In November 2023, the international situation tended to ease, and China introduced policies in various fields to promote stable economic growth. On the international front, the Chinese and US heads of state met on the sidelines of APEC, during which the two sides had a frank and in-depth exchange of views on strategic, overall and directional issues related to China-US relations, as well as major issues related to world peace and developmentThe intensity of the conflict between Russia and Ukraine has decreased, and the two sides of the Kazakh-Israeli conflict have achieved a brief ceasefire. Domestically, a number of policies have been introduced to actively resolve the debt risks of real estate and local governments, and many provinces and cities have issued consumption vouchers for cultural tourism or automobile and home appliances to boost consumption. In terms of the capital market, the China Securities Regulatory Commission's crackdown on illegal private equity institutions and false information has effectively maintained the development environment of the capital market. On the economic data front, the year-on-year growth rate of the US CPI fell to 32%, inflation momentum has slowed, and market expectations for the Fed to end interest rate hikes have risen significantly. China's manufacturing PMI in November was 494%, a slight decrease from the previous month, indicating that China's economic prosperity level is stable and slow, and the foundation for rebounding still needs to be consolidated. In terms of the market, in November, the domestic A-share market as a whole showed a trend of falling back after the first stage, and the trading volume was more active in the first stage, with the highest turnover exceeding 1 trillion yuan, and the volume shrank in the falling stage, but most of the time it remained above 800 billion yuan. In terms of sectors, the cultural media, medicine, and automobile sectors rose significantly, while the insurance, photovoltaic, and medical beauty sectors fell to a certain extent. In terms of style, the style differentiation of large and small caps in November was significant, with the weak performance of ** stocks and the relatively strong performance of small cap stocks. Hong Kong stocks performed relatively strongly compared to A-shares in the early stage, but they began to weaken significantly from late November, and the linkage with A-shares has increased. The Hang Seng Index fell below its late October lows at the end of November and continued to decline, with the Hang Seng Tech Index moving in a similar direction but with reduced volatility. U.S. stocks began to be strong at the end of October after experiencing the previous period**, and the decline in inflation dispelled the haze of interest rate hikes, and the market sentiment turned optimistic, and the Nasdaq index was the most elastic among the three major U.S. stock indexes. In the commodity market, against the backdrop of a sluggish global economy,** has continued to fall since October, with OPEC+ countries announcing voluntary production cuts but failing to effectively raise oil prices. The trend of the non-ferrous metal plate is differentiated, copper is the first, nickel is still in the process of slow decline, and other varieties are mainly sideways;International agricultural products do not fluctuate much, and the overall situation is in a sideways stage. The volatility of the domestic commodity market increased significantly in November, and industrial products and agricultural products entered a downward trend as a whole, but the main sectors under industrial products diverged, and the rhythm of each sector under agricultural products was slightly different. Overall, the A-share market continued to fall after November, the domestic commodity market as a whole was in a trend, the volatility was higher, and the Zhongji Private Equity 50 Index performed well in November, and the three major strategies were profitable. With the original intention of promoting the development of the industry, after a long period of brewing and full preparation, China ** News launched the "Zhongji Preferred Private Equity Index (Series)", and strived to build the "Zhongji Preferred Private Equity ** Index" into an authoritative investable private equity index, promote private equity indexation investment, and promote the healthy development of the domestic private equity industry. On March 5, 2021, China ** News officially released the flagship index of the series, the "China Foundation Preferred Private Placement ** 50 Index" (hereinafter referred to as the "China Foundation Private Equity 50 Index"). The "Zhongji Preferred Private Placement **50 Index" includes a total of 50 components**, all of which come from the mainstream strategies of the market, including **long strategy, hedging strategy, CTA and derivatives strategy, and on the basis of this category, through quantitative optimization, on-site research and in-depth analysis of the secondary subdivision strategy. According to the modern asset portfolio theory, the portfolio allocation is carried out in combination with the different logic, return-risk characteristics and low-correlation historical performance of each secondary strategy, of which the ** long strategy accounts for 64%, the hedging strategy accounts for 20%, and the CTA and derivatives strategy accounts for 16%, and the secondary strategy is balanced among the major types of strategies to diversify the risk of the portfolio. In accordance with the established rules, China ** News will continue to track the ingredients, constantly explore new candidates, and gradually optimize the ingredients. From the perspective of historical performance, the Zhongji Preferred Private Placement **50 Index has the characteristics of relatively stable and good trend, small drawdown, and short repair drawdown time. In November 2023, the China Foundation Preferred Private Placement **50 Index (hereinafter referred to as the "China Foundation Private Equity 50 Index") performed well. In the context of the decline of A-shares, the Zhongji Private Equity 50 Index was slightly 072%, outperforming the CSI 300 Index and obtaining excess returns355%。
In the most recent month, the CSI 300 Index **283%, China Foundation Private Equity 50 Index**072%；In the past year, the CSI Private 50 Index scored 66% excess returns;Since July 1, 2019, the cumulative profit of the Zhongji Private Equity 50 Index has been 6154%, far exceeding the cumulative return of the CSI 300 Index by -896%, with a cumulative excess return of 7050%。
In terms of performance indicators, since the benchmark date, the annualized rate of return of the Zhongji Private 50 Index has been around 12%, far exceeding the performance of the CSI 300 Index in the same period, and the profitability of the Zhongji Private 50 Index is outstandingIn terms of risk, the annualized volatility of the CSI Private 50 Index is around 11%, which is significantly lower than the 18% of the CSI 300 Index, and the maximum drawdown is also small, so in terms of risk-return indicators, the Sharpe ratio of the CSI 50 Index is close to 1, far exceeding the Sharpe ratio of the CSI 300 Index.
