公募新规下，基金经理如何选择最优业绩比较基准？

Core Insights - The new public fund benchmark regulations clarify the principles for selecting performance benchmarks and enhance the disclosure standards, emphasizing the daily constraints of performance benchmarks. It is expected that a significant proportion of equity public funds will need to adjust their performance benchmarks in the second half of 2026 [1][15][16] - An exclusive "benchmark selection tool" has been developed, using "Guotou Ruijin New Silk Road" as a case study to analyze and select the most suitable performance benchmark based on six dimensions: winning rate, winning quality, matching degree, winning degree, excess stability, and balancing pressure. The analysis concludes that the most suitable benchmark for Guotou Ruijin New Silk Road is the CSI 800, with other options including CSI 1000, CSI A500, CSI 500, and CSI All Index [1][8][38] Dimension Summaries Dimension 1: Winning Rate - The winning rate is defined as the proportion of years the fund outperformed all benchmarks since its inception. A higher winning rate indicates the fund's ability to consistently outperform the benchmark across various market conditions. For Guotou Ruijin New Silk Road, the winning rates against benchmarks like CSI 800 and CSI 1000 are around 80% [2][17] Dimension 2: Winning Quality - The quality of the benchmark is assessed using the Sharpe ratio, which indicates the risk-adjusted return. A higher Sharpe ratio for the benchmark signifies a more challenging standard for the fund to outperform. Benchmarks such as CSI New Energy and CSI Chip Industry have high Sharpe ratios above 0.5, while others like CSI 800 Medical and CSI All Index are lower [3][19] Dimension 3: Matching Degree - The matching degree measures the correlation between the fund and various benchmarks. A higher correlation indicates a better alignment between the fund's investment strategy and the benchmark. Guotou Ruijin New Silk Road shows a high correlation of 0.91 with the Shenzhen Composite Index [4][22] Dimension 4: Winning Degree - The winning degree is represented by the average annual excess return of the fund compared to the benchmarks. Guotou Ruijin New Silk Road has an average annual excess return exceeding 10% against several benchmarks, indicating strong alpha generation capabilities [5][24] Dimension 5: Excess Stability - Excess stability is evaluated through the information ratio, which reflects the fund's ability to generate stable excess returns with minimal active risk. Guotou Ruijin New Silk Road has high information ratios against benchmarks like CSI 300 Growth and Consumer Services, indicating stable performance [6][28] Dimension 6: Balancing Pressure - Balancing pressure is assessed by the total deviation of the fund's industry allocation from the benchmark. A lower total deviation indicates lower rebalancing costs and market impact. Guotou Ruijin New Silk Road shows low total deviations against several benchmarks, suggesting manageable rebalancing pressures [7][31] Optimal Benchmark Output - Based on the six evaluation dimensions, the "benchmark selection tool" indicates that the CSI 800 is the theoretical optimal performance benchmark for Guotou Ruijin New Silk Road. Other high-scoring benchmarks include CSI 1000, CSI A500, and CSI All Index, which should be considered by fund managers for a comprehensive evaluation [8][38]