公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因

1、內(nèi)容要點(diǎn)：發(fā)展現(xiàn)狀業(yè)績(jī)表現(xiàn)投資策略收益歸因發(fā)展展望2請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因1.1 公募對(duì)沖基金規(guī)模處于上升趨勢(shì)2019年初以來(lái)，股指期貨流動(dòng)性好轉(zhuǎn)，負(fù)基差大幅收斂，市場(chǎng)中性策略迎來(lái)轉(zhuǎn)機(jī)。公募對(duì)沖基金迅猛發(fā)展，受到穩(wěn)健投資者的追捧。資料來(lái)源：Wind，海通證券研究所截至2020年12月底，處于存續(xù)狀態(tài)的公募對(duì)沖基金產(chǎn)品共有25只，其中2020年新發(fā) 產(chǎn)品數(shù)量達(dá)10只；總規(guī)模較Q3稍有回落，合計(jì)為572.97億元。圖：公募對(duì)沖基金產(chǎn)品規(guī)模與數(shù)量變化（億元，2014Q1-2020Q4）0100200400300500600800700051015202

2、530數(shù)量（只）規(guī)模（億元，右軸）3請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明4請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明1.2 公募對(duì)沖基金信息一覽資料來(lái)源：Wind，海通證券研究所代碼基金簡(jiǎn)稱基金成立日現(xiàn)任基金經(jīng)理最新規(guī)模（億元）機(jī)構(gòu)投資者持有比例000414.OF嘉實(shí)絕對(duì)收益策略2013-12-06金猛2.2487.55%000585.OF嘉實(shí)對(duì)沖套利2014-05-16金猛,方晗4.4062.93%000667.OF工銀瑞信絕對(duì)收益A2014-06-26游凜峰15.4672.79%000753.OF華寶量化對(duì)沖A2014-09-17徐林明,王正31.8575.35%519062.OF海富通阿爾

3、法對(duì)沖A2014-11-20杜曉海,朱斌全104.1279.06%000844.OF南方絕對(duì)收益策略2014-12-01李佳亮14.5987.19%000992.OF廣發(fā)對(duì)沖套利2015-02-06陳甄璞,陳宇庭23.1688.63%001059.OF中金絕對(duì)收益策略2015-04-21魏孛0.530.00%001073.OF華泰柏瑞量化收益2015-06-29田漢卿10.0697.06%001641.OF富國(guó)絕對(duì)收益多策略A2015-09-17于鵬42.6589.32%001791.OF大成絕對(duì)收益A2015-09-23夏高1.6643.37%002224.OF中郵絕對(duì)收益策略2015-12

4、-30王喆9.9092.00%002804.OF華泰柏瑞量化對(duì)沖2016-05-26田漢卿,曾鴻4.8793.43%000762.OF匯添富絕對(duì)收益策略A2017-03-15顧耀強(qiáng),吳江宏210.3145.72%005280.OF安信穩(wěn)健阿爾法定開A2017-12-06徐黃瑋4.8634.93%008831.OF海富通安益對(duì)沖A2020-01-22杜曉海23.8681.63%008835.OF富國(guó)量化對(duì)沖策略三個(gè)月A2020-02-25方旻11.6169.20%008851.OF景順長(zhǎng)城量化對(duì)沖策略三個(gè)月2020-02-27黎海威12.6870.55%860010.OF光大陽(yáng)光對(duì)沖策略6個(gè)月A

5、2020-03-25李聚華,李祿俊20.161.52%008895.OF申萬(wàn)菱信量化對(duì)沖策略2020-03-25劉敦,夏祥全8.6064.55%008848.OF中融智選對(duì)沖策略3個(gè)月定開2020-04-03趙菲0.10100.00%008838.OF德邦量化對(duì)沖策略A2020-04-29王本昌2.3454.96%008856.OF華夏安泰對(duì)沖策略3個(gè)月定開2020-06-05孫蒙6.9035.74%920012.OF中金匯越量化對(duì)沖策略3個(gè)月定開A2020-09-17方圓2.6212.81%010668.OF工銀優(yōu)選對(duì)沖A2020-12-30游凜峰,陳小鷺3.420.00%表：公募對(duì)沖基金產(chǎn)

