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【公募基金】低波策略持续录得超额,波动行情下优势尽显——公募基金量化遴选类策略指数跟踪周报(2025.04.20)
华宝财富魔方· 2025-04-22 10:53
Investment Insights - A-shares have rebounded after tariff impacts, but the momentum has weakened, with the CSI All Share Index rising 0.3% this week, while the CSI Active Equity Fund Index fell 0.23% [1] - The Evergreen Low Volatility Strategy continues to benefit from volatile markets, gaining 0.87% this week and recording excess returns of 1.1% [1] Quantitative Strategy Allocation - The Evergreen Low Volatility Strategy is favored over overseas equity strategies and enhanced equity strategies due to its performance during recent market volatility [2] - Defensive sectors, such as dividend styles, have performed well, and the Evergreen Low Volatility Strategy has accumulated excess returns during this period [2] - The overseas market has priced in most tariff impacts, and with a potential easing of tensions, there may be short-term opportunities for investors with low overseas exposure [2] Fund Strategy Performance - The Evergreen Low Volatility Fund Strategy recorded a return of 0.873% this week, with excess returns of 1.103%, demonstrating strong stability since February 2025 [3] - The Enhanced Equity Fund Strategy also rose by 0.345% this week, with excess returns of 0.575%, but its performance may improve as market conditions evolve [3] - The Cash Growth Fund Strategy achieved a return of 0.031%, outperforming the benchmark, with cumulative excess returns of 0.384% since its inception [3] Overseas Equity Fund Strategy - The overseas equity allocation strategy rebounded with a return of 3.463% this week, despite ongoing concerns in the U.S. market [4] - The U.S. economy has not shown significant signs of recession, and technological advancements may drive a new market cycle [4] Fund Performance Summary - Evergreen Low Volatility Fund Strategy: 0.873% this week, -3.214% over the past month, 6.563% year-to-date [5] - Enhanced Equity Fund Strategy: 0.345% this week, -5.363% over the past month, 6.080% year-to-date [5] - Cash Growth Fund Strategy: 0.031% this week, 0.146% over the past month, 3.389% year-to-date [5] - Overseas Equity Fund Strategy: 3.463% this week, -5.819% over the past month, 18.540% year-to-date [5] Fund Strategy Construction - The Evergreen Low Volatility Fund aims to select funds with long-term stable returns, focusing on low volatility and drawdown characteristics [6][16] - The Enhanced Equity Fund seeks to identify funds with strong alpha generation capabilities, aiming for higher returns in improving market conditions [8][18] - The Cash Growth Fund focuses on selecting high-yield money market funds to optimize short-term cash management [10][19] - The Overseas Equity Allocation Fund utilizes momentum and reversal factors to select international equity indices for diversified investment [12][20]
公募基金量化遴选类策略指数跟踪周报(2025.04.20):低波策略持续录得超额,波动行情下优势尽显-20250422
HWABAO SECURITIES· 2025-04-22 07:16
Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - A-shares rebounded after the tariff shock, but the continued rebound momentum weakened this week. The CSI All-Share Index rose slightly by 0.3%, while the CSI Active Equity Fund Index, representing fund performance, declined slightly by 0.23%. The Evergreen Low-Volatility Strategy continued to benefit from the volatile market, rising 0.87% this week and recording an excess return of 1.1% [3]. - The quantitative strategy allocation preference is: Evergreen Low-Volatility Strategy > Overseas Equity Strategy > Equity Fund Enhancement Strategy. The Evergreen Low-Volatility Strategy in A-shares is expected to have higher cost-effectiveness and is suitable for a defensive and offensive strategy. Overseas, the US stock market may be near a short-term bottom, and investors with low overseas positions can consider appropriate layout. In the long term, the US stock market is still optimistic [4]. - Among equity fund strategies, the Evergreen Low-Volatility Fund Strategy rose by 0.873% and recorded an excess return of 1.103%. The Equity Fund Enhancement Fund Strategy also rose, with a return of 0.345% and an excess return of 0.575%. The Cash Enhancement Fund Strategy achieved a return of 0.031%, better than the benchmark. The Overseas Equity Allocation Fund Strategy rebounded, recording a return of 3.463%. Global investment still has strong diversification value [5][6]. Summary by Directory 1. Toolized Fund Portfolio Performance Tracking - **1.1 Evergreen Low-Volatility Fund Portfolio**: It has maintained low volatility characteristics for a long time, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has achieved significant excess returns, demonstrating both defensive and offensive capabilities [14]. - **1.2 Equity Fund Enhancement Fund Portfolio**: The strategy has been running for a short time, and its performance is similar to the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves and can maintain a similar trend to the benchmark in a weak market [17]. - **1.3 Cash Enhancement Fund Portfolio**: After double screening of risk elimination and scoring optimization, it has continuously outperformed the benchmark. Since the strategy started at the end of July 2023, the cumulative excess return has exceeded 0.29%, providing a reference for investors in cash management [18]. - **1.4 Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the drive of artificial intelligence on global technology stocks, it has accumulated a high level of excess returns. Global allocation can enhance the returns of equity portfolios [21]. 