中金：公募新规下，主动权益基金如何调整与跟踪业绩基准？

Core Viewpoint - The article emphasizes the importance of performance benchmarks in the development of public funds, particularly focusing on active equity funds, and proposes adjustments to align benchmarks with actual investment strategies to enhance performance evaluation and management effectiveness [1][9]. Regulatory Guidance - The China Securities Regulatory Commission (CSRC) has issued guidelines to strengthen the role of performance benchmarks, including clear mechanisms for setting, modifying, disclosing, and continuously evaluating benchmarks [11][13]. - A comprehensive performance evaluation system centered on fund investment returns is to be established, focusing on fund performance relative to benchmarks and investor returns [13][14]. - The floating fee rate trial will become standard, linking fees to relative performance to enhance alignment of interests between fund managers and investors [15]. Application Practice - Active equity funds predominantly use scale indices as performance benchmarks, with the CSI 300 and CSI 800 accounting for approximately 60% of the total number and scale of funds [16][18]. - Recent trends show a stabilization in holding deviations, while net value deviations have exhibited significant fluctuations, with a concerning percentage of funds projected to underperform benchmarks by 10% over three years [22][23]. Holding and Net Value Deviations - Increased holding deviations from benchmarks correlate with higher tracking errors, but the resulting relative returns vary depending on market conditions, with better performance in bull markets and increased risks in bear markets [25][26]. - The overall excess performance of active equity funds is closely tied to market conditions and style preferences, indicating that past performance may not accurately reflect management capabilities [29][30]. Benchmark Adjustment - Adjusting benchmarks to better align with fund characteristics can lead to clearer style positioning and more stable excess returns, as evidenced by the proposed shift to growth-oriented benchmarks [31][41]. - The adjustment of benchmarks has shown to reduce holding deviations and improve net value performance, with a significant decrease in the proportion of funds significantly underperforming benchmarks [39][40]. Risk Management Strategies - Strategies to manage benchmark deviation risks include optimizing portfolio exposure to industry and market capitalization, which can enhance performance during favorable market conditions [43][47]. - Combining active management with index tracking can simplify investment strategies while improving excess and absolute returns [7][43].