Performance tracking of Guoxin metalworking’s active quantitative strategy
The absolute excess return of the general fund was – 0.02%, and the absolute excess return of the general fund was – 2.02%.
This year, excellent fund performance enhanced the absolute return of the portfolio – 4.84%, which was 4.65% higher than the excess return of the common stock fund index. Since this year, the outstanding fund performance enhancement portfolio has ranked 10.94% of the active stock base (186 / 1700).
This week, the absolute return of the selected portfolio exceeded the expectation by 2.08%, which was – 0.33% relative to the excess return of the common stock fund index.
This year, the absolute return of the super expected selected portfolio was – 10.64%, and the relative excess return of the ordinary stock fund index was – 1.15%. Since the beginning of this year, the better than expected selected portfolio has ranked 52.06% in the active stock base (885 / 1700).
This week, the median stock return was 1.46%, 69% of the stocks rose and 31% of the stocks fell; The median active stock base was 2.07%, 89% of the funds rose and 11% of the funds fell.
This year, the median stock return was – 6.66%, 28% of the stocks rose and 72% of the stocks fell; The median active stock base was -10.44%, with 3% of funds rising and 97% of funds falling.
Outstanding fund performance enhancement portfolio
In the past two years, the return of active funds has been significantly higher than that of the broad-based index. Although there are some highlights in the relative return of quantitative funds, they do not have an advantage in the absolute return. In the face of this problem, we propose to change the traditional benchmarking wide base index into benchmarking active stock base when constructing quantitative portfolio. On the basis of learning from excellent fund positions, quantitative methods are used to enhance, so as to achieve the purpose of selecting the best from the best.
After considering the impact of positions and transaction costs, the annualized return of the excellent fund performance enhancement portfolio reached 25.56%, which was 14.43% higher than that of the ordinary stock fund index. In the 12 years since 2010, the performance ranking of most years of the portfolio basically ranked in the top 20% of the stock base.
Better than expected selection portfolio
Stocks with performance exceeding expectations have always been the focus of the market. We study all kinds of performance exceeding expectations and find that stocks have sustained and significant excess returns before and after the exceeding expectations. We screened the stock pool of unexpected events on the condition that the research report title exceeded expectations and the analysts raised the net profit across the board. Then we selected the stocks in the stock pool of unexpected events from the two dimensions of fundamentals and technology, selected the unexpected stocks with both fundamental support and technical resonance, and constructed the portfolio of unexpected selected stocks.
Since 2010, the full warehouse annualized return of the super expected selected portfolio has reached 43.55%, and the annualized excess relative to the CSI 500 index has reached 39.18%. After considering the impact of positions and transaction costs, the annualized return of the portfolio reached 37.55%, which was 26.48% higher than that of the ordinary stock fund index.
Risk warning: risk of market environment change and model failure.
