1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The market overestimates the proportion of active equity funds underperforming their benchmarks. Selecting a benchmark that matches the fund manager's style can significantly reduce the proportion of funds with performance 10% lower than the benchmark [3][19] - The S&P 500 is the most widely - chosen benchmark for active equity funds in the US, and Russell style indices are also highly recognized [24][25] - In the short - term, banks, non - banks, and food and beverage are under - allocated industries, while electronics, media, and machinery are over - allocated industries. Active equity funds in Hong Kong still prefer growth - oriented industries [3][38][43] - When selecting a performance comparison benchmark, factors such as index style suitability, market recognition, stability, investment opportunities, and long - term viability should be considered [3] 3. Summary According to the Table of Contents 3.1 Market Overestimates the Proportion of Active Equity Funds Underperforming Their Benchmarks 3.1.1 Problems of Directly Selecting Broad - based Indices as Benchmarks - The two simple calculation methods currently used in the market may not have reference value for the future. The data on the proportion of funds underperforming benchmarks in the past has randomness and cannot reflect the true ability of active equity funds [10][11] - If fund managers choose broad - based indices as benchmarks without changing their investment strategies, the probability of their performance being more than 10% lower than the benchmark in three years is uncontrollable. Selecting a benchmark that matches the investment style is more important [16][19][20] 3.1.2 Benchmarks Used by Overseas Active Equity Funds - In the US, the S&P 500 is the most widely - chosen benchmark, with a scale proportion of over 40% in all active products investing in the US. Russell style indices such as Russell 1000 Growth and Russell 1000 Value are also highly recognized [24][25] - Different types of US active funds have different benchmark selection preferences. For example, the S&P 500 is commonly chosen for large - cap core products, while Russell 2000 is dominant in small - cap core products [26] 3.2 Short - term Market Transaction Expectations 3.2.1 Industry and Stock Dimensions: Under - allocation of Finance and Traditional Consumption, Over - allocation of Technology and Growth - Balanced style funds under - allocate non - banks, banks, and food and beverage, and over - allocate media, automobiles, and machinery. Growth style funds under - allocate food and beverage, transportation, and public utilities, and over - allocate electronics, power equipment, and machinery. Value style funds under - allocate banks, non - banks, and building decoration, and over - allocate power equipment, real estate, and pharmaceutical biology [33][34][35] - Different industry - themed funds also have different over - and under - allocation situations. Overall, banks, non - banks, and food and beverage are industries with large under - allocation amounts, while electronics, media, and machinery are industries with large over - allocation amounts [38] 3.2.2 Hong Kong Stock Allocation: Over - and Under - allocation Relative to the Hang Seng Index - In Hong Kong stocks, under - allocated industries include banks, non - banks, and commerce and retail, while over - allocated industries include pharmaceutical biology, media, and electronics. Active equity funds in Hong Kong still prefer growth - oriented industries [43] 3.3 How to Select Performance Comparison Benchmarks for Active Equity Funds 3.3.1 Indices Currently Issued by Mainstream Index Companies - Active equity funds commonly choose broad - based indices, industry - themed indices, and SmartBeta products as performance comparison benchmarks. The top 5 most - tracked indices are usually broad - based indices such as the CSI 300, CSI 800, Hang Seng Index, CSI 500, and CSI Hong Kong Stock Connect Composite [46] - Mainstream index companies issue three types of indices: broad - based indices, SmartBeta indices, and industry - themed indices, covering multiple markets and strategies [49] 3.3.2 Indices More Likely to Generate Excess Returns - Three factors affect a fund's excess returns: investment ability, investment breadth, and investment opportunities. Indices with wider coverage and more investment opportunities can generate higher excess returns, but their Beta may be weaker [53][57] 3.3.3 How to Select Broad - based Indices - From multiple perspectives such as industry allocation deviation, standard deviation of component stock returns, and stock - selection tolerance, the CSI A500 index is more in line with the investment styles of most fund managers [61]

