Weekly report of FOF research: the subjective performance of each strategy's earnings decline is better than quantitative performance
Market review this week: (05.13-05.17)
In the stock market, most of the major indexes ended lower. The weekly return of Shanghai and Shenzhen 300 stock markets was 0.32%, which was larger than the decline of -0.79% and -0.19% in small and medium-sized stock markets. This week, all major style factors rose and fell by half, of which book to market ratio and profitability factor recorded significant positive returns, and beta factor and growth factor among the remaining factors dropped the most.
The commodity market closed sharply, with the South China Composite Index 2.02%. In terms of style factors, all factors closed down this week, with the most significant decline in volatility factors and liquidity factors, and the other factors only increased significantly in hedging pressure factors.
Main strategy performance and configuration suggestions:
All strategic returns declined. The quantitative bull strategy generally recorded positive excess in tracking 500 and 1000 index increase managers, which was improved compared with the previous week, and 300 index increase managers were over differentiated. At present, the market is rebounding, and the Alpha environment is generally good, but the volatility has increased. It is suggested to make a balanced allocation and pay attention to the strict managers at the risk control level.
CTA strategy performance differentiation, subjective CTA continues to be better than quantitative CTA. In tracking and quantifying CTA, the rise and fall of CTA were mixed. The average performance of managers in each cycle was differentiated. The managers in the day were relatively ahead, and the short cycle and long cycle were relatively better than the medium cycle. Timing strategy is relatively better than cross-section strategy, the term structure has been adjusted, and the quantitative performance of fundamentals is differentiated. Market neutral strategy maintains profitability. On the multi head side, the excess of 500 index increase and 1000 index increase increased to a certain extent; At the hedging end, the discount has a certain convergence, which is not conducive to neutral positions. The tracking managers generally record positive earnings, but the sustainability and stability of earnings are not high.
FOF portfolio tracking: (simulated portfolio, non firm offer products)
In the current period (2024.05.13-2024.05.20), the net value of the stable FOF portfolio 01 fund decreased from 1.1676 to 1.1671, the cumulative return in the range was -0.05%, and the maximum pullback in the range was 0.05%. The current portfolio rebounded synchronously with the equity market, and was in a net value shock cycle, with a relatively stable overall performance. Since its establishment, the annualized total return has been 6.97%, the annualized active return has been 11.66%, the Sharpe ratio has been 0.59, and the Kama ratio has been 0.77. The active return has performed well, the annualized total risk has been 6.74%, the annualized active risk has been 8.38%, and the maximum withdrawal has been 5.14%, which is better than the CSI FOF fund. The cumulative income of the product has outperformed that of the CSI FOF fund in the past three months, six months and one year since its establishment, with 75.86% of the month, 70.00% of the quarter and 66.67% of the annual performance superior to that of the CSI FOF fund.
