Zhongji preferred private equity fund 50 Index (including robust index) weekly report
(data as of April 8, 2022)
I. Market Review
Last week, multiple bad news outside China hit the market. The minutes of the March meeting of the Federal Reserve showed that the rate hike may be much higher than in the past, which may reach 50 basis points several times. At the same time, it is expected to start reducing the balance sheet in May, with a maximum scale of US $95 billion per month. In China, the Shanghai epidemic and spillover have raised concerns about sustained economic growth. In order to achieve the goal of “stable growth”, the executive meeting of the State Council held on April 6 pointed out that we should make timely and flexible use of a variety of monetary policy tools and increase support for the real economy. In terms of real estate, since April, many cities have relaxed the purchase policy, involving purchase restrictions, loan restrictions, sales restrictions, provident fund loans, mortgage interest rates and other aspects.
Under the background of the gradual tightening of international liquidity and the increasing pressure on China’s stable economy, China’s A-share market fluctuated and fell, and the transaction volume decreased to less than 1 trillion yuan. In terms of sectors, the relaxation of real estate policies led the rise of the real estate sector, driving the building materials, steel, cement, coal, construction machinery and other sectors, while the aviation, semiconductor, electrical equipment and other sectors fell significantly. In terms of style, the performance of large cap stocks represented by CSI 300 and SSE 50 is stronger than that of medium and small cap stocks such as CSI 500 and CSI 1000. In terms of basis, the discount range of CSI 300 and CSI 500 has been expanded, and the discount range of CSI 300 index is larger.
In terms of Hong Kong stocks, China US regulatory cooperation played a positive role in stopping the decline of Hong Kong stocks in mid March. Since the sideways trading of Hong Kong stocks after a slight rebound, the performance of real estate and energy sectors has been strong. The overall performance of US stocks was weak, but the Dow Jones index was significantly stronger than NASDAQ and S & P 500. Mining, retail, energy, pharmaceutical, tobacco, food and beverage, public utilities and other sectors rose to a certain extent, while most industries such as the Internet fell. China concept stocks fell after entering April, and their performance is still weak.
In the commodity market, with the Fed’s interest rate hike, the US dollar index hit a short-term high, which has played a certain role in suppressing commodity prices. Among them, the crude oil market tends to be stable. At present, the main metals of LME begin to divide in a wide range, Shenzhen Agricultural Products Group Co.Ltd(000061) in which the rise of cotton and soybean is suspended, and the rise of corn and sugar continues. Chinese commodities fluctuated mainly in a narrow range last week. Among industrial products, except for the black sector, nonferrous metals and chemical industry fell slightly, Shenzhen Agricultural Products Group Co.Ltd(000061) among which only oil and soft commodities increased by a certain extent.
On the whole, the stock market performed poorly last week, the sectors rotated rapidly, the commodity market also began to divide, the volatility decreased, and the three strategies under the China base 50 index all suffered small losses.
II. Index trend
(I) Zhongji preferred private equity fund 50 Index
The China base 50 index closed at 167883 in the week of April 8, down 0.74% from the week of April 1.
In terms of indicators, the annualized rate of return of China base 50 index exceeds 20%, far exceeding the annualized rate of return of Shanghai and Shenzhen 300 index by 4%; In terms of risk, the annualized volatility of China base 50 index is about 12%, and the maximum pullback is about 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 1.5, while the Shanghai and Shenzhen 300 index is less than 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 152806 points in the week of April 8, slightly down 0.37% from the week of April 1.
In the last year, the yield of Zhongji 50 robust index was 5.07%, 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 return.
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 exceeds 20%, and the sharp ratio is about 2.5.
III. composition performance
(I) performance of China base 50 Index
Last week, the China base 50 index fell slightly by 0.74%, and all three strategies suffered losses. The stock long strategy, hedging strategy, CTA and derivatives strategy suffered losses of 0.66%, 0.01% and 0.07% respectively.
Nearly half of the sub strategies under the hedging strategy are profitable, of which the high-frequency alpha strategy is the most profitable, followed by the medium and high-frequency alpha strategy; Under the stock long strategy, most strategies lose money, but the alternative strategy is unique; The sub strategies under CTA and derivatives strategy have losses, and the medium and long-term strategies in terms of fundamentals perform relatively well.
Last week, 10 of the 50 constituent funds made profits. From the perspective of statistical indicators, the profit and loss distribution of the three strategies is relatively balanced.
(II) performance of China base 50 robust index
Last week, the Zhongji 50 robust index fell slightly by 0.37%, of which the hedging strategy, which accounts for half of the country and plays the role of portfolio performance stabilizer, suffered a slight loss of 0.02%, the balanced CTA and derivatives strategy suffered a loss of 0.15%, and the stock long strategy suffered a slight loss of 0.20%.
In terms of secondary strategy, nearly half of the sub strategies under the hedging strategy are profitable, and the high-frequency alpha strategy is the most profitable, followed by the medium-frequency alpha strategy; Under the long stock strategy, most strategies lost money, but alternative strategies made some profits, and the two sub strategies under CTA and derivatives strategy suffered small losses.
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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