2023 is about to come to an end, if you look back on the a** field in the past year, the overall trend of adjustment is the same, and at the same time, the style rotation of the market is more extreme, and the industry level shows a certain differentiation trend.
However, despite the increasing difficulty of investing in the equity market, the performance of small-cap style indices represented by the CSI 2000 Index and CSI 1000 Index is still significantly ahead of other major broad-based indices since the beginning of this year, continuing the small-cap dominance since 2021**, and is expected to continue driven by multiple factors such as the continuous improvement of the external environment, the recovery of the domestic economy, and policy support for the development of small and medium-sized enterprises.
I won't go into detail about the investment value of the CSI 2000 small-cap style index, after various popularizations in the early stage of the market, I think everyone is more familiar with it, so I will simply follow it hereLong-term allocation valueto elaborate.
First of all,Although we all already know that the style switch of A** market occurs from time to time, it is very difficult for most ordinary investors to accurately grasp the timing of switching between large and small caps.
Therefore, from the perspective of long-term asset allocation, with the increase in the total number of A-shares and the intensification of differentiation, the CSI 2000 Index, as a typical small-cap style representative index, is expected to become an important option in asset allocation with its unique risk-return characteristics and low correlation.
Secondly, from a relevance point of view, the small cap represents the CSI 2000 Index, which not only has a low correlation with the CSI 300 and other ** indices, but also has a correlation coefficient of only 033. Risk diversification and complementarity are high, which can be used as an allocation choice to reduce the overall volatility of the portfolio.
If we add to this the fact that the yield of other indices is much higher than that of other indices since the base date, and the small-cap style is more elastic than other broad-based indices of the CSI 1000, all of which reflect the higher allocation value in the medium and long term.
In addition to having a high allocation value, the CSI 2000 Index is also a veryIt is suitable for quantitative enhancementof the exponent.
First of all, from the perspective of the industry, the constituent stocks of the CSI 2000 Index cover a wide range of industries, with a focus on emerging growth industries and high-tech industries.
On the one hand, the constituent stocks of the CSI 2000 Index cover 30 of the 31 Shenwan first-class industries (excluding banks), and the industry distribution is comprehensive, diversified and balanced.
As we all know, from the perspective of investment, the stock selection logic of different industries is not the same, and through quantitative modeling in the industry, different stock selection factors can be better integrated with fundamental investment, so as to increase the accuracy of investment decisions in the industry.
On the other hand, the constituent stocks of the CSI 2000 Index mainly cover high-prosperity tracks such as emerging growth industries and high-tech industries, focusing on the direction of national strategic development, and having both technological and growth attributes.
Specifically, whether it is advanced manufacturing, high-end equipment and green and low-carbon industries represented by new energy to promote the high-quality development of China's future economy, or a new generation of information technology, biomedicine, new materials and other industries that solve the security problems of China's industrial chain, they will continue to benefit from the support of national policies, and these are the heavy industries where the constituent stocks of the CSI 2000 Index are concentrated, and the long-term investment value of the index is undoubted.
Secondly, from the perspective of the CSI 2000 Index, the constituent stocks of the CSI 2000 Index are mainly small-cap stocks, which are large and scattered, which is very conducive to giving full play to the advantages of quantitative stock selection.
On the one hand,The constituent stocks of the CSI 2000 Index are mainly small-cap stocks with a free float market value of less than 10 billion, so the research coverage of mainstream analysts in the market is less, while quantitative stock selection is less dependent on the research coverage of analysts on the one hand, and is not limited to the market value of listed companies on the other hand, so the coverage of investment is relatively wider and more comprehensive.
On the other hand,There are as many as 2,000 constituent stocks of the CSI 2000 Index, which are large in number and extremely dispersed (low concentration of shareholdings), and superimposed on its relatively small circulating market capitalization, there will be certain capacity restrictions on the portfolio of concentrated investment (especially the actively managed portfolio), which makes small-cap stocks relatively low-weight compared with ** shares and mid-cap stocks for a long time, and the "track" congestion is relatively low.
Because of the large number of holdings and the high degree of dispersion, quantitative investment has a relatively large strategic capacity of its portfolio, and it can also give full play to its advantages in processing massive data to cover many large differences in fundamentals, and it is relatively easy to make excess returns.
It's worth mentioningIn the future, the country's support policies for the development of technology-based small and medium-sized enterprises will be more favorable to the CSI 2000 Index, which can enhance the overall investment value of the index from a favorable aspect, but the disadvantage is that the index constituents must have greater volatility.
Quantitative stock selection, on the other hand, can take advantage of its characteristics of multiple factors and diversified positions, and then combine with the risk model for portfolio optimization, so that the risk of the overall portfolio can be effectively diversified.
It can be seen that the CSI 2000 small-cap style index is indeed very suitable for investment in the way of quantitative enhancement, and I think that the quantitative index increase product of CSI 2000 is also a better target for us to invest in the CSI 2000 Index.
In fact, there have been CSI 2000 index increase products on the market, and here is a very distinctive product for youHuatai Pineapple CSI 2000 Index Enhanced (Class A: 019923;Category C: 019924).
The performance benchmark of this product is "CSI 2000 Index Yield * 95% + RMB Demand Deposit After-tax Interest Rate * 5%", and the proposed managers are Sheng Hao, Kong Lingye and Lei Wenyuan.