To sum up, as the flagship index of the "Zhongji Preferred Private Placement ** Index (Series)", the Zhongji Private Equity 50 Index shows relatively high returns, relatively low volatility and drawdown, and its long-term excess returns are sustainable, reflecting the performance of excellent private placements under the balanced allocation of major strategies and secondary strategies. In the 53 months since July 2019, the CSI Private 50 Index has outperformed the index for 34 months, especially in the 30 months when the CSI 300 Index appeared**, and the CSI Private 50 Index has almost always outperformed the CSI 300 Index. 
Since July 2019, the CSI 300 Index has had 23 months**, with a cumulative range of 94%, and the Zhongji Private 50 Index has risen by nearly 66% in these months, capturing nearly 70% of the CSI 300 Index's increase in proportion, indicating that the CSI Private 50 Index has obtained the vast majority of the gains of the CSI 300 Index**, showing excellent income capture ability. 
In the 30 months of the CSI 300 Index**, the CSI Private 50 Index almost all outperformed the CSI 300 Index, and there were 12 months of "going against the market"** In these 30 months, the CSI 300 Index has fallen by 98%, and the CSI Private 50 Index has only **15%, showing excellent defensive capabilities. Looking at the CSI 300 Index** and **, we can find that the CSI Private 50 Index obviously shows the characteristics of "more up, less down". In November 2023, the Zhongji Private Equity 50 Index **072%, of which the ** long strategy contributed 025%, hedging strategy contribution 028%, CTA and derivatives strategy contributed 019%。
Recently, although the high volatility of the long strategy retreated again after a small amount, the performance of the CTA and derivatives strategy, known as the "crisis alpha", has risen steadily, and the combination of the two has reduced volatility, and long-term stable operation can be expected, and the long-term long strategy will contribute more profits in the future. In addition, the hedging strategy is running smoothly as always. From the perspective of historical fluctuations, the ** long strategy has the characteristics of high volatility and strong aggressiveness, the CTA and derivatives strategy volatility is in the middle, the income is more explosive, and it can neutralize part of the volatility of the ** long strategy, plus the hedging strategy with more stable performance, and the low correlation strategy allocation improves the defensive ability of the index. Compared with the CSI 300 Index, the CSI Private 50 Index has relatively excellent performance in terms of return and risk indicators, which is mainly due to the low correlation between the three strategies of the CSI Private 50 Index, and the correlation between the three types of strategies is not more than 035, which belongs to the medium and low correlation level, and the two types of strategies with the lowest correlation are ** long strategy and hedging strategy, and the correlation coefficient is as low as 020。On the whole, the low correlation between strategies makes the performance of the three types of strategies complementary in volatility, which is conducive to reducing the volatility of the index, and the positive return part of the strategy will be superimposed, so that the Zhongji Private 50 Index can obtain returns in a relatively low volatility way, and the risk-return ratio of the index will be relatively improved. 
The correlation within the various strategies is also low, and the performance of the strategy is affected by the common factor of systemic risk, and the average correlation coefficient of the components within the group is 058, at a relatively low level;The average of the correlation coefficients of the in-group components** of the hedging strategy, CTA and derivatives strategy are respectively. 31, all of which are at a low positive correlation level, such a low intra-group correlation is the result of the differentiated allocation of the secondary strategy, which has diversified the risk to a large extent, and is the main reason for the relatively high Sharpe ratio of the Zhongji Private 50 Index. In November 2023, 31 out of 50 components** were profitable, and the components of hedging strategies** among the three types of strategies were relatively balanced. 
