p align = “center” I. Market Review
In early March, the situation outside China was more complex, the epidemic rebounded in many parts of the country, and the international conflict between Russia and Ukraine caused local unrest. In addition, the Federal Reserve’s interest rate meeting in March was about to be held, and the volatility of global financial markets intensified. After a broad shock in February, China’s A-Shares have fallen continuously since March, with a turnover of about trillion yuan. In terms of sectors, the resurgence of the epidemic has pushed covid-19 detection and treatment sectors higher. In addition, the concept of counting East and West has also increased slightly. In response to the epidemic, the strengthening of control has led to a sharp decline in the hotel catering sector and a large decline in the relevant sectors of trade, shipping and new energy; In terms of style, the decline of large cap stocks is still large, and the decline of small and medium cap stocks is smaller. In terms of basis, the basis of CSI 300 index and CSI 500 index fluctuated greatly last week. Both fluctuated sharply from 5% of the premium to 25% of the discount, and returned to the original position after a short stay.
In terms of Hong Kong stocks, the new round of decline that began in mid February has not yet seen any signs of slowing down. Last week, the Hang Seng Index fell near the 20000 point mark, with large declines in all sectors, and smaller declines in property and power sectors. In terms of U.S. stocks, the main U.S. stock indexes fell sideways last week, and the market’s response to the interest rate hike and the conflict between Russia and Ukraine decreased. Most sectors are still in the process of decline, Chinese stocks fell significantly, and the epidemic related sectors and infrastructure sectors performed strongly.
In the commodity market, the international oil price fell sharply after reaching US $130 last week, and the main metals of LME except nickel fell simultaneously. The main sectors of the Chinese market have also experienced ups and downs. Among them, the chemical and oil sectors are weak, the non-ferrous sector has fallen faster, and the black sector has a small decline due to the limited increase in the early stage.
On the whole, the stock market fell sharply and continuously last week, the commodity market turned from rise to fall driven by the external market, and the overall volatility of the market increased significantly. The China base 50 Index performed well last week. Except for some losses in the stock long strategy, the hedging strategy, CTA and derivatives strategy all made profits.
II. Index trend
(I) Zhongji preferred private equity fund 50 index
The China base 50 index closed at 170112 in the week of March 11, down 1.80% from the week of March 4P align = “center” Figure 1 : 50 index trend chart p align = “center” (July 1, 2019 to March 11, 2022)
In terms of indicators, the annualized rate of return of China base 50 index exceeds 20%, which is close to five times of the 4.5% annualized rate of return of Shanghai and Shenzhen 300 index; In terms of risk, the annualized volatility of China base 50 index is about 12%, and the maximum pullback is no more than 10%, which are significantly lower than that of Shanghai and Shenzhen 300 index; In terms of risk return ratio, the sharp ratio of China base 50 index is about 1.6, while that of Shanghai and Shenzhen 300 index is only 0.1
(II) Zhongji preferred private equity fund 50 robust index
The benchmark date of the first secondary index of the Zhongji 50 Index – Zhongji preferred private equity fund 50 robust index (hereinafter referred to as “Zhongji 50 robust index”) is January 1, 2020. It closed at 154133 points in the week of March 11, slightly down 0.23% from the week of March 4.
In the last year, the yield of Zhongji 50 robust index was 6.06%, which is the comprehensive result of “optimization” and “allocation”. The Zhongji 50 robust index aims at “robustness”. On the basis of hedging strategy, it selects the sub funds of stock long strategy and CTA and derivatives strategy with high volatility. After balanced allocation, the volatility is expected to be reduced, the stable return is very expected, and the fund return can become the basic people’s returnP align = “center” Figure 2 : Zhongji preferred private equity fund 50 robust index trend p align = “center” (January 1, 2020 to March 11, 2022)
Since its establishment, the index’s annual volatility is less than 8% and the maximum pullback is no more than 4%; In terms of income, the cumulative income of China base 50 robust index exceeds 50%, the annualized rate of return reaches 22%, and the sharp ratio is close to 3.5%
III. composition performance
(I) Zhongji 50 index component performance
Last week, the China base 50 index fell 1.80%. Among the three major strategies, CTA and derivatives strategy contributed the most, 0.28%, hedging strategy also contributed 0.04%, and stock long strategy lost 2.12%.
All kinds of sub strategies under CTA and derivatives strategies have made profits, among which alternative strategies and medium and long-term strategies of fundamentals have made great achievements, and medium and long-term strategies of volume and price have also made some profits; Most of the sub strategies under the hedging strategy are profitable, among which the medium and high frequency alpha strategy is more profitable; Under the long stock strategy, all kinds of strategies have losses, but the range is relatively balanced.
Last week, 12 of the 50 constituent funds made profits. From the perspective of statistical indicators, except for hedging strategies, the profit and loss distribution of other strategies is relatively balanced.
(II) Zhongji 50 robust index component performance
Last week, the Zhongji 50 robust index fell slightly by 0.23%, of which the hedging strategy, which accounts for half of the proportion and plays the role of portfolio performance stabilizer, contributed 0.10% of the profit, the balanced CTA and derivatives strategy contributed 0.41%, and the stock bull strategy suffered a slight loss of 0.74%.
In terms of secondary strategy, most of the sub strategies under hedging strategy are profitable, most of the sub strategies under stock long strategy are loss, all of the sub strategies under CTA and derivatives strategy are profitable, and the alternative strategy is more profitable.
Description:
1. The Zhongji 50 index, Zhongji 50 robust index and trend chart are updated weekly (the net value as of the end of last week is released), which can be found on the official website of China Fund News (website) https://www.chnfund.com./ The official WeChat official account and official APP related columns will be consulted, and relevant reports such as weekly, monthly, quarterly, semi annual and annual reports will also be made public through the above media channels.
2. If the private placement institution intends to participate in the fund optimization of the future series of indexes, it can send the company, products and other materials to [email protected]. , we will arrange follow-up docking.
Relevant information:
1. Big event in the investment circle! China fund daily Private Equity Fund Index officially released
2. Notes on compilation of 50 index of Zhongji preferred private equity fund
3. Ten questions and ten answers of China private equity 50 Index
4. Major events in the investment circle! Just now, the active index of China Fund News: China Foundation private placement 50 robust index was officially released! How to compile it? How to perform? Authoritative experts analyze it and understand ten questions and ten answers
5. Notes on the compilation of 50 robust index of Zhongji preferred private equity fund
6. Ten questions and ten answers of China Foundation private placement 50 robust index
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