China ** newspaper reporter Zhang Ling.
Since the first batch of 5 products were approved, the enhanced strategy ETF product has ushered in its second anniversary.
In the past two years, the company has frequently made layouts, the number of related products issued has continued to grow, and the tracking targets have gradually expanded from the first batch of CSI 300 and CSI 500 to mainstream broad-based indices such as CSI 1000, ChiNext Index, Kechuang 50, Kechuang 50, CSI 800, and CSI 2000.
From the perspective of performance, nearly eighty percent of the products have achieved positive excess returns since their establishment. However, from the perspective of scale data, the overall increase is not obvious, and almost all products are facing the problem of shrinkage.
According to a number of industry insiders, enhanced strategy ETFs are generally more attractive to the market due to their low management fees, good liquidity and high transparency. In recent years, the company has continued to deploy in order to enrich product lines and meet diversified needs. Although in the short term, investors' awareness of this type of innovative ETF product is low, considering that China's capital market is still a market with limited effectiveness, there will still be good room for development of enhanced strategy ETFs in the future.
Nearly 80% of the excess returnsUp to 9%.
Wind data shows that as of December 1, the number of market enhanced strategy ETF products reached 25. In terms of performance, there are 19 products with positive excess returns since their establishment, accounting for nearly eighty percent, with an average excess return of 2% since their establishment, of which the highest return of China Merchants CSI 1000 Enhanced Strategy ETF is 941%。At the same time, nearly eighty percent of the products in the year achieved positive excess returns, with an average excess return of 189%, and there are many products with excess returns of more than 6%.
The increasingly fierce competition in the ETF market has forced the company to continue to innovate, and the enhanced strategy ETF has been valued by the company as a relatively niche variety. Talking about the changes in the ETF market of enhanced strategies, Sun Guiping, a senior analyst at the Shanghai Evaluation Research Center, said that in 2022 and 2023, the number of such products will continue to increase, and the tracking index will also be expanded from the CSI 300 and CSI 500 of the first batch of enhanced ETFs to mainstream broad-based indices such as CSI 1000, ChiNext Index, Kechuang 50, Kechuang 50, and CSI 800.
As for the reasons for the layout of this type of ETF in the public offering, Sun Guiping analyzed, firstly, based on the future index enhancement strategy ETF market development potential, to share the development dividend of the industry;Second, it can enrich the company's product line, meet more diversified market demand, and enhance the company's competitivenessThird, compared with the performance of passive index ETFs and the first-mover advantage, "in the long run, enhanced strategy ETFs will ultimately win market recognition by virtue of their stable ability to obtain excess returns, and all ** companies have the same opportunities." ”
Huicheng ** Research Center believes that since the beginning of this year, the index enhancement strategy that operates in a quantitative way has shown a relatively stable excess return ability in the market. At the same time, the enhanced strategy ETF itself is similar to the operation mode of the ETF, with low management fees, good liquidity and high transparency, so some ** companies believe that this type of product is more attractive to the market.
Historically, more than 80% of enhanced strategy ETFs have been able to achieve positive overweight since their inception. The current management fee rate of the enhanced strategy ETF product is mainly focused on 0The 5%-1% range is also significantly better than 1%-15% exponential enhanced** management fee. At the same time, the enhanced strategy ETF is more flexible, and it can be sold on T+1 day after **, and the current position of the enhanced strategy ETF can also be clearly understood on the relevant exchanges**. Huicheng ** said.
Ji Yu** believes that firstly, as investors' demand for more complex and flexible investment strategies increases, enhanced strategy ETF products can provide more investment options to meet the needs of investors with different risk appetites and return expectations. Secondly, on the one hand, the enhanced strategy ETF can grasp the beta of the subdivided theme or style, and on the other hand, with the alpha enhancement brought by active management (content), it attracts investors to find investment opportunities that are superior to market indexes.
Short-term awareness is lowThere is a broad space for future development
In the past two years, despite the frequent layout of ** companies and the increasing number of enhanced strategy ETF products, the overall scale growth rate is still relatively slow.