As a "quantitative manufacturer", Huatai Pineapple's quantitative team has more than 10 years of experience in index enhancement product management, and its quantitative index enhancement strategy covers multiple broad-based indices, with stable and controllable historical tracking error and outstanding excess returns.
The biggest feature of this product is that based on the accumulation of years of the original fundamental quantitative stock selection, the team has developed a new short-term volume and price stock selection model that is more suitable for small caps based on the small-cap style characteristics of the CSI 2000.
It is known that the model is based on:Technicals are the main factor, with short-term fundamentals and event drivers added, positioning the weekly turnover strategy, the pursuit of excess stability and continuity. At the same time, the risk model is used to run through the risk control before, during and after the portfolio management, and strive to be more accurate.
Here is a brief look at the resumes and backgrounds of several ** managers.
Sheng Hao is currently the Investment Director of the Quantitative and Overseas Investment Department of Huatai PinebridgeHe has 16 years of quantitative experience and 8 years of quantitative investment experience, and graduated from the Department of Mathematics of Trinity College, University of Cambridge. From 2007 to 2012, he worked as a quantitative researcher and trader at Wilshire Associates and Goldenberg Hehmeyer Trading Company. He joined Huatai Berry in September 2012 and successively served as researcher, assistant manager, manager and deputy director of the quantitative investment department. Currently, he manages a number of quantitative products.
Kong Lingye is currently the Deputy Director of the Quantitative and Overseas Investment Department of Huatai PinebridgeHe has nearly 9 years of quantitative experience and 1 year of quantitative investment experience. He holds a bachelor's degree in statistics from the University of Hong Kong and a master's degree in financial risk management from University College London. In 2017, he joined Huatai Berry and successively served as researcher, senior researcher, assistant director and deputy director. Responsible for the research and development of short-term models, with rich research results, and a deep understanding of various types of quantitative investment strategies.
Lei Wenyuan is currently the ** manager of Huatai Berry Quantitative and Overseas Investment DepartmentHe has more than 5 years of quantitative experience and 1 year of quantitative investment experience, and graduated from the School of Mathematical Sciences of Fudan University with a bachelor's and master's degree. In 2018, he joined Huatai Berry**, based on the quantitative system of the main model, developed a large number of technical factors, used machine learning methods to improve factor merging and portfolio optimization, and built a complete investment research framework from the underlying hardware, data to factors, portfolio and post-investment analysis.
As one of the most advanced fundamental quantitative investment platforms in the industry, Huatai Berry has successfully combined the world's mature quantitative investment technology with the investment experience of the Chinese market, and has achieved good results.
Here we first take a brief look at the situation of the two index products that the Huatai Berry quantitative team has managed for a long time.
The picture above isHuatai Berry Quantitative Optimization (000877).Compared with the annual return chart of its performance benchmark (performance benchmark: CSI 300 Index yield * 95% + bank demand deposit interest rate after tax * 5%), ** managers are Sheng Hao (started on October 13, 2015) and Lei Wenyuan (started on August 5, 2022).
From the chart, we can see that Huatai Berry Quantitative Selection, which is strategically positioned to enhance the CSI 300 Index, has exceeded the performance benchmark for 8 consecutive full years (2015-2022) since its establishment, and there is almost no suspense that it will continue to exceed the performance benchmark in 2023, with only a few trading days left.
As we all know, the CSI 300 Index Enhancement Strategy, as the main battlefield of the index enhancement strategy, has always been difficult to excavate, so products that can obtain long-term stable excess returns are very scarce.
In fact, there are only 2 quantitative products in the whole market that can exceed the performance benchmark for 8 consecutive years (2015-2022), and Huatai Berry Quantitative Optimization is one of them.
The picture above isHuatai Berry Quantitative Drive (Class A 001074, Class C 006531).Compared with the annual return chart of its performance benchmark (performance benchmark: CSI 300 Index yield * 95% + bank demand deposit interest rate after tax * 5%), ** managers are Sheng Hao (started on October 13, 2015) and Kong Lingye (started on August 5, 2022).
From the figure, we can see that the strategy is also positioned on the CSI 300 quantitatively enhanced Huatai Berry quantitative drive to exceed the performance benchmark for 6 consecutive full years (2017-2022), and there is almost no suspense that it will continue to exceed the performance benchmark in 2023, which has only a few trading days left.
Another point worth mentioning in this part is:
The latest 2023 interim report shows that the proportion of institutional holdings of these two products is relatively high, and the total shares held by institutional investors exceed 500 million shares, which shows that institutional investors highly recognize the product and team.
Of course, as one of the most complete companies with the most complete quantitative product line layout, Huatai Berry's index enhancement strategy products are far more than that:
The above table roughly lists the performance benchmarks of many index products managed by Huatai Pinebridge quantitative investment team during the reporting period, which fully demonstrates the super quantitative investment strength of Huatai Pinebridge quantitative investment team.
That's pretty much the end of the article.
Finally, we will briefly make an outlook, the country is currently in the stage of sustained economic recovery, monetary easing, and credit stabilization, and the expectation of future interest rate cuts and RRR cuts will continue, which may bring incremental funds to A-sharesAt the same time, the growth rate of social finance has stabilized and rebounded, which will also improve investors' risk appetite. In the context of the continuous introduction of policies to stimulate the capital market, the investment value of small-cap style is still increasing.
It is understood that at presentHuatai Pineapple CSI 2000 Index Enhanced (Class A: 019923;Category C: 019924).In circulation. Therefore, if you want to share the returns brought by this sector, such an index increase product may be a good investment tool.