金工量化专题报告 基准库落地，工具化时代或将全面来临 中美基金基准对比与启示 核心结论 本文分析中美公募（共同）基金业绩比较基准的变迁及现状，对比中美主动 权益基金相较业绩基准的偏离幅度及其可能成因，探讨中国主动权益基金的 发展趋势。 【报告亮点】 【主要逻辑】 证券研究报告 2025 年 11 月 20 日 分析师 冯佳睿 S0800524040008 13564917688 fengjiarui@research.xbmail.com.cn 陈曼莲 S0800525070005 15992376137 chenmanlian@research.xbmail.com.cn 相关研究 主要结论一、中美主动权益基金中，分别以沪深 300 指数和标普 500 全收 益指数为基准的基金数量最多，但集中度呈现下降趋势。 当前，中美市场主动权益基金业绩比较基准均以宽基指数为主，且集中度较 高，但近 2 年呈现多样化趋势。中国市场当前约 7.24%（239 只）的主动权 益基金的基准指数不在基准库中，这部分基金或面临一定的基准调整压力。 主要结论二、中国主动权益基金偏离幅度明显高于美国，我们认为，基金销 售模式的差异以及 ...

为规范公募基金业绩比较基准的选取和使用，完善基金管理人的内部控制，保护投资者的合法权益，近日，证监会发布《公开募集证券投资基金业绩比较 基准指引（征求意见稿）》（以下简称《指引》）向社会公开征求意见。 就从基金的监管与业绩考核来看，制定《指引》是很有必要的。实际上，早在今年5月7日证监会发布的《推动公募基金高质量发展行动方案》（以下简称 《行动方案》）中也就涉及到基金业绩比较基准的问题，因为要建立与基金业绩表现挂钩的浮动管理费收取机制，而浮动管理费的收取也就离不开业绩比 较基准的确定。 比如，《行动方案》规定，基金持有人如持有期间产品实际业绩表现符合同期业绩比较基准的，适用基准档费率；明显低于同期业绩比较基准的，适用低 档费率；显著超越同期业绩比较基准的，适用升档费率。可见，浮动管理费的收取，也是需要将基金业绩与基金业绩比较基准相比较来确定的。 而在《指引》里，基金业绩比较基准又是绩效考核的重要依据。第十四条明确规定，基金管理人衡量主动管理权益类基金产品业绩时，应当加强与业绩比 较基准对比，做好业绩归因分析，科学评估超额收益质量和偏离基准情况，合理剔除指数编制、风险应对等客观因素带来的正负超额收益情况。为此， ...

- The report discusses the performance of various enhanced index funds, including the Huashang CSI 300 Enhanced Index A (166802.OF), which achieved the best performance among CSI 300 enhanced index funds last week with an excess return of 1.05% relative to its benchmark[54]. - The report highlights the performance of the China Europe CSI 500 Enhanced Index A (015453.OF), which achieved an excess return of 0.79% relative to its benchmark last week, making it the best performer among CSI 500 enhanced index funds[54]. - The China Europe CSI 1000 Enhanced Index A (017919.OF) achieved an excess return of 0.75% relative to its benchmark last week, leading the CSI 1000 enhanced index funds category[54]. - The Xin Yuan Guozheng 2000 Enhanced Index A (018579.OF) was the top performer among Guozheng 2000 enhanced index funds last week, with an excess return of 0.33% relative to its benchmark[54]. - Over the past year, the Ping An CSI 300 Quantitative Enhanced A (005113.OF) achieved the highest excess return of 12.32% among CSI 300 enhanced index funds[55]. - The Penghua CSI 500 Enhanced Index A (014344.OF) achieved the highest excess return of 19.01% among CSI 500 enhanced index funds over the past year[55]. - The Boda CSI 1000 Enhanced Index A (017644.OF) achieved the highest excess return of 29.68% among CSI 1000 enhanced index funds over the past year[55]. - The Huixianfu Guozheng 2000 Enhanced Index A (019318.OF) achieved the highest excess return of 32.22% among Guozheng 2000 enhanced index funds over the past year[55].