Wind data shows that as of December 1, the total size of enhanced strategy ETF products reached 635.6 billion yuan, compared with 5.8 billion yuan at the end of 2021, an increase of less than 10%. Compared with the scale of fundraising, excluding the latest product established on December 1, the rest have all shrunk, with an average shrinkage of 75%.
In this regard, Huicheng ** Research Center bluntly said that, first of all, the difference in performance with the head index enhancement** may be one of the reasons for the slow growth of the scale of the enhanced strategy ETF. Although most enhanced ETF products can provide relatively good excess returns, there are still certain performance differences between enhanced strategy ETFs and top index enhanced ETFs due to the position disclosure mechanism and product contract regulations. For example, tracking the difference between the CSI 300 and CSI 500 products is 35%, while the difference between the products tracking the CSI 1000 is about 2%. Enhancing the transparency of ETF holdings makes the strategy easier to track by market participants, thus indirectly sacrificing the effectiveness of the strategy. In addition, the tracking error of the enhanced strategy ETF product will be required at 6Within 5%, while the tracking error of the exponential enhanced** will be required to be within 8%, so some enhanced strategy ETFs will sacrifice some of the excess returns in exchange for better tracking error.
Secondly, the mismatch in investment duration may also be another reason for the slow growth of the ETF size of the enhanced strategy. Huicheng** said that although the enhanced strategy ETF can provide better excess returns in the medium and long term, it cannot guarantee that it can provide excess returns every day. According to statistics, the median daily win rate of the market-wide enhanced strategy ETF compared to the underlying index ETF is about 537%。For some market participants, the staged losses brought about by the enhanced strategy may be contrary to their short-term investment needs.
In addition, according to the latest disclosed data, the median total AUM size of enhanced strategy ETFs is about 24.7 billion yuan. The scale of some products is less than 100 million yuan, which makes it difficult for institutional customers to participate, which is also one of the possible reasons. Huicheng ** added.
Ji Yu** believes that there are two reasons, one is that enhanced strategy ETFs usually adopt more complex investment strategies, which are relatively difficult to execute and require a more professional team to manage, which may lead to a relatively slow development of products. Second, due to the relatively complex investment strategies involved in enhanced strategy ETFs, it may be difficult for investors to understand them, and more investor education and market publicity are needed to improve awareness.
Although from the perspective of the post-listing returns of enhanced strategy ETFs, nearly 80% of ETFs listed before June 2023 have achieved returns that exceed the tracking index, with an average cumulative excess return of 2., said Sun Guiping, Shanghai**96%。However, the product tracks the index obviously**, with an average cumulative return of -1630%, which may have affected investors' enthusiasm for enhanced ETF investment to a certain extent, resulting in a significant reduction in the scale after listing. In addition, as an innovative ETF, it may also reflect the lack of in-depth understanding of enhanced strategy ETFs by investors, and the recognition of this type of product is still low.
However, from the perspective of overseas development trends, although actively managed ETFs still account for a small proportion of the total ETF scale, they have maintained relatively strong vitality, and with the development of the market, new translucent ETFs have emerged to meet market demand. Sun Guiping said that as an innovative ETF in China, although the current development situation is not as good as market expectations, considering that China's capital market is still a market with limited effectiveness, actively managed ETFs can still obtain considerable excess returns, and actively managed ETFs that combine active management capabilities and investment convenience still have broad development space in the future.
Ji Yu believes that the enhanced strategy ETF is expected to find a broader market space in the future development while gradually improving the product and improving the level of investor education. Specifically, the first is to improve the execution of strategies through more advanced algorithms and data analysis tools, so as to attract more investors;The second is to strengthen investor education, improve market transparency, lower the investment threshold, and promote more investors to participate.
Huicheng** also expressed optimism about the future development space of the ETF, "For investors, enhancing the ETF not only has the convenience of ETF trading, but also can enjoy the income enhancement effect brought by the company's management." If the characteristics of the enhanced strategy ETF can be clearly conveyed to investors, so that investors can match the duration of the investment objectives of the enhanced strategy ETF, then the enhanced strategy ETF still has better room for development. ”
Edit: Captain's Review: Muyu.