Core Insights - The article emphasizes the importance of the Calmar Ratio as a key reference indicator for selecting funds, highlighting its role in assessing risk-adjusted returns [2][4]. Summary by Sections Basic Screening - The Calmar Ratio is defined as the annualized return divided by the maximum drawdown, with a higher ratio indicating better risk-adjusted returns [4]. - Initial screening can involve setting the Calmar Ratio as the first criterion, focusing on funds with a ratio greater than 1 to avoid those with unfavorable risk-return profiles [6]. - Comparing funds within the same category using the Calmar Ratio helps identify those with superior risk management and return generation capabilities [8]. - Evaluating the Calmar Ratio during bear markets can reveal funds that maintain high ratios, indicating strong risk control [10]. Advanced Analysis - Combining the Calmar Ratio with the Sharpe Ratio allows for a comprehensive assessment of a fund's risk-return characteristics, focusing on extreme risks versus daily volatility [12]. - The Calmar Ratio serves as a litmus test for assessing a fund manager's risk management skills, with a consistently high ratio reflecting a disciplined investment approach [14]. - The maximum drawdown is crucial for understanding an investor's psychological comfort level, with a higher Calmar Ratio suggesting a better holding experience [16]. Strategy Application - For systematic investment plans, prioritizing funds with high Calmar Ratios can reduce psychological stress during market downturns while ensuring decent returns during upswings [19]. - In constructing a fund portfolio, including high Calmar Ratio funds can stabilize overall portfolio performance and reduce volatility [22]. - The Calmar Ratio can help identify "pseudo" high-yield funds that may carry hidden risks, allowing investors to avoid those with unsustainable returns [24]. - Regular monitoring of the Calmar Ratio for held funds can provide early warnings of deteriorating risk-return profiles, prompting timely adjustments [27].

Core Viewpoint - Index-enhanced funds are designed to provide a balance between the ease of index investing and the potential for higher returns than the market average [1] Group 1: Mechanism of Index-Enhanced Funds - Index-enhanced funds aim to achieve returns that exceed a specific index through a combination of active management and quantitative strategies, seeking to outperform the index by losing less in downturns and gaining more in upturns [2] - The returns of index-enhanced funds can be divided into two components: β returns (market returns) and α returns (excess returns) [3] Group 2: Performance Data - Historical data indicates that index-enhanced products have consistently outperformed the index, achieving significant excess returns over time [4] - From 2010 to 2024, the average return of the CSI 300 enhanced funds has consistently surpassed that of the CSI 300 index, with a cumulative excess return exceeding 67% [5][6] Group 3: Market Context - The potential for obtaining excess returns in the A-share market is greater compared to overseas markets, primarily due to a higher proportion of individual investors in China, leading to more significant valuation fluctuations [7] - Given the current market conditions, index-enhanced products may be more suitable for ordinary investors seeking excess returns compared to passive index products [7]