By the MSCI index adjust the "Dongfeng" quarterly, the northern direction of funds and the index enhance strategy plus position A shares

21st Century Business Herald reporter Chen Zhi Shanghai report

As the MSCI index adjustment on September 1 is officially effective, the northbound capital is quietly setting off a new round of warehouses.

"At the end of August 31, billions of Northbound funds have been greatly increased by A shares." A Hong Kong securities broker revealed to reporters. Behind this is that a large number of overseas passive investment funds are completed before the MSCI index adjusts the effectiveness of the MSCI index in order to maximize the limit of the exponential tracking error.

In his opinion, the large -scale buying and adjustment of northern funds indicating that the exponential allocation has become an important investment strategy for the northbound capital layout of A shares. In particular, the index enhancement strategy based on index configuration is being favored by more and more northbound funds.

The reporter learned that the reason why the index enhanced strategy is favored by northbound capital is that it can achieve an annualized excess return of about 20%in the A -share market, which is much higher than that of this strategy in the European and American market 5%. The average excess returns.

Xu Zhongxiang, the founder and chief investment officer of Rayliant Global Advisor, told reporters that they are currently launching the CSI 300 Index enhanced strategy based on quantitative fundamental investment capabilities.

Xu Zhongxiang bluntly stated that the reason why Ruilian Caizhi chose the CSI 300 Index to enhance the strategy is mainly due to the increasing investment value of the CSI 300 Index. As far as policies are concerned, China's economic growth engine will gradually switch to the New Economic Industry Circuit. Compared with the industrial distribution of CSI 500 and CSI 1000, the Shanghai and Shenzhen 300 can represent the direction of China's economic structure and economic transformation, and and the development direction. GDP growth is also deeply linked. In addition, the proportion of the weights of the new economy industry (TMT, medicine, and consumption) in the Shanghai and Shenzhen 300 has continued to increase in the past few years, and the proportion of new economic industries has increased year -on -year. Higher configuration potential.

From the perspective of a person in charge of a Hong Kong private equity fund, the current north -wing fund is keen to adopt index to enhance strategy to invest in A shares. Another important reason is that the four major trading limitations of hedging in the A -share market -Compared with domestic capital, the northbound capital pays more attention to A shares. The market has not properly resolved the four major trading limitations. One is that the risk hedge tools are still relatively lacking; the second is that the settlement cycle has not yet been adapted. Compared with the global stock market, the "T+2" or "T+3" fund settlement arrangements are mainly used. The arrangement of the market "T+0" and "T+1" has caused the settlement cycle to be very short, but this move is considered by many overseas investment institutions to be regarded as convenient arrangements; the third is the "holiday risk" under the interconnection mechanism, that is, during the European and American holidays A shares are still being traded, causing overseas investment institutions to worry about the additional investment risk of A shares during this period of time; the fourth is the continuous optimization of the comprehensive transaction mechanism, which mainly meets large overseas investment institutions. Price "transaction settlement service.

"Before these trading restrictions have not been properly resolved, more and more overseas investment institutions believe that through the index enhancement strategy -the exponential allocation of funds can effectively avoid the above -mentioned investment risks." The person in charge of the above -mentioned Hong Kong private equity fund pointed out.

It is worth noting that in order to create a better Northbound capital investment in the A -share environment, relevant departments are actively taking a series of measures, including the Hong Kong Stock Exchange MSCI China A50 Interconnection Index derivative and domestic CSI 1,000 index futures option derivatives Products have been launched one after another, bringing richer A -share investment risk hedging tools to overseas capital. Recently, relevant departments have also launched the transaction calendar optimization work of the Land Stock Connect to solve the problem of "holiday risk".

From the perspective of many people in the industry, with the proper resolution of these transactions, the northbound funds will continue to flow into the A -share market.

Xu Zhongxiang told reporters that similar to U.S. stocks, the A -share market is one of the few worldwide stock markets that can transform macroeconomic growth into corporate profit growth. At present, the total market value ratio of A shares and US stocks is 1: 3.5, but the proportion of GDP and the US GDP is about 1: 1.3, indicating that overseas capital is still at a low level of A -share allocation. With the continuous narrowing of the Sino -US economic gap, "smart money" will continue to flow into A shares with the trend of the steady development of China's economy.

UBS Securities China Strategy Analyst Meng Lei predicts that the northern direction of A shares in the second half of the year is about 150 billion yuan.

"When we were doing exchange road shows from July to August, most overseas investment institutions accepted the view of China's economic steady growth. As the Chinese economy continued to recover, they would allocate more funds to A shares." He pointed out.

Why does the north -facing fund favored index enhance the strategy?

Data Data shows that the net inflow of capital has exceeded 10 billion yuan since August. Among them, some funds are adjusted according to the quarterly adjustment of the MSCI index, and buy A shares in advance to complete the positioning.

