The explosive fund impact portfolio constructed by newly issued funds with high fund issuance scale, concentrated fund managers’ holdings and low turnover is more profitable.

Editor’s note: This article is from WeChat official account “Hai Tong Securities , author: Feng Jiarui Yuan Linqing.

Studies have shown that the opening of positions in newly issued public funds will increase the price of related stocks to a certain extent, especially hot funds. Therefore, it is only necessary to predict the position of public funds, and then copy operations to make money.

Investment points:

Since 2020, with the market’s upward trend, investors are paying more and more attention to mutual fund products, and the scale of newly issued mutual funds is also increasing. New funds flow into the market with the opening of new public offering funds, and this inflow of funds will undoubtedly push up the price of related stocks. Based on this logic, we can build a portfolio of expected positions based on the newly developed funds to obtain the excess returns generated by the newly developed funds.

New funds flow into the market through the newly-developed funds, and a portfolio of expected positions can be constructed based on the newly-developed funds. For newly issued ETF funds, the fund’s opening portfolio depends on the constituent stocks of the underlying index, so the flow of opening funds can be roughly determined when the fund is established. For actively managed funds whose positions are not transparent, we can base on fund managers’ holdings in other products. Warehouse letterInterest to build a portfolio of expected positions.

Consider using the impact of opening funds to filter the expected portfolio. The impact of capital inflows on stock pricesIt depends on two factors: capital inflows and stock liquidity. The greater the inflow of funds, the greater the impact on stock prices. Stock liquidity determines the impact of unit capital inflows on stock prices. In the case of the same amount of capital inflow, the stronger the liquidity of the stock, the smaller the impact on the stock.

Therefore, the above two factors can be combined to calculate the impact of opening funds.

Newly issued ETF funds are expected to have excess returns in the portfolio of opening positions, but the impact of opening positions is not strong in the ability to distinguish returns within the portfolio. The expected position portfolio constructed based on the newly issued ETF will have certain excess returns for a period of time after the fund is established.

Within 1 month after its establishment, the expected excess return of the open position portfolio relative to the market is about 0.53%, and the excess return relative to stocks in the same industry is about 0.80%, which is relative to the stocks in the same market value group (30 Group)’s excess return is about 0.36%. However, the impact of opening positions funds is weak in the ability to distinguish returns within the expected opening positions portfolio.

Actively managed funds are also expected to have excess returns in their portfolios. The expected position portfolio of actively managed funds has a certain excess return, and as the holding period becomes longer, the excess return of the portfolio shows a gradual increase. Under different comparison benchmarks, the excess returns of the portfolio are more obvious.

The explosive fund shock portfolio still has an excess return relative to the expected open position portfolio. May wish to call the group of stocks that have the highest impact on opening funds in the expected opening portfolio as the explosive fund impact portfolio. Three months after the establishment of the fund, the excess return of the explosive fund shock portfolio relative to the expected open position portfolio can reach 1.97%.

The excess return of the explosive fund impact portfolio is affected by the fund’s issuance scale, fund holding concentration, handover rateThe influence of other factors. Explosive fund impact portfolios constructed by new funds with high issuance scale, concentrated fund holdings, and low turnover of fund managers have higher excess returns.

The excess return of the explosive fund impact portfolio is also affected by the market environment. This strategy is more suitable for use in a market environment where incremental funds enter the market. Based on the fund construction established at different times, there are differences in the excess returns of the explosive fund impact portfolio, and the portfolio is entering the market with incremental fundsIn the market environment, there is a higher excess return.

Body

Since 2020, with the market’s upward trend, investors are paying more and more attention to mutual fund products, and the scale of newly issued mutual funds is also increasing. New funds flow into the market with the opening of new public offering funds, and this inflow of funds will undoubtedly push up the price of related stocks. Based on this logic, we can build a portfolio of expected positions based on the newly developed funds to obtain the excess returns generated by the newly developed funds.

This article is divided into six parts. The first part briefly describes the overall construction of the strategy, the second part discusses the return characteristics of the expected position portfolio constructed based on the newly issued ETF fund, and the third part discusses the expected position portfolio based on the construction of the newly issued active management fund Income characteristics, the fourth part summarizes the full text.

1. Newly issued fund positions and excess stock returns

The figure below shows the total size of new funds issued in each month since 2020. More than 2/3 of the months have exceeded 100 billion. (The new funds counted here only include passive index funds, enhanced index funds, common stock funds, partial stock hybrid funds, balanced hybrid funds, and flexible allocation funds.)