Core Viewpoint - The article invites participants to the "First Global Yiyang Trading Forum" in Shanghai, focusing on uncovering excess returns in a volatile market environment in 2025, emphasizing the unique investment opportunities arising from China's market reforms and technological innovations [1][2]. Group 1: Macro Perspective - Experts will analyze the asset rotation rhythm under the divergence of global central bank policies and geopolitical risk pricing models [2]. - The forum will cover a framework for major asset allocation against the backdrop of narrowing China-US interest rate differentials [2]. Group 2: Stock Market Insights - A private equity leader with over 20 years of experience will reveal a quantitative identification system for industry rotation in high-volatility environments [2]. Group 3: Futures Market Analysis - Commodity futures experts will discuss trend-following opportunities amid global supply chain restructuring and risk position management strategies during extreme market conditions [2]. Group 4: Options Trading Strategies - Experienced traders will analyze arbitrage opportunities within volatility surface distortions and teach techniques for capturing cross-market volatility premiums [2]. - A practical workshop on "Multi-Asset Linked Trading" will be conducted, focusing on integrated hedging strategies involving stocks, futures, and options [2]. Group 5: Event Details - The forum is scheduled for May 24, 2025, at the Star River Bay Hotel in Shanghai, accommodating 1,000 participants [5]. - The event is organized by Super Trader and Fudan Qiushi Wealth Forum, with support from various financial institutions [4].

Group 1 - The core viewpoint of the news is that the new performance benchmark assessment for public funds has led to increased attention on bank stocks, as funds need to outperform the CSI 300 index to avoid penalties [1][3] - Bank stocks have seen a significant rise, contributing to the Shanghai Composite Index breaking through 3400 points, indicating a potential shift in fund allocations towards large financial institutions [1][3] - The argument that public funds will buy bank stocks due to performance concerns is considered flawed, as many fund managers aim to outperform the market and have historically not relied on bank stocks for excess returns [3][4] Group 2 - The current valuation of large bank stocks is relatively high, and buying them to meet performance benchmarks could be seen as a risky move for fund managers [3] - The new assessment criteria, which focus on a three-year performance period rather than annual assessments, allow funds to adopt a more strategic approach to investment without immediate pressure [4] - The intrinsic nature of active equity funds is to generate excess returns while managing risks, and deliberately investing in bank stocks to meet benchmarks could diminish the value proposition of these funds for investors [4]

Summary of Conference Call Notes Industry Overview - The conference call discusses the construction materials industry, particularly focusing on cement and glass products, amidst recent monetary policy changes by the central bank [1][2]. Key Points and Arguments - **Monetary Policy Impact**: The central bank announced a 0.5% reduction in the reserve requirement ratio and a 0.1% decrease in policy interest rates, expected to inject approximately 1 trillion yuan into the market [3]. - **Cement Market Performance**: As of May 9, the national cement shipment rates were reported at 48%, with regional rates in East and South China at 52% and 54% respectively, showing a month-on-month decline of 1.5%, 0.9%, and 7.2 percentage points [1]. - **Price Trends**: The average price of cement decreased by 4.5 yuan per ton to 387 yuan per ton, marking a 15 yuan drop since early April [1]. - **Glass Market Update**: The average price of float glass was reported at 1318 yuan per ton, down 14 yuan from the previous week, with inventory levels at 58.17 million heavy boxes, an increase of 3.4% [1]. - **Fiber Market**: The average price of alkali-free glass fiber yarn in East China was 3650 yuan per ton, down 50 yuan from before the May Day holiday [1]. Investment Opportunities - **Excess Return Potential**: Historical data suggests that the construction materials sector has a high probability of achieving excess returns compared to the CSI 300 index when the real estate market shows signs of stability and improvement [3][4]. - **Real Estate Market Indicators**: As of April 28, the second-hand housing price index for first and second-tier cities was 196.84 and 145.02 respectively, indicating a stabilization trend. Notably, the investment amount from 30 monitored real estate companies reached 87.6 billion yuan in April, a year-on-year increase of nearly 100% [3]. Recommended Investment Lines - **Main Line One**: Focus on large-scale construction materials with improving supply-demand dynamics, emphasizing price elasticity and high dividend yields [5]. - **Main Line Two**: Favorable outlook on leading consumer building material companies with long-term growth potential, highlighting performance elasticity in high-demand consumer segments [7]. - **Main Line Three**: Interest in companies transitioning or expanding into high-growth sectors such as semiconductors, AI, and robotics [7]. Recommended Companies - **Cement Companies**: Conch Cement, Huaxin Cement, China Jushi, TPI Cement, Shangfeng Cement, Changhai Co. [6]. - **Consumer Building Materials**: Sankeshu, Oriental Yuhong, Beixin Building Materials, Weixing New Materials, Tubao, with a focus on Jianlang Hardware, Qinglong Pipeline, and Longquan Co. [7]. - **High-Growth Companies**: Quartz Co., Planet Graphite, with attention to Zhongqi New Materials [8]. Risk Factors - Potential risks include demand falling short of expectations, gross margins not meeting forecasts, and delays in receivables [8].