6、品基本信息（2020Q4）內(nèi)容要點(diǎn)：發(fā)展現(xiàn)狀業(yè)績(jī)表現(xiàn)投資策略收益歸因發(fā)展展望5請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因2.1 公募對(duì)沖基金近年來(lái)業(yè)績(jī)優(yōu)異6請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所2019-2020表現(xiàn)優(yōu)異，但近期波動(dòng)有所加劇。表：公募對(duì)沖基金產(chǎn)品業(yè)績(jī)（截至2021.04.08）今年以來(lái)（2021.01.01-2021.04.08）近1年（2020.04.09-2021.04.08）近3年（2018.04.09-2021.04.08）累計(jì)收益年化波動(dòng)率最大回撤夏普比率年化收益年化波動(dòng)率最大回撤夏普比率年化收益年化波動(dòng)率

7、最大回撤夏普比率000414.OF3.34%5.81%1.95%2.3212.12%5.18%2.00%2.345.21%3.98%3.93%1.31000585.OF3.12%7.63%2.94%1.6411.64%5.56%2.94%2.095.86%4.68%4.87%1.25000667.OF-2.01%5.36%3.11%-1.406.71%4.23%3.11%1.595.87%4.47%6.94%1.31000753.OF-0.06%4.70%1.77%-0.055.22%3.13%1.77%1.675.11%3.85%2.51%1.33519062.OF1.82%9.54%6.0

8、4%0.753.68%6.32%6.04%0.586.82%5.17%6.04%1.32000844.OF-1.19%8.26%5.33%-0.547.04%5.68%5.33%1.245.60%4.69%5.33%1.19000992.OF0.29%6.48%3.60%0.175.04%4.63%3.60%1.097.33%5.46%3.60%1.34001059.OF0.72%6.51%3.42%0.433.87%5.21%3.42%0.743.24%4.19%3.74%0.77001073.OF0.80%4.53%1.28%0.690.10%5.43%5.79%0.024.03%4.76

9、%5.79%0.85001641.OF-1.04%8.04%5.34%-0.496.22%6.74%5.34%0.927.46%5.88%5.34%1.27001791.OF-2.53%7.36%6.71%-1.28-8.40%5.98%10.09%-1.40-1.16%4.83%10.09%-0.24002224.OF0.09%4.92%2.33%0.078.28%4.19%2.33%1.976.51%4.00%4.53%1.63002804.OF1.48%4.92%1.08%1.182.60%5.57%5.19%0.475.15%4.92%5.19%1.05000762.OF-0.07%7

10、.88%4.69%-0.037.11%5.88%4.69%1.217.95%5.00%5.85%1.59005280.OF1.91%5.74%1.54%1.3112.83%4.37%1.54%2.946.50%3.31%2.69%1.96008831.OF2.11%9.08%5.64%0.925.79%6.22%5.64%0.93008835.OF3.62%6.28%1.62%2.333.04%5.51%3.32%0.55008851.OF5.11%6.09%1.30%3.466.40%5.33%3.52%1.20860010.OF1.23%5.07%2.35%0.956.26%4.50%2.

11、78%1.39008895.OF1.33%4.07%1.26%1.287.20%3.13%1.26%2.30008848.OF1.74%6.07%2.46%1.131.79%4.48%2.61%0.40008838.OF-1.14%4.40%2.79%-0.98008856.OF5.21%5.47%1.26%3.94920012.OF0.24%5.02%2.30%0.19010668.OF-1.70%4.52%2.68%-1.41均值0.98%6.15%2.99%0.665.45%5.11%3.92%1.155.43%4.61%5.10%1.20中位數(shù)0.80%5.81%2.46%0.696.

