业绩基准如何选择

1. Report Industry Investment Rating No information about the industry investment rating is provided in the content. 2. Core Views of the Report - Domestic active equity funds currently use the CSI 300 as the main benchmark index, with China Securities Index Co., Ltd. dominating the market. The US benchmark index system is more diversified than China's, and the Russell 2000 series of indices are relatively easier to outperform [9]. - When selecting a performance benchmark, one should comprehensively consider three factors: the suitability of the index characteristics and investment style, minimizing the impact of portfolio rebalancing, and maximizing the probability of outperforming the benchmark. Additionally, referring to the US experience, using style - based benchmarks can increase the probability of outperforming the benchmark compared to using broad - based indices [9]. 3. Summary by Relevant Catalogs 3.1 Current Benchmark Index System - Benchmark Concentration: The current benchmark index for domestic active equity funds is mainly the CSI 300. Among 4,517 active equity funds, the performance benchmark index involves 268 indices issued by 14 index providers, with China Securities Index Co., Ltd. having a dominant position. The proportion of funds using the CSI 300 as the performance benchmark reaches 49.83% [13]. - Benchmark Types: Most performance benchmarks are broad - based indices, followed by thematic indices, and then industry indices. Some thematic funds still use broad - based indices as benchmarks, resulting in large performance deviations [16]. - Representative Benchmarks: - CSI 300: Composed of 300 large - cap stocks, adjusted semi - annually. It features large market capitalization, high - quality earnings, and high dividends. The industry is mainly composed of banks, non - bank financials, and electronics. Active equity funds are underweight in banks and non - bank financials and overweight in electronics and pharmaceuticals compared to the CSI 300 [20]. - CSI 800: Similar to the CSI 300, composed of the CSI 500 and the CSI 300. It is adjusted semi - annually. The industry is mainly composed of banks, electronics, and non - bank financials. Active equity funds are overweight in electronics, power equipment, pharmaceuticals, and automobiles and underweight in non - bank financials, banks, and utilities compared to the CSI 800 [23]. - CSI 500: Composed of 500 mid - cap stocks, adjusted semi - annually. It has a more balanced exposure to various factors. The industry is mainly composed of electronics, pharmaceutical biology, and power equipment. Active equity funds are overweight in food and beverages, electronics, household appliances, and automobiles and underweight in non - bank financials, computers, and national defense and military industries compared to the CSI 500 [26]. - CSI A500: Composed of 500 leading stocks in sub - industries, adjusted semi - annually. It has a similar exposure to various factors as the CSI 300. The industry is mainly composed of electronics, banks, and power equipment. Active equity funds are overweight in electronics and pharmaceutical biology and underweight in banks and non - bank financials compared to the CSI A500 [29]. - Alternative Benchmarks: - CSI 700: Composed of 700 mid - large - cap stocks, equivalent to excluding the largest 100 stocks from the CSI 800. It is adjusted semi - annually. The industry is mainly composed of electronics, pharmaceutical biology, and non - bank financials. Active equity funds are overweight in electronics, power equipment, and automobiles and underweight in non - bank financials and computers compared to the CSI 700 [34]. - CSI 1000: Composed of 1000 small - mid - cap stocks, adjusted semi - annually. It has stronger momentum and volatility compared to the CSI 500. The industry is mainly composed of electronics, pharmaceutical biology, and power equipment. Active equity funds are overweight in food and beverages, electronics, and automobiles and underweight in computers, chemicals, and media compared to the CSI 1000 [37]. - CSI All - Share Index: Composed of 4,961 constituent stocks, adjusted semi - annually. It is similar to the Wind All - A Index, except that it excludes ST, *ST stocks, and newly - listed stocks (listed for less than 3 months). The industry is mainly composed of electronics, pharmaceutical biology, banks, and power equipment. Active equity funds are overweight in electronics and power equipment and underweight in non - bank financials, banks, and