Group 1 - The phenomenon of style drift in A-share market is prevalent, where funds claiming to focus on consumer themes are heavily investing in technology stocks, leading to confusion regarding their actual investment strategies [1] - A specific mixed strategy fund has changed managers six times in nine years, resulting in inconsistent investment styles and poor performance during critical market events [1] - As of October 31, 2023, 63.46% of actively managed equity funds have underperformed their benchmarks over the last three years, indicating a significant issue within the fund management industry [2] Group 2 - The China Securities Regulatory Commission (CSRC) has released a draft guideline emphasizing the importance of performance benchmarks in mutual funds, stating that benchmarks should reflect the product's positioning and investment style [3] - The new regulations aim to prevent funds from changing their benchmarks arbitrarily due to manager changes or short-term market fluctuations, promoting more stable investment strategies [4] - As of October 31, 2023, 183 funds have announced changes to their performance benchmarks this year, a notable increase from 144 in the same period last year, indicating a proactive approach to comply with upcoming regulations [4] Group 3 - The selection of performance benchmarks is now strictly regulated, requiring strategy funds to use corresponding strategy indices, which aims to enhance accountability in fund management [5][6] - Funds without a clear thematic focus have more lenient requirements, but investors are advised to pay close attention to fund managers' styles and past performance when selecting these funds [7] Group 4 - Index funds are considered a safer investment option for ordinary investors due to their lower susceptibility to manager biases and more precise industry positioning [10] - Historical data shows that actively managed funds often underperform index funds over the long term, suggesting that index funds may be a more reliable choice for wealth accumulation [11]

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has released a draft guideline and operational details for public offering securities investment fund performance benchmarks, aiming to address existing issues in the industry and enhance investor trust [1][2]. Group 1: Issues Addressed - The previous performance benchmarks for funds were ineffective, leading to phenomena such as style drift and extreme concentration, which negatively impacted fund performance and investor experience [1][2]. - The lack of substantial constraints on fund investment portfolios resulted in unpredictable fund performance, with managers often making erratic investment choices [2]. Group 2: New Guidelines and Operational Details - The new guidelines require that benchmarks reflect the product's positioning and investment style, aligning with the fund's contract regarding investment goals, scope, strategies, and limits [2]. - Fund managers will face increased supervision and constraints in their investment decisions, addressing the issues of style drift and erratic investment strategies [2]. - The guidelines stipulate that fund managers' performance compensation should be directly linked to their performance relative to the benchmarks, promoting accountability [2]. Group 3: Expected Outcomes - The implementation of these guidelines is expected to enhance the stability of public fund investment behaviors and create a more predictable investment style, ultimately improving investor satisfaction [2].

Core Viewpoint - The release of the "Guidelines for Performance Comparison Benchmarks of Publicly Raised Securities Investment Funds (Draft for Comments)" and the "Operational Details for Performance Comparison Benchmarks of Publicly Raised Securities Investment Funds (Draft for Comments)" by the China Securities Regulatory Commission aims to address existing issues in the fund industry, enhancing investor trust and improving the overall investment experience [1][2][3]. Group 1: Issues in the Fund Industry - The performance comparison benchmark has previously been ineffective, leading to phenomena such as style drift, speculative investments, and poor investor experiences, which have damaged the reputation of the fund industry [2]. - Fund managers have had excessive autonomy in constructing portfolios, resulting in unpredictable investment strategies and performance [3]. Group 2: New Guidelines and Their Implications - The new guidelines require that benchmarks reflect the product's positioning and investment style, aligning with the fund's contract regarding investment goals, scope, strategies, and restrictions, which will help investors better understand product styles and expected risk-return profiles [3]. - The guidelines impose stricter oversight on fund managers' investment decisions, aiming to reduce issues like style drift and ensure accountability [3]. - Performance evaluations of actively managed equity funds will now be closely tied to the performance comparison benchmarks, with significant implications for fund managers' compensation if their performance falls below the benchmarks [3].

Core Viewpoint - The China Securities Regulatory Commission (CSRC) has released a draft guideline and operational details for public fund performance benchmarks, aiming to enhance the systematic role of performance benchmarks in the mutual fund industry and improve investor experience [1][5]. Group 1: Key Aspects of the Guidelines - The guidelines emphasize the representation role of performance benchmarks, ensuring they reflect the product's positioning and investment style, and that fund managers appoint experienced fund managers based on these benchmarks [2][3]. - The guidelines strengthen the constraint role of performance benchmarks by requiring fund managers to establish a comprehensive control mechanism covering benchmark selection, disclosure, monitoring, and accountability [2][3]. - The guidelines outline the evaluation role of performance benchmarks, mandating fund managers to create a performance assessment system linked to fund investment returns and to adjust compensation based on long-term performance relative to benchmarks [3][4]. Group 2: Industry Impact - The new regulations address existing issues in the mutual fund market, such as style drift and short-term ranking chasing, which have led to a disconnect between fund profitability and investor returns [5][6]. - The guidelines are expected to promote high-quality development in the mutual fund industry by providing a clear performance measurement standard, thereby enhancing product positioning and preventing style drift [6][7]. - Fund managers are required to select benchmarks that align with product investment strategies, which will encourage more prudent investment behaviors and a focus on long-term performance [7][8]. Group 3: Investor Guidance - The guidelines aim to enhance the clarity and specificity of performance benchmarks, helping investors understand product characteristics and form reasonable return expectations [8][9]. - Investors are encouraged to focus on long-term operations and strategy execution rather than short-term fluctuations, fostering a healthier investment culture [8][9]. - The guidelines are seen as a foundation for transforming wealth management from a sales-driven approach to a more advisory-focused model, with reliable performance benchmarks serving as a core basis for fund selection and portfolio construction [9].