2. Toolized Fund Portfolio Construction Ideas - **2.1 Evergreen Low-Volatility Fund Portfolio**: The strategy aims to select funds with long-term stable returns from high-equity-position actively managed funds. By adding restrictions on fund valuation levels, it constructs an actively managed equity fund portfolio with low volatility characteristics from both the net value performance and position characteristics dimensions [26]. - **2.2 Equity Fund Enhancement Fund Portfolio**: The strategy aims to further meet the needs of equity fund investors with different risk preferences. It constructs a portfolio with a higher risk - volatility level and offensive capabilities by digging into fund managers with stronger Alpha - mining capabilities in actively managed equity funds [27]. - **2.3 Cash Enhancement Fund Portfolio**: Based on multi - dimensional characteristic factors of money market funds, it constructs a money market fund screening system to help investors optimize the returns of short - term idle funds and reduce return volatility risks [23][28]. - **2.4 Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, it constructs an overseas equity allocation fund portfolio by using long - term momentum and short - term reversal factors to select appropriate QDII funds, providing an auxiliary tool for investors to expand global investment [25][29].
【公募基金】常青低波策略逆市获正收益,海外避险情绪或近尾声——公募基金量化遴选类策略指数跟踪周报(2025.03.30)
华宝财富魔方· 2025-04-01 10:16
Group 1 - The core viewpoint of the article highlights the performance of the A-share market, which has shown some support after a pullback from high levels, with the Shanghai Composite Index fluctuating around 3370, indicating a cautious market sentiment [2][3] - The article discusses the strong performance of heavyweight stocks and related industries, which have provided significant support to the index during this volatile period, while the semiconductor and technology sectors have seen a decrease in momentum [3][4] - Concerns about the U.S. economy's stagnation have increased following the release of economic data such as the PCE, leading to a significant pullback in U.S. stocks, with the market remaining sensitive to negative news and risk factors [2][4] Group 2 - The article outlines a quantitative strategy allocation perspective, favoring the Evergreen Low Volatility Strategy over overseas equity strategies and enhanced equity fund strategies, indicating a preference for defensive investment approaches in the current market environment [3][5] - The Evergreen Low Volatility Fund Strategy has recorded a positive return of 0.087% despite the overall market decline, demonstrating its defensive attributes and stability in performance [5][20] - The Cash Management Fund Strategy has achieved a return of 0.033%, outperforming the benchmark, and has accumulated excess returns since its inception [6][20] Group 3 - The article emphasizes the importance of constructing a tool-based fund combination to meet the diverse needs of investors in different market environments, utilizing quantitative methods to select funds with low volatility characteristics [9][11] - The Overseas Equity Allocation Fund Strategy is highlighted as a crucial tool for global asset allocation, focusing on selecting QDII funds based on long-term momentum and short-term reversal factors [10][14] - The performance tracking of various fund combinations indicates that the Evergreen Low Volatility Fund has maintained its low volatility characteristics while achieving significant excess returns since its strategy launch [16][21]
【公募基金】低波策略回撤控制能力占优,海外避险情绪持续高涨——公募基金量化遴选类策略指数跟踪周报(2025.03.02)
华宝财富魔方· 2025-03-04 12:05
Investment Insights - The equity market experienced a rise followed by a decline, with A-shares showing significant pullback starting Friday, indicating a potential pause in the previously heated "spring offensive" [1] - The overall equity market fell by 2.53% for the week, while the Zhongzheng Active Equity Fund Index dropped by 2.70%. In contrast, the Evergreen Low Volatility strategy showed resilience with only a slight decline of 1.13% [1] - The U.S. stock market continued to exhibit risk-averse sentiment, experiencing a notable pullback, although a rebound occurred on Friday. Concerns regarding risk factors remain unresolved [1] Quantitative Strategy Allocation - The recommended strategy hierarchy is Evergreen Low Volatility Strategy > Overseas Equity Strategy > Enhanced Equity Strategy [2] - A cautious stance is maintained for the A-share market in the short to medium term, with the Evergreen Low Volatility