近期，指数增强基金走势火热，今年以来已有超七成指数增强基金，收益跑赢跟踪的标的指数。指数增强基金是什么？如何投资呢？ 有业内人士表示，指数增强基金适合有一定风险承受能力的投资者，波动性较大的指数可能更容易获得超额收益。而指数的成分股越 少、行业区别越小，相关指数增强基金越难实现超额收益。 指数增强基金有望实现超额收益管理费相对高 普通指数基金主要是复制跟踪指数构建投资组合，而指数增强基金，会将80%的资金投资标的指数的成分股，而剩下的20%资金会由基 金经理和投资团队采用精选个股等策略，力争增厚产品收益。 成分股越少、行业区别越小越难实现超额收益 记者采访了解到，指数增强基金实现超额收益，整体成分股数量越少越难做，成分股行业区别越小越难做。"例如银行指数，由于银行 和银行之间区别较小，非常难做增强，而科技指数就相对更好做增强。"有公募基金业内人士指出。 有公募基金业内人士指出，通常情况下，中证1000指数增强型基金的平均超额收益大于中证500指数增强型基金，而中证500指数增强型 基金的平均超额收益又大于沪深300指数增强型基金。 李一鸣表示，波动性较大的指数可能更容易获得超额收益，基金经理可以通过把握个股波 ...

Group 1 - The scale of passive equity index funds in China reached 3.96 trillion yuan in 2024, surpassing active equity funds at 3.44 trillion yuan, marking a significant shift towards index investing [1] - The total scale of stock ETFs exceeded 2.9 trillion yuan, indicating the rapid growth of the index market [1] - Institutions are increasingly focusing on index-enhanced funds, with major distribution platforms shifting their business strategies towards these products [1] Group 2 - The demand for index-enhanced funds is expected to grow, as they combine the advantages of index and active funds, catering to investors seeking both passive investment and excess returns [2] - As of the end of Q3 2024, the scale of domestic index-enhanced funds surpassed 230 billion yuan, with a significant increase in the number of new issuances this year [2] - Over 78% of index-enhanced funds have outperformed their benchmarks this year, with the CSI A500-related index-enhanced funds becoming particularly popular among investors [2]

Core Viewpoint - The rapid growth of passive equity index funds in China indicates a shift towards an index-driven investment era, with passive funds surpassing active funds in scale for the first time. Group 1: Market Trends - By 2024, the scale of passive equity index funds reached 3.96 trillion yuan, exceeding active equity funds at 3.44 trillion yuan, with stock ETFs surpassing 2.9 trillion yuan [1] - The increasing effectiveness of the market has made it more challenging for active funds to achieve excess returns, leading to a growing preference for index funds due to their lower management fees and significant cost advantages over the long term [2] - Institutional investors are increasingly favoring index funds, with a reported 57% of index equity fund holdings attributed to institutional investors, which is shifting market pricing power towards passive instruments [2] Group 2: Investor Behavior - Ant Financial's stock index fund has surpassed 320 billion yuan in scale, with over 11 million investors participating in index fund regular investment plans, averaging a holding period of 1,239 days [3] - The average return for investors in Ant Financial's index funds was 4.14% in 2024, reflecting the growing popularity and acceptance of index investing among retail investors [3] Group 3: Future Opportunities - The demand for index-enhanced funds is expected to grow, as they combine the benefits of index funds and active management, catering to investors seeking both passive investment and excess returns [4] - As of Q3 2024, the scale of domestic index-enhanced funds exceeded 230 billion yuan, with over 78% of these funds outperforming their benchmarks this year [4] - The potential for excess returns in the A-share market remains significant, with the focus shifting towards the sustainability and stability of these returns over the long term [4][5]

