20240119-开源证券-量化基金业绩简报_公募1000指增业绩强势_头部私募中性策略回调_9页_1mb

Quantitative Fund Performance Summary - January 2024

Overview

This report summarizes the performance of public and private quantitative funds, focusing on index enhancement strategies for major Chinese indices as of Q1 2024. Key data includes recent monthly and year-to-date excess returns for public funds, as well as private fund performances.

Public Equity Enhancement Funds Performance

The analysis tracks funds for SSE 300, CSI 500, and CSI 1000 indices, highlighting long-term and recent results.

• SSE 300 Index: Since 2023, the cumulative excess return is 127%, with 39 out of 56 funds showing positive performance. The top performers with highest cumulative excess returns include BoDao沪深300指数增强A, HuatianFu沪深300指数增强A, and Fortis沪深300增强A. From December 18, 2023, the average excess return for this index was -0.67%.

• CSI 500 Index: Cumulative excess returns since 2023 stand at 348%, with 45 funds positive and 11 negative. Top funds by cumulative excess return are华夏中证500指数增强A, 华夏中证500指数智选A, and 长城中证500指数增强A. From December 18, 2023, the average excess return was 179%.

• CSI 1000 Index: All 20 tracked funds showed positive performance since 2023, with a cumulative excess return of 694%. Top funds include太平中证1000A, 招商中证1000增强策略ETF, and 国泰君安中证1000指数增强A. From December 18, 2023, the average excess return was 274%.

Private Funds Performance

Private quantitative funds' performance is measured via a medium strategy index. In December 2023, the average return for top private funds was -0.30%, ranging from -1.21% to 0.43%. The two-year performance for the private index indicated a strong 546% return since 2022.

Risk and Limitations

The analysis is based on historical data, which has inherent limitations, and future market conditions may differ. No guarantee is given for future performance or specific outcomes.