In such a market environment, a large amount of new funds flowed into the market through the opening of new funds and pushed up the price of related stocks. For newly issued ETF funds, the fund’s position portfolio depends on the constituent stocks of the underlying index.

Therefore, when the fund is established, the flow of funds for opening positions can be roughly determined. For actively managed funds whose positions are not transparent, we can construct a portfolio of expected positions based on the fund manager’s position information on other products. Based on this logic, we can construct the expected position portfolio of the newly-developed fund, so as to obtain the excess return brought by the inflow of funds from the newly-developed fund.

Is there any possibility of further screening for the expected position portfolio of the new fund?

We think the answer is yes. The impact of capital inflows on stock prices depends on two factors: capital inflows and stock liquidity. The issuance size of the new fund and the weight of the stock in the expected position portfolio together determine the capital inflow of the stock.

The greater the inflow of funds, the greater the impact on stock prices. The liquidity of stocks determines the degree of influence of unit funds on stock prices. In the case of the same amount of capital inflow, the stronger the liquidity of the stock, the smaller the impact on the stock.

Therefore, it is expected that in the portfolioExcess stock returns are proportional to the weight of stocks and the illiquidity of stocks. Therefore, a shock to the capital for building a position can be constructed, and the calculation formula is as follows.

The following text will be based on the newly issued ETF fund and the newly issued active management respectively The type fund constructs a portfolio of expected positions and discusses the following issues.

1) Does the newly-developed fund expect to have an excess return on the position portfolio?

2) Is it possible to further filter the expected position opening portfolio based on the impact of opening positions?

3) If the impact of opening a position is screened and the portfolio has a stronger excess return, are there other factors that affect its excess return?

2. Newly issued ETF funds and stock excess returns

2.1 Newly issued ETF funds expected to open a position portfolio income characteristics

Because ETF funds track its underlying index, it can determine the expected position portfolio based on the composition of the underlying index of the newly issued ETF fund, and calculate the average excess return of the expected portfolio stocks. This paper calculates the excess returns of the ETF one month after its establishment and the period between establishment and listing. The figure below shows the average excess return of the expected portfolio of stock ETFs listed since 2020.

Observing the above table, it is not difficult to find that the expected position portfolio constructed based on the newly issued ETF will have a certain amount of excess returns for a period of time after the fund is established. Within one month after its establishment, the expected excess return of the open position portfolio relative to the market is about 0.53%, and the excess return relative to stocks in the same industry is about 0.80%, which is relative to the stocks in the same market value group (the whole market is divided into 30 groups). The excess return is approximately 0.36%.

It can be seen that, no matter relative to the market, relative to the industry, or even relative to the same market value grouping stocks, the expected position portfolio has a certain excess return.

2.2 Newly issued ETF funds expected to open positions portfolio and open positions capital impact

Considering that the newly issued ETF funds are expected to have a relatively obvious excess return in the opening portfolio, try to use the impact of opening funds constructed in the previous article to group the expected opening portfolio. The following table shows the expected positions to be opened in five groupsAfter the distribution of excess returns. (The stocks in Group 1 have the greatest impact on the opening funds.)

Observing the above figure, it is not difficult to find that the income discrimination between extreme value combinations is not obvious, and only a certain degree of income monotonicity can be observed between the second to the fourth group. Although the stocks in the group that has the largest impact on position funds still have certain excess returns relative to the market average, they are significantly weaker than the second group of stocks. Observing the excess return relative to the industry or the stocks in the same market value group, you will still see a similar phenomenon.

Therefore, it can be considered that the shock factor for opening positions does not show obvious income differentiation ability in the expected position opening portfolio of newly issued ETFs.

Of course, not all newly issued ETF funds lack the ability to distinguish income from the impact of opening positions. The following figure shows the expected excess returns of the two newly issued ETF funds. Although the expected excess returns of the two newly issued ETF fund portfolios are relatively limited, group 1 (the group with the highest impact of opening positions) shows strong profitability.

Our preliminary guess is that the fit of the index tracked by the ETF with the market environment at the time and subsequent capital inflows will affect the impact of the opening of funds on the ability of the newly issued ETF fund to differentiate the expected return of the portfolio. Considering that the focus of this article is not on newly issued ETF funds, this article will not proceed further here.