Core Insights - The recent trend among public funds shows a significant reduction in stock concentration, indicating a shift in investment strategy due to increased market complexity and external uncertainties [1][2][4]. Group 1: Fund Behavior - Many funds, such as Penghua Carbon Neutral Theme A, have reduced their heavy stock holdings from 63% at the end of last year to 44% by the end of the first quarter [1]. - The reduction in stock concentration suggests that fund managers are finding it challenging to identify clear investment themes, especially after substantial gains in sectors like technology and robotics [2][4]. Group 2: Market Conditions - The market has become more difficult to navigate, with fewer emerging themes compared to the previous quarter, leading to a cautious approach from fund managers [2][4]. - Increased external uncertainties have made high stock concentration riskier, prompting funds to diversify their holdings to mitigate potential negative impacts on net asset values [2][4]. Group 3: Investment Strategy Implications - Investors should adjust their return expectations in light of the funds' reduced concentration, as this reflects a defensive strategy aimed at maintaining net value stability [4][5]. - The current market environment suggests a preference for index funds and defensive mixed funds, which typically offer better risk management compared to concentrated funds [6].

超额（相对）收益与绝对收益真的是不可兼得的鱼和熊掌吗？长期主义者会给出不一样的答案——可持续 的超额（相对）收益本质上是绝对收益的时间积分形态。 物理学家费曼说："量子力学之所以难以理解，是因为我们总用经典世界的语言描述它。"资本市场同样如 此——当投资者用线性思维理解非线性的收益获得机制，必然陷入认知困境，如粒子位置与动量不可同时 精确测定一样。 在投资领域同样存在"风险、收益、可持续性"的不确定性三角 ： ★ 宣称高绝对收益者，往往承受隐性尾部风险（长期资本管理公司的陨落）； ★ 标榜可持续性者，常以牺牲收益锐度为代价（固定收益类产品的平庸回报)； ★ 追求超额收益者，难逃时间维度的均值回归（连续跑赢市场的主动管理基金数量了了）。 对投资者而言，就像一场在迷雾中前行的冒险，收益的测不准性让投资领域充满了悬念与变数，许多投资 者陷入"超额（相对）收益与绝对收益对立"的思维困境。 这并非文字游戏，而是数学规律的必然。当某组合每年以2%的幅度持续跑赢标普500指数，30年后的累计 超额收益将高达81.1%，相当于在美股百年长牛的贝塔地基上，用阿尔法的复利魔法建造出一座收益金字 塔。 历史反复验证：当管理人以长期 ...

对于不少投资者而言，量化投资像是个带着神秘色彩的"黑匣子"。近年来，随着量化投资的蓬勃发展及人 工智能的加持，越来越多的投资者开始主动关注、理解这类投资策略。 但对于不同的基金经理，量化工具发挥的作用并不相同。本期，我们邀请中泰证券资管量化公募部总经理 李玉刚做客直播间，就以下问题进行解答。 李玉刚 我们可以把投资当作认知跟决策的一个分支，大家经常说投资是认知的变现。说到对投资的评 价，首先要知道投资是一个属于不确定性的领域的游戏， 在这样的游戏中，我们更应该关注过程，而不 是注重结果 。 主播 为什么？作为投资者，肯定是关注收益的。 李玉刚 对，但短期的收益是受很多因素影响。短期好的结果，不代表整个过程是好的。从长期来说，我 们知道长期投资收益来源于较高质量的决策过程，这是一个前提。 主播 也就是说长期的收益不是短期收益积累来的。 李玉刚 它不是简单加权的过程。比如一只股票可能长期表现不好，或处于下跌状态，但投资这只股票的 收益，在这种不确定性领域的收益，不是时间的加权（通过时间简单累积收益），这点是比较明显的。 讨论这个问题，大家应该接受一个前提，就是在投资上，尤其是注重长期收益的投资者，我们更应该关注 ...