20230708-开源证券-基金研究系列（20）_大类盘点_主动小盘基金_12页_1mb

报告摘要

Analysis Summary of Financial Engineering Topic: Active Small-Cap Funds and CSI 1000 Index

1. Market and Index Performance

The CSI 1000 index has demonstrated strong performance, with a 510% increase in 2023, outperforming indices like CSI 300 and CSI 500. This growth stimulated demand for related funds, leading to the launch of 55 CSI 1000-linked funds since 2022, with total issuance of nearly 500 billion CNY. The index features broad industry distribution and high growth potential, with a valuation still relatively low.

2. Active Small-Cap Funds Overview

There are 29 active small-cap funds with a combined size of 319 billion CNY as of Q1 2023.
A majority (17 funds) were established in 2022.
Quantitative strategies dominate, leveraging the index's diversified components and suitability for wide-scale quantitative selection. Average holdings include around 334 stocks, with low top-ten holding concentration.

3. Performance Analysis

All 29 funds achieved positive returns in 2023, averaging 763%.
Top performers: Longcheng Quantitative Small-Cap (1307%), CMBC CSI 1000 Index Enhancement A (1079%), and Guatujianan CSI 1000 Index Enhancement A (1050%).
During the first four months of 2023, active small-cap funds faced challenges but gained significantly later, with monthly excess returns averaging 1.11% to 1.23%.

4. Holding Analysis

Funds hold diversified portfolios, with average top-ten holding concentration below 20%.
Heavy turnover; for example, Longcheng Quantitative Small-Cap updated its holdings entirely.
Overlap among top holdings is modest, with 21 stocks held by multiple funds. These stocks showed significant excess returns, averaging 174% to 207% in key periods.

5. Investment Strategies

Dominated by quantitative methods, including multi-factor models, technical analysis, and machine learning.
Three funds using machine learning (Longcheng Quantitative Small-Cap, Guatujianan CSI 1000 Index Enhancement A, CITIC Securities CSI 1000A) delivered top performance in 2023.

6. Risk Considerations

Past performance does not guarantee future results; evaluation models are based on historical data.
Market factors, style shifts, and other elements pose risks to investment outcomes. - The analysis is not investment advice.

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