Core view:
Market review:
In the first quarter of 2022, the main indexes of Shanghai and Shenzhen markets fell across the board. Among the 31 Shenwan level industries, 4 industries closed up, including coal, comprehensive, real estate, agriculture, forestry, animal husbandry and fishery. Electronics, household appliances, food and beverages led the decline, with a decline of more than 20%. The rotation of market style is not obvious. The value factor significantly outperforms the growth factor. There is no significant difference between large cap stocks and small cap stocks.
Overview of public fund market:
In the first quarter of 2022, the number and scale of public funds were basically the same as that at the end of 21. The net value of partial equity funds fell by 16.0% on average; The net value of fof funds fell by 8.4% on average; The net value of partial debt funds fell by an average of 4.4%; The net value of pure debt funds fell by an average of 0.4%; Commodity funds rose by 8.7% on average; QDII funds fell an average of 7.9%. Small funds with a scale of 100 million-1 billion had the lowest return withdrawal, at – 14.9%. The return rate of super large-scale funds with a scale of more than 10 billion is the lowest, with an average withdrawal of 19.0%, and only one is a positive return. In terms of fund style, small cap style funds perform better than large cap and medium cap style funds. Value style funds outperform balanced style funds and growth style funds.
ETF Market Overview:
By March 30, 2022, the share of ETFs has increased by 16.14% to 1.2 trillion; The total scale decreased by 7.06% to 1.4 trillion yuan; The average daily turnover reached 856.75 billion yuan. Ten new ETF funds were issued, and the number of ETF funds reached 677.
The top five ETFs for growth are coal ETF, dividend ETF, real estate ETF, bank ETF and aquaculture ETF; The top five ETFs with decline in the first quarter of 2022 are 5getf, wine ETF, national defense ETF, Internet ETF and home appliance ETF; In terms of capital flow, the top five subjects of net capital inflow are gem ETF, e fund, gem 50ETF, brokerage ETF, chip ETF and securities ETF; The top five objects of net capital outflow are SSE 50ETF, CSI 500etf, CSI 300etf, bank ETF, Tianhong and consumer ETF.
Model operation:
In the first quarter of 2022, the risk budget model decreased by – 0.8% and the risk parity model increased by 0.2%.
Since 2014, the annualized return of the risk parity model has been 6.0%, and the sharp ratio has been 1.51; The annualized return of the risk budget model is 7.1%, and the sharp ratio is 1.05.
Fund pool operation:
Considering the factors such as scale, holder structure, position concentration, style preference and historical return performance, we established the fof fund portfolio and gave the recommended fund pool in the first quarter of 2022. The average return of the fund pool was – 15.1%, outperforming the average value of partial equity funds by 0.9%.
Risk warning: market fluctuation and market style conversion risk. This report does not constitute investment suggestions.
