At the beginning of the new year, Wu Qing, Secretary of the Party Committee and Chairman of the China Securities Regulatory Commission, and members of the leadership team presided over a total of more than 10 symposiums, focusing on topics such as strengthening capital market supervision, preventing and resolving risks, and promoting the high-quality development of the capital market.
In terms of policy, on February 20, the People's Bank of China authorized the National Interbank Lending Center to announce the loan market ** interest rate (LPR) this month: 1-year LPR is 345%, unchanged, LPR for more than 5 years is 395%, down 25 basis points. The 1-year LPR will help alleviate the downward pressure on banks' interest margins and maintain the stability of development, while the sharp decline in LPR over 5 years will help stabilize market confidence and expectations and boost consumption and investment.
On the economic data front, the US CPI in January was **0 month-on-month3%, an increase of 01 percentage point, the largest increase since September 2023. In addition, the US CPI in January was **3 year-on-year1%, well above the Fed's long-term inflation target of 2%. As the market has over-expected interest rate cuts before, the pace and magnitude of subsequent interest rate cuts are expected to be restored. Against the backdrop of higher-than-expected U.S. inflation and core inflation, and still strong stickiness of super-core inflation, market expectations for the first rate cut have moved to June.
In terms of the market, A-shares continued to rebound in the week after the holiday, and the turnover of the two cities continued to remain at a short-term high, reaching a peak of nearly 1 trillion yuan. In terms of sectors, the vast majority of sectors and AI-related sectors have risen greatly. Stylistically, small-cap stocks have performed relatively well.
Hong Kong stocks rose during the holiday and post-holiday periods, with trading volume continuing to expand, with the Hang Seng Tech Index and the Hang Seng China Enterprises Index performing strongly. In terms of U.S. stocks, Chinese concept stocks performed better, but the gains of indices such as the Dow weakened, and they were mainly sideways during mid-February, and the weakening expectations of interest rate cuts put pressure on U.S. stocks.
In terms of the commodity market, the intensity of the Russia-Ukraine conflict and the Kazakh-Israeli conflict has been temporarily reduced, and the fluctuation of ** varieties is limited. The overall volatility of domestic commodities has decreased, industrial products are in the first stage of short-term sideways, and agricultural products have shown signs of stopping falling after experiencing the previous stage.
Overall, domestic A-shares continued to rebound in the week after the holiday, the volatility of the domestic commodity market decreased, and the Zhongji Private Equity 50 Index performed well.
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.
The CSI Private 50 Index closed at 156362 points, compared to the week of February 8, 2024**267%。
In terms of indicators, the annualized rate of return of the Zhongji Private 50 Index exceeded 10%, far exceeding the annualized rate of return of the CSI 300 Index. In terms of risk, the annualized volatility of the CSI Private 50 Index is around 11%, and the maximum drawdown is around 20%, both of which are significantly lower than those of the CSI 300 Index. In terms of risk-return ratio, the Sharpe ratio of the CSI Private 50 Index is close to 1, which is much higher than the Sharpe ratio of the CSI 300 Index. 
2) Ingredient performance.
Last week, the China Foundation Private Equity 50 Index **267%, *Long strategy contributed 215%, hedging strategy contribution 041%, CTA and derivatives strategy contributed 011%。
*The balanced growth strategy under the long strategy performed outstandingly; The profitability of multi-frequency alpha under the hedging strategy is prominent; The subjective quantitative hybrid strategy under the CTA and derivatives strategy performed well.
Last week, 41 of the 50 components** were profitable, and from the perspective of statistical indicators, among the three types of strategies, the profit and loss distribution of the **long strategy and the hedging strategy is relatively balanced.
In order to meet the investment needs of pursuing long-term stable returns and provide the market with ideal investment tools, 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%, *accounts for 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 subdivision of 15 sub-categories of investment strategies in the three major types of strategies, through a large number of data simulation, strategy correlation testing, and 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 placements are included in the candidates, and through in-depth research on candidate private equity institutions, the investment institutions that have found ideal investment targets (ingredients) 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, retrospective and analyzable performance, and large strategic capacity.
The benchmark date for the China Base Preferred Private Placement**50 Conservative Index was January 1, 2020, and it closed at 1484 in the week of February 23, 202456 points, compared to the week of February 8, 2024**243%。
The Zhongji Private 50 Conservative Index has higher returns, small drawdowns, and high Sharpe ratios, which are the combined results of "preferred" and "allocation". With the goal of "stability", on the basis of hedging strategy, the Zhongji Private Equity 50 Stable Index selects the long-only strategy with greater volatility and the sub-strategy of CTA and derivatives strategy.
The CSI Private 50 Conservative Index aims for stable returns, with an annualized volatility of about 7% and a maximum drawdown of no more than 8% since its establishment. In terms of income, the cumulative return of the Zhongji Private 50 Stable Index is nearly 50%, the annualized return is over 10%, and the Sharpe ratio is close to 12。
2) Ingredient performance.
Last week, the China Foundation Private Equity 50 Moderate Index **243%, of which the hedging strategy, which accounts for half of the country and plays the role of a portfolio performance stabilizer, contributes 100%, the balanced allocation of ** long strategy profit 115%, CTA and derivatives strategy profit 028%。
In terms of secondary strategies, the multi-frequency alpha strategy under the hedging strategy performed better, the quantitative index increase strategy under the ** long strategy performed outstandingly, and the subjective quantitative hybrid strategy under the CTA and derivatives strategy made a lot of gains.
1. The Zhongji Private Equity 50 Index, the Zhongji Private Equity 50 Stable Index and the 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 selection of the future series of indexes, it can send the company, products and other materials to the zgjjbsmzs@chnfundcn, we will arrange follow-up docking.
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