基准约束下，多大比例的偏离较为合适？——后明星时代公募基金研究系列之五

Group 1 - The core viewpoint of the article emphasizes the importance of performance benchmarks in the mutual fund industry, as outlined in the "Action Plan" released by the China Securities Regulatory Commission, which aims to enhance the quality of public funds through specific measures [1] - The article discusses the historical performance of active equity funds in the U.S. compared to their benchmarks, noting that the average tracking error for U.S. active equity funds is around 5%, while domestic equity funds in China have a tracking error close to 15% over the past five years, indicating a weaker benchmark awareness in China [1][2] - The article highlights the need for domestic active managers to adjust their investment strategies under the constraints of performance benchmarks, suggesting two potential adjustment plans: one based on quantitative index enhancement and another involving a split investment strategy [3][4] Group 2 - The first adjustment plan involves using a quantitative index enhancement framework to control the investment proportions of constituent stocks, industry weight deviations, and individual stock weight deviations to minimize performance divergence from the benchmark [4][5] - The article presents a simulation using the CSI 300 index as a benchmark, showing that when the investment proportion in constituent stocks is set at 80%, the probability of outperforming the index over three years remains close to 100%, regardless of industry and stock weight deviations [6][7] - As the investment proportion in constituent stocks decreases to 50% and 30%, the likelihood of underperforming the index increases significantly, indicating that maintaining a higher proportion of constituent stocks is crucial for performance [8][9][10] Group 3 - The article discusses a second strategy that involves a combination of passive index tracking and active management, where a portion of the portfolio is allocated to index investments while the remainder is actively managed [15][18] - A simulation using the top 50 constituent stocks of the CSI 300 index shows that this approach can yield excess returns while effectively tracking the index, with a historical annualized return of 4.36% compared to the CSI 300 index's 2.36% [18][19] - The article emphasizes that the proportion of passive index investment should not fall below 20% to minimize the risk of underperforming the index, especially when the active manager's performance is at the market average [20][21] Group 4 - The article draws on international experiences, noting that successful active management products in the U.S. maintain clear viewpoints on individual stocks while adhering to benchmark constraints, with examples of funds that have significantly deviated from their benchmarks yet achieved strong performance [28][29] - It highlights that even with a focus on benchmark adherence, active managers can still express distinct views on individual stocks, as seen in the performance of funds like Fidelity Contrafund and JPMorgan US Equity Fund [30][34] - The article concludes that while the new regulatory framework imposes stricter performance benchmarks, it does not eliminate the potential for active management to express unique investment perspectives [28][29][47]