The report proposes three rules: benchmarks should be investable and market - recognized, effectively reflect the fund's Beta, and provide room for active excess returns. It also refers to some standards from overseas literature but adapts them to the domestic situation [3][13]. 3.2 Performance Comparison Benchmark Selection Process - Index Candidate Pool Construction: As of Q1 2025, 168 indices were selected into the candidate pool, covering A - shares, Hong Kong stocks, and various index types such as broad - based, SmartBeta, industry, and theme indices, based on investability and market recognition [3][17]. - Active Equity Fund Pool Construction: The target is non - pre - defined industry - theme and non - quantitative all - market stock - picking equity funds, with 3474 samples. The report also distinguishes post - hoc track funds and all - market funds [3][21]. - Performance Comparison Benchmark Adaptability Evaluation: Six indicators are designed: position overlap, industry deviation, style deviation, market risk consistency, excess return standard deviation, and excess return independence [3][24]. - Performance Comparison Benchmark Reconstruction Plan: The industry and style deviations are used as constraints, market risk consistency, excess return standard deviation, and excess return independence are used as optimization goals after appropriate transformation, and position overlap is used as an auxiliary tool to build an optimization model [3][32]. 3.3 Performance Comparison Benchmark Reconstruction Results Display - Adaptability Evaluation of Reconstructed Benchmarks: In the preferred pool, the number of funds with single - index, double - index, and triple - index benchmarks increases. Most funds show good performance in the six adaptability indicators [35][36][40]. - Fund Return Performance Relative to the New Benchmark: From 2022/6/30 - 2025/5/18, the excess return of funds in the preferred pool slightly increased after benchmark reconstruction. The annual excess return is more stable, and the fund returns are closer to the benchmark returns [50]. - Display of Some Fund Samples after Benchmark Reconstruction: The new benchmarks cover a wider range of indices and reflect more specific risk characteristics compared to the old benchmarks [55]. 3.4 Summary and Outlook The report provides a complete methodology for reconstructing performance comparison benchmarks for active equity funds. The reconstruction results are positive, but the model needs adjustment according to future regulatory details and practical factors [59][61][62].