As one of the core indices of A-shares, the CSI 300 is also known as the "barometer" of the overall trend of China's A-market.
A few days ago, UBS released a research report on the scale of the "national team" entering the market.
According to the UBS report, as of February 23, 2024, the total net inflow of ** national teams such as Huijin through ETFs during the year may exceed 410 billion yuan. Among them, the net inflow of funds into CSI 300 ETF is 759%, that is, it reached more than 311.1 billion yuan.
The CSI 300 Index itself has strong asset quality, and its valuation is now at a relatively low level, which is indeed the choice of many people at a stage when the market has not yet formed an obvious main line.
"Interesting" Anzhong dynamics
The CSI 300 has also made it a battleground, with 22 ETFs and 190 products as the subject of tracking.
In such a crowded track, it is not easy to break out of the encirclement, and in recent years, when the index has strengthened** It has become more and more difficult to outperform the CSI 300, an index has sprung upThat is the CSI 300 Anzhong Dynamic Strategy Index.
In the past four years, regardless of the ups and downs of the market and changes in style, the CSI 300 Anzhong Dynamic Strategy Index has outperformed the CSI 300 Total Return Index every year.
Risk warning: Past returns are not indicative of the future.
Not only is there an annual excess, but on a quarterly basis, the index has been overcapped for 10 quarters, accounting for about 62%.
Data**: Choice data, statistical time: 2020-2023, past returns of the index are not indicative of the future.
Although everyone is a little unfamiliar with the CSI 300 Anzhong Dynamic Strategy Index, this index was released in 2013 and is customized by Anzhong Investment Management, using a unique dynamic strategy.
The index consists of two parts: 70% passive portfolio + 30% active portfolio.
The 70% passive portfolio is based on the CSI 300 Index, with 10 CSI Tier 1 industries for equal weight allocation. It is equivalent to reducing the proportion of weighted industries in the CSI 300 and increasing the proportion of non-weighted industries.
Compared with the CSI 300 (left) weighted by market capitalization, the industry distribution of Anzhong Dynamics (right) will be more balancedIt can well avoid the problem of being overly affected by a single industry and diversify the risk.
The reason why the CSI first-class industry is used is not the Shenwan industry that everyone is more familiar with, which is also because the CSI first-class industry is more similar to the industry classification of GICS, which pays more attention to the investment behavior itself and has a greater reference for investment.
Data**: CSI official website, as of March 1, 2024
The other 30% of the active portfolio part is the industry allocation strategy, which is a monthly rebalancing, and each period will be overweight 4 industries, with an overweight of about 14-15% and a weight of about 7% for the rest of the industries.
For example, in the recent update data on March 1, Anzhong Dynamics has significantly overweight in utilities and energy sectors, which are basically low-valuation and high-dividend sectors that have been very hot since the beginning of the year.
When the industry is determined, the ** inside will be directly enlarged or reduced in equal proportion according to the industry structure in the CSI 300.
Excess due to differentiation
Part of the reason why Anzhong Dynamics can achieve better alpha than the CSI 300 Index is also due to its obvious differentiation from other active index enhancement products.
One is that its income does not rely on stock selection, but through industry allocation, and the track it is on is not crowded, avoiding the problem of homogeneous alpha.
Compared with most active enhancement products that are oversized at the stock selection level, Anzhong's dynamic strategy is almost a rare opponent on this road, and it is almost the only one in the whole market, and its correlation with other CSI 300 index enhancements** in excess returns is very low.
The second is that its two strategies are based on different principles, complementing each other in different market styles, and will be a little more stable and sustainable than the CSI 300.
For example, in 2020, the equal-weight strategy is relatively weak, and the industry rotation will be carried out through the active part to overweight the strong sectors.
In 22 years, when the big beta opportunity disappeared, the industry rotated rapidly, the hot spots were switched centrally, the performance gap between the industries was too large, and no industry could get out of the long-term independence, the advantages of the equal-weight strategy with the reversal were reflected.
According to the current situation, this kind of ** is likely to continue, and the current allocation value of the CSI 300 Anzhong Dynamic Strategy Index is still the same.
In addition, the differentiation of the CSI 300 Anzhong dynamic strategy is actually a very novel supplement to the asset allocation of investment consulting and FOF products.
Calm Buddhism is the long-term way
*Manager Wu Zhenxiang is a postdoctoral fellow in applied mathematics at the Chinese Academy of Sciences, with 15 years of quantitative investment experience, and is one of the most senior quantitative managers in public offerings.
* I like to use "honest duty" and "Buddhist calm" to describe, Wu Zhenxiang himself is quite recognized, and this is also related to his investment philosophy.
Wu Zhenxiang is an extreme risk aversion, focusing on risk control and sticking to the essence of investment, which may seem more moderate for many people, but in the long run, especially when the market is volatile, survival is the key.
In the ever-changing A** market, China Universal Index and the quantitative team have been continuously improving the investment research capabilities and product development capabilities of the index and quantitative teams, and are still seeking innovation and differentiation in the face of accelerated industry rotation and poor replicability.
The CSI 300 Anzhong Dynamic Strategy is not a mainstream strategy, and the only CSI 300 Anzhong Index (A:000368;) in the market is currently tracking this indexc:018947）。
When the money-making effect of a strategy is obvious, everyone seems to habitually start to huddle, and the funds are scattered in a hurry, and finally both prosperity and loss.
Opening up new investment directions and finding differentiated strategies may be what the best companies should do, and how to diversify their allocation and reduce the volatility of their own portfolios is what we investors need to think about.