In 2022, the stock market was dragged down by the power of the stock market. The active equity fund suck heavily, and even suffered a 30% decline in a few trading days, especially the loss of the theme fund and the explosive fund. So if the time is extended to the three-year dimension, which funds are not noticed are long-distance runners? Which indicators are the tools that the foundation should trust?
short term attention should be paid to represented by sharp ratio
"income quality" index
Sharp ratio is one of the most classic indicators to measure the quality of returns. It uses the standard deviation to represent the risk of products and measure the excess return rate of relatively risk-free returns when the portfolio bears unit risk. Its core idea is that rational investors will hold an effective portfolio, For example, the expected return is the largest at a given risk level or the risk is minimized at the expected return level.
From the past statistical results, the income quality indicators represented by sharp ratio have positive predictability for future performance as a whole, that is, the funds that can produce stable and high returns in history will perform better in the future. The logic is that the shorter the period for assets with higher sharp ratio to obtain positive returns, the more likely it is to achieve its expected rate of return. The evaluation dimension was extended to three years, and the sharp ratio of equity funds such as Dacheng state-owned enterprise reform, Hua'an Anxin consumer services and ICBC Credit Suisse strategic transformation was high.
Taking the reform of Dacheng state-owned enterprises as an example, its relative ranking has been in the top 30% of the market every year since 2019. Observing its position, it can also be found that since Han Chuang took office, its investment strategy is quite different from the previous value style of white horse blue chip. At present, the investment idea of the product is to focus on the prosperity of the industry. Its stock selection framework comes from the prosperity of the industry and the selection of leaders in subdivided industries. The positions include traditional high energy consuming industries, new energy, transformation and upgrading of power grid system, new materials and other fields. Positions are allocated after in-depth research from the perspective of meso and micro, such as Sailun Group Co.Ltd(601058) , Haohua Chemical Science & Technology Corp.Ltd(600378) and other stocks.
The strategic transformation of Hua'an Anxin consumer services and ICBC Credit Suisse is based on bottom-up stock selection and adjusted positions through top-down logic; Hua'an Anxin consumer services increased its holdings of Huaneng Power International Inc(600011) , Shenergy Company Limited(600642) and other related targets under the recovery of traditional energy profits and internal new energy transformation. Hotels and airlines have undergone great changes in the supply side during the epidemic, and the good transfer of demand is accompanied by greater flexibility; ICBC Credit Suisse's strategic transformation moderately increased its holdings in the real estate and infrastructure industry chain and reduced its holdings of Shanxi Lu'An Environmental Energydev.Co.Ltd(601699) , Yunda Holding Co.Ltd(002120) and other stocks with large increase in 2021 and obvious upward valuation.
It can be seen from the above examples that the income quality corresponding to high sharp ratio also needs to be dynamically adjusted under the background of high fluctuation, strong rotation and internal logic switching from "final thinking" to "track thinking" since 2019. On the one hand, stocks with good corporate governance structure, certain growth space, good competition pattern, stable profitability and certain safety margin of valuation are still the main direction of allocation; On the other hand, it is still necessary to adjust warehouse based on top-down or industry comparison, and it is even the core factor to improve product quality.
Of course, we should also pay attention to the usage of sharp ratio. Different types of funds need to be judged under the same time dimension. For example, for the "fixed income +" strategy with low positions in the mixed base, the sharp ratio is significantly higher than that of high position products. At the same time, the more detailed the strategy classification is, the better the comparison effect is.
It is assumed that the risk return characteristics are different by comparing the managers who adopt deep value strategy and industry rotation strategy with those who are good at new energy and deep excavation of food and beverage industry.
"return on adversity" can be evaluated
product mid-term stock selection ability
However, such indicators as sharp ratio also have certain limitations, that is, its denominator income does not subdivide the market state. However, in a bull market, simple investment strategies can also obtain higher returns, while fund managers who really have the ability to select stocks are covered up by market prosperity, but fund managers who really have the ability to invest in a falling market are easy to be identified, and their managed products have obvious excess returns.
The author multiplies the product yield in the past 18 falling months and obtains the "adverse return". From the perspective of index construction logic and practical verification, the screening effect of "adverse return" is also good.
From the base selection results of this index, the products with balanced individual stocks in the industry can get better protection when the market falls. SDIC UBS Ruiyuan's four seasons report reduced its position to less than 50%, allocated more real estate and cyclical products, and individual stocks in other industries were relatively scattered. From the perspective of investment strategy, the source of fund income still comes from the internal value of the company, especially Gemdale Corporation(600383) , China Shenhua Energy Company Limited(601088) , Tecon Biology Co.Ltd(002100) and other stocks newly included in heavy positions in the fourth quarter. The logic of including individual stocks is also mainly related to fundamentals. It is required that the gross profit margin, roe and net profit margin of holding stocks take the lead in the sub industry, and have good cash flow and reasonable asset liability ratio.
As for the other product with higher "return on adversity", the positions of Jin Yuanshun and an Yuanqi are more dispersed. The number of stocks held is more than 100, and the position of each stock is no more than 1%. In terms of stock selection, the lower valuation level and the improvement of the company's operation are taken as the main factors. This partial quantitative approach can control the risks exposed by a single style or industry, At the same time, these individual stocks have little institutional coverage and low relative valuation, which also retains a certain upward elasticity.
Observing the fund's position, we can see that the industry is very scattered, the concentration is low, there is no obvious tendency in the industry, and the ratio between industries will be adjusted appropriately with the changes of the market. In terms of individual stocks, when the valuation level of growth stocks is low, the proportion of growth stocks will be appropriately increased; When the valuation level of growth stocks is high, the proportion of undervalued stocks will be increased, and the overall operation is relatively flexible. At the same time, the concentration of stocks is also significantly lower than the average level of similar stocks.
Through the performance back test, "adverse return" has a good prediction effect on the performance in the next 6-12 months, but the index is not available on all platforms. It needs to have the source of net value data and certain statistical skills, which is slightly more difficult to apply. In conclusion, sharp ratio and other risk return indicators measure quality, and "adverse return" tests the response of products in an inferior environment.
However, different indicators also have certain limitations. Sharp is suitable for long-term evaluation, and the "adverse return" has better quantitative effect in the medium and short term. In addition, alpha, the proportion of institutional investors and the number of fof holdings obtained by TM and HM models are also effective indicators for predicting the fund return. It is suggested that investors consider comprehensively and make a balanced layout.