12、22%5.33%3.42%1.205.86%4.69%5.19%1.312.1 公募對(duì)沖基金近年來(lái)業(yè)績(jī)優(yōu)異圖：公募對(duì)沖基金組合凈值（截至2021.04.08 ）圖：公募對(duì)沖基金歷年收益表現(xiàn)（2014-2020）表：公募對(duì)沖基金組合業(yè)績(jī)（2014.01.01-2021.04.08）1.401.351.301.251.201.151.101.051.000.95201312312014030520140505201407012014082620141029201412242015022720150427201506242015081920151023201512182016022220160419

13、201606172016081220161018201612132017021520170414201706142017080920171011201712062018020120180409201806062018080220180928201811302019012920190402201906032019073020190925201911272020012320200327202005282020072720200921202011242021012020210324等權(quán)規(guī)模加權(quán)-1.3%1.5%8.0%-1.9% -1.9%13.5% 12.7%0.8%2.7%0.3%7.5%8.9

14、% 8.7%16%14%12%10%8%6%4%2%0%-2%-4%2014201520162017-0.1%201820192020均值中位數(shù)組合方式累計(jì)收益年化收益年化波動(dòng)率最大回撤夏普比率Calmar比率今年以來(lái)等權(quán)0.98%3.80%4.81%2.37%0.791.60規(guī)模加權(quán)0.61%2.37%6.68%4.06%0.350.58近1年等權(quán)5.28%5.25%3.87%2.37%1.362.22規(guī)模加權(quán)4.95%4.93%4.86%4.06%1.011.21近3年等權(quán)16.28%5.12%3.27%2.37%1.572.16規(guī)模加權(quán)16.14%5.08%3.74%4.06%1.361

15、.25近5年等權(quán)18.03%3.35%2.77%2.37%1.211.41規(guī)模加權(quán)18.10%3.36%3.13%4.06%1.080.83全區(qū)間等權(quán)34.95%4.18%3.24%4.77%1.290.88規(guī)模加權(quán)29.89%3.64%3.39%5.24%1.070.697請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所2.2 公募對(duì)沖基金與其他基金產(chǎn)品相關(guān)性低圖：公募對(duì)沖基金組合與普通股票、偏股混 合型基金指數(shù)走勢(shì)對(duì)比（截至2021.04.08）表：公募對(duì)沖基金與其他主要基金指數(shù)的 相關(guān)性均較低（截至2021.04.08）公募對(duì)沖基金與其他基金產(chǎn)品相關(guān)性低，凈值走勢(shì)

16、獨(dú)立。2014年以來(lái)，對(duì)沖基金組合與其他基金指數(shù)的相關(guān)系數(shù)均不超過0.3。對(duì)沖基金 等權(quán)組合普通股票型 基金指數(shù)偏股混合型 基金指數(shù)債券型基 金指數(shù)貨幣市場(chǎng) 基金指數(shù)萬(wàn)得 全A對(duì)沖基金等權(quán)組合1.000.300.300.120.070.22普通股票型基金指數(shù)1.001.000.700.030.96偏股混合型基金指數(shù)1.000.700.020.96債券型基金指數(shù)1.000.100.73貨幣市場(chǎng)基金指數(shù)1.000.03萬(wàn)得全A1.004.003.503.002.502.001.501.000.50201312312014030520140505201407012014082620141029201

17、412242015022720150427201506242015081920151023201512182016022220160419201606172016081220161018201612132017021520170414201706142017080920171011201712062018020120180409201806062018080220180928201811302019012920190402201906032019073020190925201911272020012320200327202005282020072720200921202011242021012

18、020210324等權(quán)普通股票型基金指數(shù)偏股混合型基金指數(shù)8請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所內(nèi)容要點(diǎn)：發(fā)展現(xiàn)狀業(yè)績(jī)表現(xiàn)投資策略收益歸因發(fā)展展望9請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因10請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.1 資產(chǎn)配臵將基金持倉(cāng)分成對(duì)沖、股票凈多頭、可轉(zhuǎn)債、債券（非可轉(zhuǎn)債）四部分，并稱之為有效倉(cāng)位。圖：公募對(duì)沖基金資產(chǎn)配臵（2014Q1-2020Q4）圖：公募對(duì)沖產(chǎn)品有效倉(cāng)位變化（2014Q1-2020Q4）2020Q4，公募對(duì)沖基金的對(duì)沖倉(cāng)位為58.25%，股票凈多

