20230803-华鑫证券-金融工程月报_净值动量选基因子7月回落_鑫_选均衡20股基组合超额新高_16页_1mb

Summary of Financial Engineering Monthly Report (August 2023)

Date and Overview

On August 2, 2023, the report summarizes key events from July, including a downturn in net value momentum gene performance due to a market style shift. The "Xin" selected balanced equity fund of funds (FOF) combination achieved a new high in excess returns over active stock funds.

Market Performance in July

Equity markets saw emerging markets outperforming developed markets, with A-share and H-share indices leading gains due to policy support and global economic conditions. Large-cap stocks dominated, with finance and cyclical sectors such as non-bank finance, real estate, and industrial goods recording significant涨幅. The Wind equity hybrid fund index lagged behind the market.

Actively Managed Stock Fund Performance

July's top-performing active funds focused on large financial stocks, with returns exceeding 10% for many. Equipment manufacturing funds retreated while cyclical sectors gained strength. The main strategy transitioned from TMT in Q1 to financially-oriented funds in June, amid broad market style changes.

Gene Selection and Factor Performance

Quantitative gene performance weakened in July, with net value momentum declining. Alpha genes such as the unique style alpha showed stable performance in certain markets, but risk-adjusted genes fragmented. The "Xin" selected 20-stock FOF combination utilized these genes effectively, aligning with historical backtest results.

FOF Portfolio Performance

The balanced "Xin" selected 20-stock FOF combo outperformed active stock funds by +189% in July (cumulative +686% year-to-date). Its design ensures steady alpha contribution and excess returns, making it suitable for portfolio diversification.

Recommended Funds

For investors, portfolios should focus on stable growth or cyclical sectors, depending on market conditions.

Risk Considerations

Market shifts can impair performance; funds' past performance does not guarantee future results. Analysts advise monitoring market dynamics and model limitations are noted in the report.