China Securities Co., Ltd.'s public offering quantitative fund annual review for 2024: Refers to the increase in scale to a new high, indicating that the broad-based trend is unstoppable.

China Securities Co., Ltd. released a research report stating that by 2024, the number of public offering quantitative funds will reach 610, with a total scale of close to 300 billion yuan; the number and scale of index-enhanced products have reached record highs; the issuance of A500 and dividend-related products is highly sought after by the market. The excess level of the broad-based index exhibits a phenomenon of "market value sinking"; the annual returns of active quantitative funds are slightly higher than those of active equities; the proportion of profitable quantitative hedge funds is less than 30%. The style of index-enhanced funds shows a "hourglass shape" trend; the weight of small and micro plates in active quantitative funds has fallen; the long position of quantitative hedge funds remains at a low level. The main points of China Securities Co., Ltd. are as follows: Overview of public offering quantitative fund market By the end of 2024, the total number of public offering quantitative funds was 610, with a total scale of nearly 300 billion yuan. Among them, the number of index-enhanced products was 295, with a scale of 212.76 billion yuan, both setting historical records. In terms of new market development, the number of newly established quantitative funds in 2024 reached a record high of 99, with an issuance scale of 39.62 billion yuan, achieving growth for two consecutive years; the issuance scale of A500 and dividend-related products ranked high and was popular in the market. As for fund companies, 114 fund companies have laid out quantitative funds, with 15 of them achieving full coverage of three types of quantitative products. In terms of management scale, E Fund, China Universal Fund, and Invesco Great Wall Fund's quantitative product management scale consistently ranks in the top ten. Performance review of public offering quantitative funds Observing the excess environment of quantitative funds, the market activity has significantly improved and is conducive to excess returns, but the two violent style fluctuations in the market also brought negative impacts. In terms of index-enhanced funds, the average excess return of broad-based index enhancement is 2.29%, showing a phenomenon of "market value sinking" in excess levels; nearly 80% of the products in the three major categories of index enhancement can achieve positive excess returns. As for active quantitative funds, the average return is 5.18%, with a proportion of positive return products at 73.3%, slightly higher than active equities for the whole year; the average return of style products is 8.93%, significantly better than broad-based and industry-based products. For quantitative hedge funds, the average return is -1.52%, with only 26.1% of positive return products, significantly underperforming secondary bond funds after the 924 market. Review of public offering quantitative fund allocation In terms of index-enhanced funds, the style allocation strategy of the three major categories of index-enhanced products is biased towards negative scale, negative liquidity, positive valuation, negative volatility, and positive profitability. The sector allocation strategy is overallocated in manufacturing and underallocated in finance; the deviation trend of styles shows an "hourglass shape". For active quantitative funds, the weight of small and micro plates has started to decline from the previous peak of 32.3%, while the growth allocation weight has increased by more than 10% compared to the beginning of the year. For quantitative hedge funds, as of the fourth quarter of 2024, the stock allocation ratio is 61.8%; the IF position ratio has bottomed out and risen to 69.4%; the long position ratio of stocks is 7.2%. Risk warning: The report is based on analysis of historical public information of products and target indices, and is only for investment reference. Past performance of the fund does not predict its future performance, nor does it constitute a guarantee of investment returns or investment advice. Index performance is easily affected by domestic policies, market fluctuations, and international trade relations, and future performance may fall short of expectations. In addition, the report estimates the fund allocation situation, so it has made some reasonable assumptions about the market and related transactions, but this may lead to conclusions based on models that do not accurately depict the real environment, leading to deviations from the future reality. In addition, the data sources usually have a small amount of missing values, which may slightly increase the statistical bias of the model.