19、頭倉(cāng)位為8.73%，與2020Q2相比分別上升13.74%和1.88%。2020年下半年債券走熊，可轉(zhuǎn)債倉(cāng)位從2020Q2的2.45%下降至1.83%，債券（非可轉(zhuǎn)債）倉(cāng)位從2020Q2的23.54%下降至2020Q4的15.62%。201403312014063020140930201412312015033120150630201509302015123120160331201606302016093020161231201703312017063020170930201712312018033120180630201809302018123120190331201906302019093

20、02019123120200331202006302020093020201231100%90%80%70%60%50%40%30%20%10%0%股票債券現(xiàn)金其他20140331201406302014093020141231201503312015063020150930201512312016033120160630201609302016123120170331201706302017093020171231201803312018063020180930201812312019033120190630201909302019123120200331202006302020093020

21、201231100%90%80%70%60%50%40%30%20%10%0%對(duì)沖股票凈多頭可轉(zhuǎn)債債券（非可轉(zhuǎn)債）11請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.1 資產(chǎn)配臵公募對(duì)沖基金一般要求其權(quán)益類空頭頭寸的價(jià)值占基金權(quán)益類多頭頭寸價(jià)值的比例范圍在80%-120%之間。2020年以后成立的產(chǎn)品為90%-100%。2020Q4，公募對(duì)沖產(chǎn)品平均多頭敞口為8.19%，相比2020Q2下降1.77%。6只產(chǎn)品多 頭敞口低于2%；其中華泰柏瑞量化對(duì)沖與量化收益兩只產(chǎn)品多頭敞口僅為-0.01%和 0.18%，基本完全對(duì)沖。圖：公募對(duì)沖產(chǎn)品多頭敞口占比5%10%15%2

22、0%25%0%123456789101112131415161718192021222324-5%2020Q42020Q212請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.2 對(duì)沖工具選擇公募對(duì)沖基金主要以滬深300股指期貨作為對(duì)沖工具。圖：公募對(duì)沖基金股指期貨持倉(cāng)品種分布圖：公募對(duì)沖基金持倉(cāng)期貨月份分布2020Q4，IF、IC、IH持倉(cāng)占比分別為88.55%、7.71%和3.73%。對(duì)沖產(chǎn)品大多選擇當(dāng)月和當(dāng)季合約，2020Q4占比分別為19.66%和72.44%。由于股 指期貨多數(shù)時(shí)間處于貼水狀態(tài)，季月合約年化基差成本往往低于當(dāng)月合約。另一方 面，使用季月合約對(duì)

23、沖，展期次數(shù)小于當(dāng)月合約，有利于降低交易成本。20140331201406302014093020141231201503312015063020150930201512312016033120160630201609302016123120170331201706302017093020171231201803312018063020180930201812312019033120190630201909302019123120200331202006302020093020201231100%90%80%70%60%50%40%30%20%10%0%IF IC IH201403312014

24、06302014093020141231201503312015063020150930201512312016033120160630201609302016123120170331201706302017093020171231201803312018063020180930201812312019033120190630201909302019123120200331202006302020093020201231100%90%80%70%60%50%40%30%20%10%0%當(dāng)月下月當(dāng)季下季13請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.3 行業(yè)與個(gè)股

25、特征表：公募對(duì)沖基金指數(shù)成分股權(quán)重分布（2020Q4）表：公募對(duì)沖基金相對(duì)滬深300指數(shù)的個(gè)股權(quán)重偏離（2020Q4）公募對(duì)沖基金持股主要集中于滬深300成分股，并嚴(yán)格限制成分股權(quán)重偏離。ABCDEFGHIJKLMNO平均滬深30069.0%82.1%80.4%93.6%88.7%72.1%77.2%96.7%75.6%76.0%81.4%85.0%96.8%76.5%92.3%82.9%中證50016.6%7.9%8.6%3.3%4.8%17.6%11.1%0.8%11.5%15.2%16.6%8.3%0.0%6.7%1.7%8.7%其他14.4%10.0%11.0%3.1%6.5%10.3