2.3 copiesChapter Summary

The test results in this section show that the newly issued ETF funds since 2020 are expected to have excess returns for a period of time after their establishment. However, the indicator of the impact of position opening funds cannot further distinguish the stocks in the expected position opening portfolio.

3. Newly issued active management funds and excess stock returns

Considering that actively managed funds have a higher issuance scale and more concentrated holdings than ETF funds, a portfolio of expected positions can be constructed based on newly issued actively managed funds, and the return characteristics of the portfolio can be tested. This article mainly examines common stock funds and partial stock hybrid funds issued since 2020. (Hereinafter collectively referred to as ordinary stock funds and partial stock hybrid funds are actively managed funds.)

3.1 The expected return characteristics of the newly issued active management fund portfolio

Compared with ETF funds, the positions of actively managed funds are not transparent, and we cannot directly obtain their expected position portfolio. This article mainly uses the stock positions held by the fund managers of the newly developed funds in other products managed by them to synthesize the expected position portfolio. The calculation method of the position weight of the stocks in the expected open position portfolio is as follows.

The figure below shows the average excess return of the expected portfolio of actively managed funds established since 2020. Considering that the position opening cycle of actively managed funds may be longer than that of ETF funds, this article calculates the results of 1, 2, and 3 months after the fund’s establishment when examining the expected excess return of the opening portfolio.

Observing the above chart, it is not difficult to find that the expected position portfolio of actively managed funds has certain excess returns. And as the holding period becomes longer, the excess return of the portfolio has shown a gradual increase. Under different comparison benchmarks, the excess returns of the portfolio are more obvious.

3.2 Newly issued active management funds expected to open a position portfolio and position impact

Based on the indicator of the impact of opening funds constructed in the previous article, we can group the expected opening portfolios and count the excess returns of different grouped stocks. The results of the backtest show that the impact of position opening funds is within the expected position opening portfolio of actively managed funds.Have a certain ability to distinguish income.

Stocks with a higher impact on position opening funds not only have higher excess returns relative to the market, industry, or stocks of the same market value, but also have excess returns compared to other stock groups in the expected position opening portfolio.

The figure below shows the excess returns of each group of stocks relative to the market 1 month and 3 months after the fund was established.

The figure below shows the excess returns of each group of stocks relative to the industry 1 month and 3 months after the fund was established.

The figure below shows the excess returns of each group of stocks relative to group stocks of the same market value one month and three months after the fund was established.

May wish to call the group of stocks with the highest impact on the opening funds in the expected opening portfolio as the explosive fund impact portfolio. The following figure shows the excess return of the explosive fund shock portfolio relative to the expected open position portfolio. It can be seen that the explosive fund impact portfolio also shows obvious profitability relative to the expected position portfolio. In the 1, 2, and 3 months after the establishment of the fund, the excess return of the explosive fund shock portfolio relative to the expected open position portfolio was 0.67%, 1.40%, and 1.97%, respectively.

3.3 Factors influencing the impact of the portfolio’s excess returns by the explosive funds

According to the results of the previous backtest, it can be seen that the explosive fund impact portfolio has a relatively obvious excess return. So whether there are other indicators forHow to filter and filter, so as to further improve the return performance of the explosive fund impact portfolio? This section mainly considers the following 3 indicators:

1) The scale of fund issuance. The larger the scale of fund issuance and the greater the inflow of funds, the stronger the impact on stock prices.

2) The concentration of fund managers’ holdings. The higher the concentration of fund managers’ holdings, the greater the inflow of funds into a single stock, and the stronger the impact on stock prices.

3) The turnover rate of fund manager positions. Since the expected position portfolio is obtained based on the previous positions of other products managed by the fund manager, the lower the turnover rate of the fund manager, the higher the accuracy of the expected position portfolio obtained based on its historical positions.

The following figure compares and shows the excess return of the explosive fund shock portfolio obtained by the newly-developed funds of different issuance size groupings relative to the expected portfolio. It is not difficult to find that the larger the fund issuance, the higher the excess return of its explosive fund impact portfolio. This result is more consistent with intuitive understanding. The larger the issuance scale, the greater the capital inflow and the stronger the impact of opening positions.

The following figure compares and shows the excess return of the explosive fund shock portfolio obtained by the newly-developed funds grouped by different position concentration levels relative to the expected portfolio. When the holding period is 1 month and 2 months, it is expected that the higher the position concentration of the open position portfolio, the higher the excess return of the explosive fund impact portfolio. However, when the holding period was 3 months, this phenomenon was reversed.