In terms of secondary strategies, the growth investment strategy under the long-only strategy has performed outstandingly, and the quantitative index growth strategy has also made a lot of gainsThe multi-strategy hedging under the hedging strategy is more profitable, followed by the high-frequency alpha strategyThe performance of the medium- and long-term strategies under the CTA and derivatives strategies is unbeatable. In order to meet the investment needs of the pursuit of long-term stable returns and provide the market with an ideal investment tool, China ** News released the first secondary index of the China Foundation Private Equity 50 Index on June 4, 2021 - China Foundation Preferred Private Equity ** 50 Stable Index (hereinafter referred to as the "China Foundation Private Equity 50 Stable Index"), which is currently performing well with high returns, small drawdowns and high Sharpe ratios. Allocation, portfolio and optimization are the three key words for the excellent performance of the Zhongji Private Equity 50 Stable Index. In terms of allocation, the index adheres to the concept of "all-weather", and allocates three sub-categories with significant risk-return characteristics: long, hedging, and CTA, of which hedging accounts for 50%, 25%, and CTA** accounts for 25%, and the correlation between the three types of strategies is low (correlation coefficient 0.).3 below), the impact of bulls and bears is small, and profit opportunities can always be captured in different market environments. Portfolio refers to the three types of strategies and subdivided into 15 sub-categories of investment strategies, through a large number of data simulation, strategy correlation testing, investment empirical analysis, as far as possible to maintain the low correlation of each subdivision strategy, so as to make the index level more stable;At the same time, the ingredients are **20, reasonably dispersed and avoid broad, and the combination effect is just right. In terms of optimization, China News has the natural advantages of data analysis and on-the-spot due diligence, and among many private equity institutions and products, in accordance with high standards and high requirements, excellent private equity will be included in the candidates, and through in-depth research on candidate private equity institutions, the investment institutions that have found the ideal investment target (ingredient) in each profit are the first echelon of excellent private equity in China. The Zhongji Preferred Private Placement**50 Stable Index has attracted wide attention from the industry due to its clear rules, transparent trends, traceable and analyzable performance, and large strategy capacity. The benchmark date of the first secondary index of the CSI 50 Index, the CSI Preferred Private Placement**50 Conservative Index (hereinafter referred to as the "CSI Private 50 Conservative Index"), was 1 January 2020, and the index performed well during November 2023, with hedging, CTA and derivatives strategies making profits. 
In November, the Zhongji Private Equity 50 Stable Index **093%, CSI 300 Index**283%；In the past year, the China Foundation Private Equity 50 Conservative Index has risen by 2%, and the CSI 300 Index has risen by **775%。
The CSI Private 50 Conservative Index aims for stable returns. In terms of risk indicators, the annualized volatility of the index since its inception is around 7%, and the maximum drawdown does not exceed 55%；In terms of income, the cumulative return of the Zhongji Private Equity 50 Stable Index is more than 50%, the annualized return is more than 11%, and the Sharpe ratio is nearly 14。
In summary, the CSI Private 50 Stable Index has the characteristics of high earnings certainty, low volatility and low drawdown, and shows high performance stability, which is in sharp contrast to the performance of the CSI 300 Index. Investing in the Zhongji Private Equity 50 Stable Index** is very promising to obtain stable returns, and the ** yield can become the yield of the people. In November 2023, the China Foundation Private Equity 50 Stable Index **093%。Among the three types of strategies, the hedging strategy contributed 066%, *The long strategy loses 001%, CTA and derivatives strategy profit 028%。
In the long run, the hedging strategy, which accounts for half of the weight, has steadily risen upward, and the well-balanced allocation of the best long strategy, CTA and derivatives strategy has formed a complementary trend most of the time, and the combination of the two has reduced volatility while obtaining returns. On the whole, as the "ballast stone" of the index, the hedging strategy and CTA form differentiated fluctuations with derivatives strategy and long-only strategy, and jointly promote the long-term stable trend of the Zhongji Private Equity 50 Stable Index. On the whole, the correlation between the Zhongji Private 50 Stable Index strategies is not high, and the correlation between the two strategies is not more than 035。The low correlation between strategies stems from the difference in strategy logic and the "optimization and allocation" link, which is the pillar of the long-term stable performance of the Zhongji Private Equity 50 Stable Index.
The correlation coefficient of ** in the group of large strategies is not high, and the correlation coefficient of the components in the hedging strategy group is 016. The performance correlation of the **long strategy component** is 075, after removing the systemic impact, it is not high, and the correlation coefficient between CTA and derivatives strategy group is 037。In November 2023, 13 of the 20 components** of the CSI Private 50 Conservative Index were profitable, and the performance of the hedging strategy component** among the three types of strategies was relatively balanced.
In terms of secondary strategies, multi-strategy hedging and high-frequency alpha strategies under the hedging strategy are the most profitable**The quantitative index increase strategy under the long strategy performed best;The volume and price performance under the CTA and derivatives strategy is outstanding in the medium and long term. 1. The Zhongji Private Equity 50 Index and trend chart are updated weekly (the net value as of the end of last week is released), which can be viewed in the relevant columns of the official "China ** News" (official WeChat*** official app, and the relevant weekly, monthly, quarterly, semi-annual, annual and other fixed reports will also be disclosed through the above ** channels. 2. If the private equity institution intends to participate in the future selection, it can send the company, products and other materials to the zgjjbsmzs@chnfundcn, we will arrange follow-up docking. 1. The copyright of this report belongs to "China ** Daily", without prior written authorization, no institution or individual may make any form of copying, quoting, modifying, imitating, publishing, or using any other way that infringes the copyright of this report in any way. Quotation and publication with written authorization must indicate the source as "China ** News", and this report shall not be abridged or modified in any way contrary to the original intention. If this report is published without authorization, China ** Daily will reserve the right to pursue legal responsibility. 2. The content of this report is for reference only and does not constitute the basis or recommendation of any **, financial products or other investment tools or any trading strategy. China ** Daily strives to be objective and fair in the content of the report, but does not guarantee its accuracy or completeness. China ** Daily does not assume any legal responsibility for any loss caused by the direct or indirect use of this material or any content therein.