26、%11.7%2.5%12.8%8.8%2.0%6.6%3.2%16.8%6.0%8.4%ABCDEFGHIJKLMNO平均2%0.7%0.3%0.3%0.0%0.3%0.3%0.0%0.0%0.3%0.0%0.0%0.0%2.0%0.3%0.3%0.3%14請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.3 行業(yè)與個(gè)股特征公募對(duì)沖基金為了降低股票組合相對(duì)基準(zhǔn)的跟蹤誤差，通常會(huì)將行業(yè)偏離限制在2-3%左右，但不同產(chǎn)品之間存在差異。圖：公募對(duì)沖基金相對(duì)滬深300指數(shù)的行業(yè)偏離（2020Q4）15請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所3.

27、3 行業(yè)與個(gè)股特征我們按照每只基金持有期貨品種對(duì)應(yīng)標(biāo)的指數(shù)的比例加權(quán)，作為該基金的基準(zhǔn)。2020Q4，公募對(duì)沖基金顯著超配的行業(yè)有化工、電氣設(shè)備、機(jī)械設(shè)備，顯著低配 的行業(yè)有銀行、非銀金融和交通運(yùn)輸，行業(yè)偏離幅度相比2020Q2明顯收斂。圖：公募對(duì)沖基金相對(duì)基準(zhǔn)的行業(yè)偏離（2020Q4）3.3 行業(yè)與個(gè)股特征資料來(lái)源：Wind，海通證券研究所16請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明表：公募對(duì)沖基金持股數(shù)目與集中度（2020Q4）ABCDEFGHIJKLMNO平均持股數(shù)目189304236148155422197130162179242156134202203204前10大重倉(cāng)股權(quán)重占比24.

28、97%32.24%27.98%30.61%35.13%21.07%21.29%24.52%32.87%28.14%23.64%28.92%27.75%32.94%28.97%28.07%絕大多數(shù)公募對(duì)沖基金將風(fēng)格因子暴露控制在0.5個(gè)標(biāo)準(zhǔn)差以內(nèi)，呈現(xiàn)出持股數(shù)目多、集中度低、高度分散的特征。2020Q4，基金持倉(cāng)整體呈現(xiàn)出小市值、高估值、高盈利、高成長(zhǎng)、高波動(dòng)、高漲幅特征?；餙 和D的約束最為嚴(yán)格，單一因子暴露不超過0.2個(gè)標(biāo)準(zhǔn)差。基金N的持倉(cāng)呈現(xiàn)出小市值、低估值、 低漲幅的特征，2021年業(yè)績(jī)表現(xiàn)突出，截至2021.4.8，累計(jì)收益率位居第一。表：公募對(duì)沖基金相對(duì)基準(zhǔn)的風(fēng)格因子暴露（2020

29、Q4）3.4 基金A持倉(cāng)特征歷史變化圖：持股數(shù)目與集中度圖：多頭敞口占比表：相對(duì)基準(zhǔn)的行業(yè)偏離20%18%16%14%12%10%8%6%4%2%0%90%80%70%60%50%40%30%20%10%0%20018016014012010080604020020170630 20171231 20180630 20181231 20190630 20191231 20200630 20201231top10權(quán)重（右軸）持股數(shù)目資料來(lái)源：Wind，海通證券研究所17請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明3.4 基金B(yǎng)持倉(cāng)特征歷史變化表：相對(duì)基準(zhǔn)的行業(yè)偏離圖：多頭敞口占比圖：持股數(shù)目與集中度2