Core Insights - Over 180 funds have adjusted their benchmarks as of October 31, moving towards clearer investment strategies and styles, with a notable shift from broad indices to more specific industry indices [1][2][3] - The new guidelines for performance benchmarks aim to enhance the comparability and effectiveness of fund evaluations, addressing the limitations of using price indices that do not account for dividends and reinvestment returns [1][4][5] Group 1: Benchmark Adjustments - As of October 31, 183 funds have changed their performance benchmarks since 2025, with over 70 of these changes occurring after the release of the "Action Plan for Promoting High-Quality Development of Public Funds" in May [2] - The adjustments reflect a trend towards more focused benchmarks, with many funds transitioning from broad indices to specialized industry indices, such as a sports culture fund moving from the CSI 300 to the CSI Sports Industry Index [2][3] Group 2: Impact of New Guidelines - The newly introduced guidelines for performance benchmarks provide a one-year or six-month transition period for existing products that do not comply with the new rules, emphasizing the need for benchmarks to accurately reflect investment strategies and styles [1][4] - Research indicates that nearly 75% of domestic funds currently use price indices as benchmarks, which typically yield lower returns compared to total return indices due to the exclusion of dividends and reinvestment returns [4][5] Group 3: Importance of Benchmark Precision - The precision in benchmark management is crucial for improving the comparability of fund performance, as different versions of the same index can lead to significant variations in relative returns [4][6] - Analysts suggest that the focus should not only be on aligning benchmarks with investment strategies but also on ensuring that benchmarks are understandable, transparent, and representative of the market [6][7]

Core Viewpoint - The China Securities Regulatory Commission and the Asset Management Association of China have released draft guidelines to address issues of style drift and misleading practices in public offering securities investment funds [1][5]. Group 1: Regulatory Changes - The new guidelines aim to ensure that performance benchmarks accurately reflect the product's positioning and cannot be changed arbitrarily once established [5]. - Fund managers are required to create a performance evaluation system centered on fund investment returns, linking compensation management to investment performance [5][9]. Group 2: Impact on the Industry - The draft guidelines transform performance benchmarks from loose references to rigid constraints, promoting a closed-loop system of "performance, compensation, and reputation" [7]. - The new regulations provide investors with a clear standard for evaluating funds and impose strict oversight on fund companies' selection of performance benchmarks [9]. - Regulatory authorities will guide industry institutions to gradually optimize and change existing product benchmarks over a one-year transition period [9].

Core Viewpoint - The recent regulatory changes aim to enhance the binding mechanism between fund company income and investor returns, addressing long-standing issues in the fund industry, such as style drift and performance discrepancies between fund companies and investors [1][2][3] Group 1: Regulatory Changes - The China Securities Regulatory Commission (CSRC) has issued a consultation draft for performance benchmark guidelines, emphasizing the need for fund managers to establish a comprehensive control mechanism covering benchmark selection, disclosure, monitoring, correction, and accountability [1] - The guidelines also require fund managers to create a performance evaluation system centered on fund investment returns, linking compensation to these returns [1][4] Group 2: Industry Issues - The fund industry has faced criticism for significant performance volatility, where fund companies profit while investors incur losses, leading to a disparity in expectations regarding fee structures and compensation mechanisms [2][3] - Investors have expressed dissatisfaction with the current income distribution system, particularly during market downturns when fund managers continue to receive high compensation despite poor fund performance [2][3] Group 3: Future Directions - The CSRC plans to revise compensation assessment rules and refine specific indicators for evaluating fund manager performance, integrating benchmark-related assessment metrics into the regulatory framework [4] - These policy measures are expected to strengthen the alignment of fund company income with investor interests, ultimately fostering trust and attracting more long-term capital into the market [4]