中金：主动权益基金超额收益的“纵”与“横”

Core Viewpoint - The article discusses the performance of active equity funds compared to index products, highlighting the significant excess returns achieved by active funds in 2025, while also addressing concerns about their ability to maintain this performance amid market fluctuations and new regulatory guidelines [2][5][9]. Temporal Dimension: Predicting Active Equity Excess Returns - Three main logical lines are identified to predict active equity excess returns, leading to the development of six predictive indicators: 1. Investment Theme and Institutional Pricing Power: Indicators such as tracking error differentiation (TE-S) and active equity holding concentration (HHI) show long-term predictive capabilities [3][16]. 2. Active Risk Amplification Reflects Stronger Confidence: The month-on-month change in tracking error (TE-MDQ) serves as a short-term predictor, indicating that increased tracking error often correlates with fund managers' confidence in market conditions [3][17]. 3. Market Trading Sentiment: Indicators like market movement (MMT) and trading volume (AMT) have long-term predictive effects, while implied volatility (VIX) is effective in the short term [3][18]. - A short-term timing model using TE-MDQ, MMT, and VIX predicts that active equity will outperform the index by 2.33% in Q4 2025, with a historical accuracy of 69% [3][26]. - A long-term timing model using AMT and TE-S predicts that active equity will underperform the index by 6.49% from Q4 2025 to Q3 2026, also with a 69% historical accuracy [3][29]. Cross-Sectional Dimension: Selecting Active Equity Funds - Two effective selection factors for predicting future performance of active equity funds are identified: long-term information ratio (INFO_LONG) and tracking error change level (TRACK_D) [4][34]. - An optimal active equity fund portfolio, adjusted quarterly, shows an annualized return of 11.1% from Q1 2016 to Q3 2025, outperforming the benchmark by 3.6% [4][43]. - The portfolio has a maximum drawdown of -35.4%, better than the benchmark's -45.4%, with an annual turnover rate of approximately 2.2 times and an 80% annual win rate [4][44].