Fund analysis report: Sun Tzu Military Science Fund Pool 202405: significant excess of unknown returns
"Sun Tzu Art of War" fund pool steadily outperformed the partial equity fund index. In the report "Basis Selection Thought and Quantitative Expression in Sun Tzu's Art of War", we proposed six fund characteristic portfolios with relatively stable long-term excess return/absolute return, and summarized the art of war thought contained in them. As of April 30, 2024, the annualized return rate of the "Sun Tzu Art of War" fund pool is 12.89%, which is 7.06% relative to the annualized excess return of the partial equity fund index. At the same time, the annualized volatility of the portfolio is only 21.73%, and the annualized Sharp is 0.59, which has a high risk return ratio.
The unknown income fund pool outperformed the partial fund index every year. In the fund attribution, style, industry and known factor returns are stripped off, and the residual momentum of their returns is calculated to construct the basis factors for screening. The annualized yield of the fund pool is 16.2%, and the annualized Sharp is 0.7. Higher absolute returns can be obtained in the upward market, and the withdrawal can also be controlled in the downward market. 16.76% excess return in the past three months
The flexible trading fund pool grasps the structural opportunities of the market. The portfolio is sorted according to the significance of dynamic returns. The annualized return rate is 10.15%. The return of the flexible trading fund pool is relatively stable, and the excess withdrawal is low in history. The excess return is more prominent in the market with strong institutional opportunities in 2020-2021.
The stock selection pioneer fund pool has strong income elasticity. Select the fund with the highest exposure to the quarter on quarter growth factor of the number of fund's heavy positions. These funds are at the forefront of the marginal changes in the overall position adjustment of public funds. The annualized excess return was 5.27%, which was outstanding in the bull market, but it has been adjusted recently.
The hot tracking fund pool can outperform the market in most years. Select the fund with the highest long-term exposure on the following two factors: turnover in the past month/turnover in the past 12 months, analyst forecasts in the past 90 trading days. The annualized yield is 12.02%, but since 2023, the portfolio has retreated due to the short period of market hot spots and decentralized attention.
The excess return of risk averse fund pool was relatively stable. Select the fund with the lowest long-term exposure on duvol and ncskew respectively. The annualized rate of return is 11.46%, which can achieve higher returns in the rising market and minimize losses in the falling market.
The low beta fund pool passes through the bull and bear, and has strong risk aversion. Select the fund with the lowest long-term exposure to beta factor. The annualized return rate is 7.82%, and the annualized fluctuation is only 16.29%. The excess return is prominent in the bear market. In the market fluctuation in 2023, the resilience of low beta funds has been better reflected, achieving about 10.12% of excess return; However, since this year, there has been a significant pullback due to the large allocation of the military sector in the portfolio.
Risk tip: the quantitative conclusion is based on historical statistics. If the future market environment changes, failure may not be ruled out. The fund income contribution and allocation ratio in the report are calculated based on the top ten heavy positions in the quarterly report. All funds involved in this report are only for attribution analysis, without any recommendation.