strategy showing effectiveness early in the week. Attention is drawn to potential overheating risks in the technology growth sector [2] - Defensive sectors, such as banks, remain attractive for long-term investment despite recent underperformance, especially as the market approaches key political events [2] Overseas Market Analysis - The U.S. stock market has been in a prolonged range-bound phase since December, with recent risk factors leading to heightened risk-averse sentiment and a continued pullback [3] - Despite short-term uncertainties, some quality companies have reached attractive valuation levels, presenting potential investment opportunities [3] - The Evergreen Low Volatility Fund strategy recorded a weekly decline of 1.127%, outperforming the benchmark with an excess return of 1.572% [3] Fund Strategy Performance - The Evergreen Low Volatility Fund has demonstrated strong stability since its inception, maintaining low volatility and drawdown levels while achieving decent returns [4] - The Enhanced Equity Fund strategy has shown a close performance to the benchmark, with potential for stronger returns as market conditions improve [4] - The Cash Growth Fund strategy achieved a return of 0.032%, outperforming the benchmark, with cumulative excess returns since inception [4] Global Investment Strategy - The Overseas Equity Allocation Fund strategy recorded a decline of 2.217%, influenced by various market disturbances, but still holds potential for future growth as the U.S. economy remains stable [5] - The strategy aims to provide diversified global investment opportunities, particularly in the context of ongoing technological advancements and economic conditions [5] Fund Performance Tracking - The Evergreen Low Volatility Fund strategy has maintained a return of 7.158% since its inception, significantly outperforming the Zhongzheng Active Equity Fund Index [15] - The Enhanced Equity Fund strategy has shown a return of 8.016% since inception, indicating strong potential for future performance [15] - The Cash Growth Fund strategy has accumulated an excess return of over 0.29% since its launch, providing effective cash management solutions [19]
公募基金量化遴选类策略指数跟踪周报(2025.03.02):低波策略回撤控制能力占优,海外避险情绪持续高涨
HWABAO SECURITIES· 2025-03-04 10:05
Market Performance - The equity market experienced a decline of 2.53% overall for the week, with the CSI Active Equity Fund Index dropping by 2.70%[2] - The Changqing Low Volatility strategy showed resilience, only decreasing by 1.13%, effectively reducing portfolio volatility during market fluctuations[2] Strategy Recommendations - The recommended strategy hierarchy is: Changqing Low Volatility Strategy > Overseas Equity Strategy > Equity Fund Enhancement Strategy[3] - Despite short-term caution in the A-share market, the long-term investment logic in dividend-related defensive sectors remains unchanged, suggesting high cost-effectiveness post-correction[3] Fund Performance - The Changqing Low Volatility Fund Strategy recorded a weekly return of -1.127%, outperforming its benchmark by 1.572%[5] - The Equity Fund Enhancement Strategy saw a return of -1.253%, indicating a smaller drawdown compared to previous strong-performing sectors[6] Overseas Market Insights - The Overseas Equity Allocation Fund Strategy reported a decline of -2.217%, influenced by high volatility in the U.S. stock market due to various risk factors[7] - Despite short-term uncertainties, the long-term outlook for U.S. stocks remains positive, driven by technological advancements and economic stability[4] Cash Management - The Cash Growth Fund Strategy achieved a return of 0.032%, consistently outperforming the benchmark CSI Money Market Fund Index[7] - Cumulatively, the Cash Growth Fund has generated an excess return of 0.352% since its inception[7]
公募基金量化遴选类策略指数跟踪周报(2025.02.16):常青低波优势初显,关注低波策略短期抗风险优势-20250319
HWABAO SECURITIES· 2025-02-18 09:18
Group 1 - The report highlights the short-term risk resistance advantage of low-volatility strategies, particularly the Changqing Low-Volatility Fund strategy, which has shown strong performance in a volatile market environment [3][4][6] - The report indicates that the U.S. stock market is currently influenced by inflation-related economic data and tariff policies, with the Nasdaq 100 futures reaching new highs [3][5] - The report suggests a cautious stance on the A-share market in the short to medium term, while recommending a shift from high-volatility strategies to low-volatility strategies due to better cost-effectiveness [4][6] Group 2 - The Changqing Low-Volatility Fund strategy recorded a positive return of 1.338% this week, demonstrating strong stability and performance amid market fluctuations [6][17] - The report notes that the Cash Growth Fund strategy achieved a return of 0.032%, outperforming the benchmark, indicating effective cash management [7][24] - The Overseas Equity Allocation Fund strategy has accumulated significant excess returns since its inception, benefiting from the global technology sector's growth and the Fed's interest rate policies [7][26]