Basic ETF: (1) In recent years, China's ETF market has developed rapidly. Since 2004, the first 50ETF in Shanghai Stock Exchange has gradually covered topics, industries, cross-border, bonds, gold and other varieties. As of May 20, 2024, 952 ETFs had been listed, with the scale exceeding RMB 2.50 trillion. Equity ETFs, cross-border ETFs, bond ETFs, commodity ETFs, and currency ETFs accounted for 73.62%, 13.02%, 4.05%, 1.95%, and 7.33% of the total net assets respectively. The top three ETFs reported in the fourth quarter of 2023 are:
Huaxia Fund, E Fund, Huatai Berry Fund. (2) The comparison of excess performance between active funds and passive index funds: active funds are more aggressive when the market performance is good because their positions are relatively concentrated, while passive funds are more defensive when the market performance is poor because their positions are relatively dispersed.
ETF screening: (1) First of all, investors need to understand their investment needs and risk preferences. Generally speaking, as the proportion of equity assets increases, the returns and risks are relatively larger. Conversely, as the proportion of bond assets increases, the risks and returns are relatively smaller. For example, in the range of January 1, 2013 to 2024/5/20, the risk and return of the common stock fund index (annualized yield 10.29%, annualized Sharpe ratio 0.48, maximum pullback - 48.47%) are higher than those of the bond fund index (annualized yield 5.06%, annualized Sharpe ratio 1.27, maximum pullback - 5.00%). (2) And then focus on ETF investment risk, ETF liquidity and tracking effect. In this paper, we align the same category in the screening, and consider the scale and tracking error since its establishment to formulate a representative ETF.
Advanced ETF: (1) Asset allocation strategy: The macro environment will affect the pricing of different types of assets. Investing in a single asset with higher risk return will bring high volatility and affect the sense of experience of holding. The core purpose of diversification is to reduce risk and volatility with various low correlation assets under the given expected return rate. For example, from January 1, 2010 to February 29, 2024, 2010, the linear correlation between gold and stocks and bonds was low, so the three became important tools for asset allocation, and the measured varieties were ETFs linked to corresponding indexes. In the range of 2019/1/2-2024/5/21, the risk parity was high allocated on bonds with lower risk assets, and the Sharpe ratio was 0.79. The equal weight of the control group fluctuated more, with Sharpe's ratio of 1.08. (2) "Core satellite" strategy: "core" is the main body that meets the demand for risk and return, and "satellite" enhances the return and diversifies the risk in the form of subsidiary. Here, a fixed 50% is used for "satellite". After standardized treatment according to the changes in the CITIC Level I industry of the fund's heavy position stocks, at the end of the quarter, the positions will be adjusted at 4/30, 7/31, 10/30, 2/1, 2019/4 - 30 - 2024/5/21 intervals, The Sharpe ratio of core satellite simulation results is 0.24. It is worth noting that the past performance of the index does not represent the future, and the results are only simulation calculation verification, not investment suggestions.
Risk tips: (1) The report data are all from the collation and analysis of historical public data, and the fund's thematic perspective cannot guarantee its applicability to the future. (2) Market environment, industry structure, fund companies, fund managers and other factors may make the model invalid. (3) Domestic and foreign destocking and monetary policy process; The risk of sharp market fluctuations caused by the industrial policies that are not as expected. (4) The past performance of the fund and the historical performance of other products managed by the fund manager do not represent the future. (5) The description of the characteristics of individual stocks and funds in this article does not constitute trading advice. There are risks in the market, so investment should be cautious.