computers compared to the CSI All - Share Index [40]. - Other Benchmarks: - STAR 50 and ChiNext 50: Still used by some equity funds as performance benchmarks, but their industry distributions are not uniform. The STAR 50 index components are mainly concentrated in the electronics industry, while the ChiNext 50 is mainly in the power equipment industry [43]. - MSCI China A - Share Index: The most widely used foreign - funded index as a performance benchmark. It emphasizes foreign - investability, with 561 constituent stocks, leaning towards mid - large - cap stocks. The industry is mainly composed of banks, electronics, and non - bank financials. Its style is similar to the CSI 300, but with slightly weaker large - scale, high - liquidity characteristics. Using foreign - funded indices as performance benchmarks requires paying usage fees, which is a disadvantage [46]. - Thematic and Industry Benchmarks: - Thematic Benchmarks: Almost all thematic benchmark indices for active equity funds are CSI thematic indices, including strategic emerging industries, domestic consumption themes, and dividends [47]. - Industry Benchmarks: The industry benchmark indices for active equity funds are mainly CSI industry indices, including CSI pharmaceuticals, CSI major consumption, CSI All - Share Semiconductor, and CSI optional consumption. There are also Shenwan industry indices and CITIC industry indices [48]. 3.2 US Benchmark Selection Experience - US Benchmark System: The US performance benchmark system is more diversified than China's. Representative indices include the S&P 500, Russell 3000, and Russell 2000. Style - based indices include the Russell 1000 Value and Russell 1000 Growth. Overseas indices include the MSCI EAFE and MSCI Emerging Markets. Only 7.35% of funds use secondary benchmarks [53]. - Representative Benchmarks in the US: - S&P 500: The most widely used performance benchmark, composed of 500 large - cap stocks. The industry is mainly composed of information technology, finance, and communication services. The proportion of information technology is significantly higher than that of the CSI 300, while the proportions of finance, industry, daily consumption, and raw materials are significantly lower [57]. - Russell 3000: Composed of 3000 stocks, covering a wide range of samples from large - cap to small - cap stocks. Its industry distribution is very similar to that of the S&P 500 [62]. - Russell 2000: Composed of 2000 small - cap stocks, mainly used to measure the performance of small - cap stocks. The industries with relatively high proportions are industry, finance, and healthcare [67]. - Style - Based Benchmarks in the US: Some US equity funds choose the Russell 1000 Value/Growth as performance benchmarks. Both have a large - cap style. The industry weights of the Russell 1000 Value are relatively balanced, while the Russell 1000 Growth is mainly in the information technology industry [70]. 3.3 How to Select a Suitable Performance Benchmark - Suitability of Index Characteristics and Investment Style: The CSI All - Share Index, CSI A500, CSI 800, and CSI 300 have better stability of constituent stocks. The CSI All - Share Index has the lowest average regular adjustment ratio in the past five years, and although it has a relatively large number of temporary adjustments, the adjustment ratio is very small, making it a relatively stable benchmark index [76]. - Minimizing the Impact of Portfolio Rebalancing: Using the CSI A500 as a benchmark can minimize the impact of portfolio rebalancing. Compared with the industry allocation ratio of active equity funds, the CSI A500 has the smallest Mean Absolute Deviation (MAD), while the ChiNext 50 and STAR 50 have the largest deviations [79]. - Maximizing the Probability of Outperforming the Benchmark: The Russell 2000 series of indices in the US are relatively easier to outperform. In China, the CSI 700 has the highest average annual probability of being outperformed by active equity funds, with a relatively stable probability [82]. - Referring to the US Experience: US funds widely use style - based benchmarks. Whether it is a growth - style or value - style fund, using a style - based benchmark index that is more suitable for its investment strategy can increase the probability of outperforming the benchmark compared to using the S&P 500 as a benchmark. In China, one can consider using the 300 Growth/Value or 800 Growth/Value as performance benchmarks for market - wide funds with certain style tendencies [88].