The following figure compares and shows the excess return of the explosive fund shock portfolio obtained by the new funds grouped by different turnover ratios relative to the expected open position portfolio. The results show that the lower the position change, the higher the excess return of the explosive fund impact portfolio. This can be understood as the higher the fund manager’s turnover, the lower the accuracy of the expected portfolio.

Except for fundsIn addition to the issuance scale, position concentration, and position turnover rate, the timing of the fund issuance also has a certain impact on the excess return of the explosive fund. The following figure shows the excess return of the explosive fund impact portfolio based on the funds issued in each month of 2020.

From the monthly statistics, it can be seen that the fund product construction established in January, February, March, April and July resulted in a combination of explosive fund shocks with higher excess returns, while in May and June It is difficult to obtain obvious excess returns for the explosive fund shock portfolio obtained by the establishment of fund product construction compared with the expected opening portfolio.

Combined with the monthly inflow of funds in the figure below, it can be found that in the case of high-level fund issuance or continuous inflow of funds, the explosive fund impact portfolio has a higher excess return. This shows that this strategy is more suitable for use in a market environment where incremental funds enter the market.

3.4 Case study

3.4.1 Actively managed fund A

The active management fund A was established in the second quarter of 2020, with a fund issuance scale of nearly 30 billion. According to the positions disclosed by the remaining fund products managed by the fund manager, the expected position portfolio can be synthesized. The following table shows the composition of the expected opening portfolio, the calculated impact of opening funds, and the excess return relative to the average market return in the 1, 2, and 3 months after its establishment.

Observing the above table, it is not difficult to find that the stocks with a higher impact from the expected opening portfolio, such as Gujing Gongjiu, Shanxi Fenjiu, etc. are established in the fund Later, it showed strong excess returns. Of course, there are also stocks that have higher impact on opening positions, such as Shuijingfang and Betta Pharmaceuticals.

3.4.2 Actively managed fund B

The active management fund B was established in the first quarter of 2020, with a fund issuance scale of nearly 8 billion. According to the positions disclosed by the remaining fund products managed by the fund manager, the expected position portfolio can be synthesized. The following table shows the composition of the expected opening portfolio, the calculated impact of opening funds, and the excess return relative to the average market return in the 1, 2, and 3 months after its establishment.

Observing the above table, it is not difficult to find that the stocks with a higher impact on the expected position opening portfolio, such as Shengbang shares< /a>, Kangtai Bio and other targets have shown strong excess returns after the fund’s establishment. Of course, there are also some targets after the establishment. In the two-month and three-month window, the excess returns performed poorly.

3.5 Summary of this chapter

This section analyzes and discusses the return characteristics of the expected position portfolio based on the construction of newly issued active management funds. The backtest results show that the expected opening portfolio of this type of fund product has obvious excess returns, and the impact of opening funds has a better ability to distinguish income within the expected opening portfolio, and the stocks with higher impact of opening funds have higher excess returns .

Based on the impact of the opening funds, an explosive fund impact portfolio can be constructed. The excess return of the explosive fund shock portfolio is affected by many factors. The fund issuance scale, fund holding concentration and position turnover rate can be used to further filter and increase the return of the explosive fund shock portfolio. In addition to the above factors, the timing of the fund’s issuance also has a more obvious impact on the return of the explosive fund’s impact portfolio. This strategy is more suitable for use in a market environment where incremental funds enter the market.

4. Summary

This article examines the investment opportunities brought about by the opening of new funds from an event-driven perspective. In the market environment where incremental funds enter the market, the expected position portfolio constructed based on the newly developed funds has obvious excess returns. In addition, the impact of position opening funds has a better ability to distinguish income in the expected position opening portfolio of actively managed funds.

Therefore, you can choose stocks with a higher impact on opening funds to construct an explosive fund impact portfolio, which also has obvious excess returns compared to the expected portfolio. In addition, investors can screen new funds based on the size of the fund’s issuance, the concentration of fund managers’ holdings, and the turnover rate, so as to further increase the return of the explosive fund impact portfolio.

The explosive fund impact portfolio constructed by newly issued funds with high fund issuance scale, concentrated fund manager positions and low turnover is more profitable. In addition, the timing of fund issuance also has a significant impact on the return of the portfolio, which is more suitable for the market environment where incremental funds enter the market.