30、0%18%16%14%12%10%8%6%4%2%0%60%40035030025020015010050050%40%30%20%10%0%top10權(quán)重（右軸）持股數(shù)目資料來(lái)源：Wind，海通證券研究所18請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明內(nèi)容要點(diǎn)：發(fā)展現(xiàn)狀業(yè)績(jī)表現(xiàn)投資策略收益歸因發(fā)展展望19請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因4.1 打新收益測(cè)算20請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明打新是公募對(duì)沖基金重要的收益來(lái)源。打新收益測(cè)算流程：根據(jù)基金獲配明細(xì)，剔除其中有鎖定期的部分，并假設(shè)科創(chuàng)板新股和 8月24日以后上市的創(chuàng)業(yè)板新股以上市首日均價(jià)賣出，而

31、其他新股以 一字漲停板打開當(dāng)日均價(jià)賣出（收益計(jì)入新股上市當(dāng)日），進(jìn)行收益 測(cè)算。將季度收益總金額除以其期初、期末基金資產(chǎn)凈值均值，得到該季度 打新收益率。當(dāng)期初、期末基金資產(chǎn)凈值變化較大時(shí)，該測(cè)算方法可能不太準(zhǔn)確。資料來(lái)源：Wind，海通證券研究所4.1 打新收益測(cè)算所列基金產(chǎn)品均通過打新實(shí)現(xiàn)收益增厚。對(duì)于規(guī)模較大的基金，打新貢獻(xiàn)相對(duì)較小。表：部分公募對(duì)沖基金打新收益率測(cè)算結(jié)果（2018Q1-2020Q4）21請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明22請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所4.2 基于基金財(cái)報(bào)的收益歸因基金收益股票收益股票投資收益股利收益股票投

32、資公允價(jià)值變動(dòng)收益?zhèn)找嫜苌ぞ呤找胬⒓捌渌找鎮(zhèn)顿Y收益資產(chǎn)支持證券投資收益?zhèn)⑹杖胭Y產(chǎn)支持證券利息收入債券投資公允價(jià)值變動(dòng)收益資產(chǎn)支持債券投資公允價(jià)值變動(dòng)收益衍生工具投資收益權(quán)證投資公允價(jià)值變動(dòng)收益外匯遠(yuǎn)期投資公允價(jià)值變動(dòng)收益其他（基金公允價(jià)值變動(dòng)收益表）存款利息收入買入返售金融資產(chǎn)收入其他收入（基金利潤(rùn)表）圖： 公募對(duì)沖基金收益拆解示意實(shí)際收益3.48%資料來(lái)源：Wind，海通證券研究所23請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明股票收益14.91%新股收益0.14%非新股收益14.77%債券收益0.51%衍生工具收益-10.90%其他收益0.07%費(fèi)用-1.21%申贖誤差項(xiàng)0.

33、11%4.2 基于基金財(cái)報(bào)的收益歸因以匯添富絕對(duì)收益策略A 2020H2為例進(jìn)行分析。圖：匯添富絕對(duì)收益策略A收益分解表：匯添富絕對(duì)收益策略A季報(bào)數(shù)據(jù)（萬(wàn)元）該基金H2平均對(duì)沖比例為82.20%，股票投資市值占基金資產(chǎn)凈值平均比例為54.72%。根據(jù)期初、期中和期末持有不同期貨品種比例，計(jì)算出對(duì)應(yīng)指數(shù)的區(qū)間收益21.82%。2020H2的alpha = 14.77% / 54.72% - 21.82% = 5.16%。報(bào)告期202006302020093020201231股票投資市值1085609.921425210.171283914.05期貨投資市值-889445.18-1171241.9

34、1-1058949.71期貨持倉(cāng)明細(xì)IH2009-93072.24IC2012-228015.20IF2103-698875.56IF2012-100322.10IF2010-120415.68IC2103-207671.51IF2007-255727.80IF2012-679504.03IF2101-31297.20IF2009-327035.04IH2012-143307.00IH2103-121105.44IC2009-113288.00對(duì)沖比例81.93%82.18%82.48%基金資產(chǎn)凈值2386878.162444445.412103085.034.2 基于基金財(cái)報(bào)的收益歸因進(jìn)一步

