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一手好牌打得稀烂 光大风格轮动为何“轮动失败”

2017-09-13 06:51:23   中国经济网

今天,我们要拜托的基金产品是光大风格轮动,基金经理是赵大年与翟云飞。

一提起“量化投资”,是不是感觉很高大上?在大数据、人工智能等概念的渲染下,量化投资显得越发神秘。但是,量化不等于好业绩!

光大风格轮动是光大保德信基金旗下的一只主动型量化产品。光大保德信基金成立于2004年,是一家资历较老的中型基金公司。截至今年二季度末,光大保德信的管理规模为661亿元。光大风格轮动曾以“指数轮动化”的特色问世,但成立至今却长期跑输上证综指、沪深300与业绩基准,在同类产品中垫底。

截至9月11日,在68只主动型量化基金(剔除今年新成立的)中,42只产品今年以来实现正收益。在26只负收益的基金中,光大风格轮动以14.71%的跌幅垫底。

发行躲过股灾与熔断“指数轮动化”引业界关注

说起成立时间,光大风格轮动算是赶上了天时地利。

不像大多数基金死在2015年的股灾之巅,也没有经历后来的熔断惊魂时刻,光大风格轮动于2016年2月4日正式成立。当时,A股结束了半年多的回调,跌至2700点附近的相对底部。

据光大保德信基金介绍,光大风格轮动是业内首只“指数轮动化”产品,即构建大盘、中盘和小盘三类股票库,通过量化模型的方式来跟踪、预测 A 股市场的风格轮动规律,在不同时期从大中小盘板块中选择出未来表现相对强势的,并集中投资于该板块。基金应将至少 60%的非现金资产集中投资于以上三种股票库中的一个股票库。

众所周知,A股市场具有独特的风格轮动特征。该基金从产品设计上来看似乎较符合A股特色,对普通投资者也更有吸引力。

在发行期,光大风格轮动共募集2.17亿元的资金,有效认购户数为534户,个人投资者占比接近100%。虽然基金规模较小,但A股才刚经历过熔断,基金发行遇寒冬,2亿的规模也还凑合。2016年2月4日,光大风格轮动正式运行,基金经理为赵大年与翟云飞。值得关注的是,两位基金经理也自掏腰包认购了产品,份额在10至50万份之间。这也从侧面提振了投资者信心。

然而,一手好牌打得稀烂。

指数轮动化产品却未能精准捕捉到风格切换

光大风格轮动的业绩比较基准为:沪深300指数收益率*25%+中证500指数收益率*25%+创业板指数收益率*25%+中证全债指数收益率*25%。

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