主动权益基金应该如何选业绩比较基准？——后明星时代公募基金研究系列之六

Core Viewpoint - The article discusses the implications of the China Securities Regulatory Commission's "Action Plan for Promoting the High-Quality Development of Public Funds," particularly focusing on the constraints of performance benchmarks for fund managers and the potential impact on their investment strategies and fee structures [1]. Group 1: Market Overestimation of Active Equity Funds' Underperformance - The market has overestimated the proportion of active equity funds that will underperform their benchmarks by 10% from 2022 to 2024, with 68.76% projected to face this issue, compared to only 1.05% from 2019 to 2021 [2]. - The first method of measuring this probability assumes fund managers do not adjust their benchmarks, which may not provide a reliable future reference due to historical negligence towards benchmarks [2]. - The second method assumes fund managers will align their benchmarks with broad indices like the CSI 800, but this also presents challenges as managers typically select benchmarks that suit their investment styles [5]. Group 2: Benchmark Selection Challenges - If fund managers choose broad indices like the CSI 300 or CSI 800 without altering their investment strategies, the probability of underperforming the benchmark by over 10% becomes uncontrollable [8]. - Fund managers face two choices: either align with broad indices and adjust their portfolios accordingly or select benchmarks that match their investment styles, effectively turning their products into "enhanced index funds" [8]. - The analysis shows that if managers select benchmarks aligned with their styles, the proportion of funds underperforming by 10% drops significantly from 47.82% to 22.34% [10][11]. Group 3: Short-Term Market Expectations - The market is currently estimating the gaps between fund allocations and benchmark indices, which may lead to short-term trading opportunities in certain sectors [19]. - Active equity funds are generally underweight in financials and traditional consumer sectors while overweight in technology and growth sectors, indicating a need for adjustments if broad indices are chosen as benchmarks [20][21]. Group 4: Benchmark Selection for Active Equity Funds - The article emphasizes the importance of selecting appropriate benchmarks for active equity funds, suggesting that the choice of benchmark should align with the fund manager's investment style rather than conforming to broad indices [29]. - Major index providers have developed a range of indices that cover various strategies, with broad indices like the CSI 300 and CSI 800 being the most commonly selected benchmarks [29][31]. - The article outlines that the characteristics of indices, such as industry distribution and stock selection methods, should be analyzed to ensure they reflect the performance of public funds accurately [40][43].