量化策略｜主动权益基金的负超额是一场合成谬误吗？

Core Viewpoint - Since 2022, the phenomenon of negative excess returns in actively managed equity funds has become increasingly common and severe, with most products underperforming the Shanghai Composite Index for three consecutive years [2][3] Group 1: Performance Comparison - The excess returns of actively managed equity funds turned negative after 2022, with a significant number of products underperforming the Shanghai Composite Index [2] - In 2024, the proportion of actively managed funds outperforming major indices like the Shanghai Composite, CSI 300, and others is very low, at only 19%, 14%, 18%, and 20% respectively, with average excess returns of -7.4%, -9.7%, -8.9%, and -8.0% [2] - Compared to index funds, actively managed equity funds have consistently shown lower performance, with average excess returns being negative from 2022 to 2024, while index funds maintained stable positive excess returns [2] Group 2: Market Volatility Impact - Significant negative excess returns in actively managed equity funds are concentrated around specific market windows, including periods of tightened COVID-19 control and liquidity crises in small-cap stocks [3] - The inability of actively managed funds to capitalize on key market turning points has left them in a passive position during major fluctuations in the A-share market [3] Group 3: Correlation Among Funds - Actively managed funds with significant negative excess returns exhibit higher correlation, with historical net value trends showing a cosine similarity of 0.72 for frequently underperforming products compared to 0.60 for others [4] - The similarity in holdings among all actively managed equity funds has remained high since 2022, with those showing significant negative excess returns having even higher similarity than other funds [4][5] Group 4: Systemic Issues - The worsening negative excess returns in actively managed equity funds may reflect a phenomenon of synthetic fallacy, where individual rational decisions lead to collective irrational outcomes [6] - Systemic flaws in industry assessment mechanisms and risk management models contribute to this issue, as the cost of deviating from mainstream holdings often outweighs the risks of following erroneous trends [6] - By the end of 2024, the concentration of top ten holdings in actively managed equity funds reached 58%, an increase of 22 percentage points since 2018, indicating a trend of "herding" behavior that exacerbates the decline in excess returns [6]