35、拆分非新股收益。圖：匯添富絕對(duì)收益策略A收益分解2多頭敞口收益 = 14.77%（1- 82.20%）= 2.63%。對(duì)沖alpha收益 = 5.16%54.72%82.20% = 2.32%。beta收益 = 21.82%54.72%82.20% = 9.82%?；畛杀?= 9.82% - 10.90% = - 1.09%。圖：匯添富絕對(duì)收益策略A收益分解10.14%14.77%0.51%-10.90%0.07%-1.21%3.37%3.48%-5%-10%-15%0%10%5%15%新股收益非新股收益?zhèn)找嫜苌ぞ呤找胬⒓捌渌找尜M(fèi)率擬合收益實(shí)際收益0.14%資料來(lái)源：Wind，海通

36、證券研究所24請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明2.63%2.32%-1.09%0.51%0.07%-1.21%3.37%3.48%-10%-5%0%5%10%新股收益多頭敞口對(duì)沖alpha基差成本債券收益利息及其他收益費(fèi)率擬合收益實(shí)際收益資料來(lái)源：Wind，海通證券研究所4.2 基于基金財(cái)報(bào)的收益歸因匯添富絕對(duì)收益策略A歷史收益分解。圖：匯添富絕對(duì)收益策略A收益分解圖：匯添富絕對(duì)收益策略A股票組合alpha除2018H2外，該基金每個(gè)半年度均取得了正alpha，均值和中位數(shù)分別為8.77%和13.35%，說明該基金具有較為穩(wěn)健的獲取超額收益的能力。12%10%8%6%4%2%0%-2%-

37、4%-6%-8%2017H22018H12018H22019H12019H22020H12020H2新股收益多頭敞口對(duì)沖alpha基差成本債券收益利息及其他收益費(fèi)率-15%-10%-5%0%5%10%15%20%-4%-2%0%2%4%6%8%10%2017H22018H12018H22019H12019H22020H12020H2擬合收益實(shí)際收益股票組合Alpha（右軸）25請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明內(nèi)容要點(diǎn)：發(fā)展現(xiàn)狀業(yè)績(jī)表現(xiàn)投資策略收益歸因發(fā)展展望26請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明公募對(duì)沖基金的策略分析與業(yè)績(jī)歸因資料來(lái)源：Wind，海通證券研究所5.1 公募基金重倉(cāng)股企

38、穩(wěn)反彈長(zhǎng)期來(lái)看，基金重倉(cāng)股無(wú)論相對(duì)Wind全A還是滬深300，都具有超額收益。其中，相對(duì)滬深300超額收益更高。而且，基金重倉(cāng)股在公募基金持有期的超額收益非常顯著，這說明重倉(cāng)股在基金的買入期和持有期，確實(shí)跑贏了大部分股票。Wind基金重倉(cāng)指數(shù)自2018年7月20日發(fā)布以來(lái)至2021年4月8日，區(qū)間內(nèi)上漲71.09%，相對(duì)滬深300指數(shù)的超額收益為24.73%，2019年和2020年超額收益分別為15.04% 和19.12%。節(jié)后抱團(tuán)股雖受重挫，基金重倉(cāng)指數(shù)回撤高達(dá)17.13%，但近來(lái)已有企穩(wěn) 反彈之象。圖：公募基金重倉(cāng)股具有超額收益0.900.951.001.051.101.151.201.2

39、50.70.91.11.31.51.71.9滬深300指數(shù)基金重倉(cāng)指數(shù)基金重倉(cāng)/滬深300（右軸）27請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明28請(qǐng)務(wù)必閱讀正文之后的信息披露和法律聲明資料來(lái)源：Wind，海通證券研究所5.2 股指期貨流動(dòng)性良好股指期貨成交持倉(cāng)和微觀流動(dòng)性均有所回升。圖：股指期貨成交量（萬(wàn)手）圖：股指期貨持倉(cāng)量（萬(wàn)手）圖：股指期貨買一賣一相對(duì)價(jià)差圖：股指期貨買一賣一平均委托（手）3025201510502018-012018-032018-052018-072018-092018-112019-012019-032019-052019-072019-092019-112020-012020-032020