Data show that the MSCI index adjustment mainly involves the MSCI China index, MSCI China A shares on the shore index and MSCI China stock index. Among them, the MSCI China Index added 7 A -share labels. In view of the MSCI China index is included in the MSCI emerging market index system, once new stocks enter the MSCI China index, they also mean that they are also automatically selected into the MSCI Global Standard Index series, attracting many attraction In order to minimize the index tracking error as much as possible, overseas passive investment funds rush to complete the additional position configuration before adjusting the effect on September 1.

The aforementioned Hong Kong securities broker stated that this reflects that the indexing allocation is becoming the main strategy of many overseas investment institutions to deploy A shares. In particular, the index enhancement strategy is more favored by them. The so -called index enhancement strategy is mainly to follow up by most funds to track a certain index for passive investment, while a small part of the funds actively invest in some high -quality stocks in the index, thereby achieving the effect of the entire investment portfolio yield.

Xu Zhongxiang revealed to reporters that the Shanghai -Shenzhen 300 enhanced strategy launched on the basis of some follow -up of the CSI 300 index passive investment, the remaining funds use their basic face -to -value investment capabilities to follow the bottom -up stock logic and weighted weighted weighted Choose the configuration of high -quality A -share companies to achieve the purpose of winning the benchmark index.

The reporter also learned that the current index enhancement strategy has been favored by more and more northern funds. One important reason is that since last year, domestic quantitative private equity institutions have achieved an annualized excess return of about 20%through the index reinforcement strategy. Therefore, more and more northern funds have also followed the introduction index to enhance the strategy or market neutral strategy, and strive to obtain a relatively high excess return rate.

The person in charge of the above -mentioned Hong Kong Private Equity Fund revealed to reporters that the current index enhancement strategy adopted by the northbound funds is largely different. In addition to the Shanghai -Shenzhen 300 Index enhancement strategy, some northbound funds have also introduced the MSCI China A50 interconnection index enhancement strategy and the CSI 1000 index enhancement. Strategy. The reason is that this is closely related to the logic of its own investment profits of overseas investment institutions. For example, the overseas basic face -to -quantitative investment institutions that choose the CSI 300 Index enhance strategy are mainly stocks. The main strategy of reinforcement strategies with the COSCO 1000 index is the main overseas investment institution based on quantitative arbitrage. They also hope that the recent MSCI China A50 interconnection index Periodic derivatives and the CSI 1000 index futures periodic derivatives can create higher that can create higher Quantitative hedging settlement.

"It is foreseeable that as the investment strategy is becoming increasingly diversified, the interest and enthusiasm of A shares in the northbound capital will continue to rise, attracting more overseas capital to the A -share market." He emphasized.

Continuous optimization of overseas capital investment A shares environment

It is worth noting that while the investment strategy is increasingly richer, how to further improve the operating environment of Northbound capital investment A shares has become a new challenge facing relevant departments.

Wei Zhen, managing director of MSCI and director of the Asia -Pacific Research Department, previously said that there are still "four major issues" in the A -share market, or the enthusiasm of investment in overseas funds. First, the A -share investment risk hedging management tool is still not rich enough; the second is that under the global market, Chinese A shares still do not belong to the "cargo counterpart" market, and it needs to be further connected with international practice in terms of settlement mechanism; the third is the interconnection mechanism. The risk of the next holiday still needs to be properly resolved; the fourth is that the comprehensive transaction mechanism still needs to be further optimized to meet the "best price" transaction settlement services when multiple overseas investment institutions are traded at the same time.

An emerging market investment -type hedge fund manager pointed out to reporters that these problems have always affected the enthusiasm of some overseas investment institutions to allocate A shares. In view of the large fluctuations in emerging markets, many stable investment -type overseas large asset management institutions require that the trading department must find the corresponding risk hedge management tools in order to invest in emerging market stocks such as A shares. I am also worried that the risk of different A shares and the settlement mechanism during the holidays is not enough to "adapt", and they do not dare to invest more funds to allocate A shares.

"More importantly, these issues may also slow down the process of MSCI to further increase the weight of A shares in the MSCI emerging market index, which leads to more overseas passive investment funds from the A -share market." He bluntly said.

The reporter was informed that in response to these issues, the relevant departments were actively resolved. Earlier this year, relevant departments have launched cargo and banking work, making the settlement mechanism further in line with international practice. Since July, in addition to the risk hedge management tools such as the CSI 1000 Index Futures Derivatives, the relevant departments have also opened the Land Stock Connect trading calendar optimization work.

From the perspective of many people in the industry, with the proper resolution of these problems, the scale of overseas capital to invest in A shares through the channels of land stocks will further expand.

Xu Zhongxiang told reporters that after investigation, they found that the current economic cycle of China and other economies is dislocated -that is, the Chinese economy is in a trough rebound, but Europe and the United States and emerging market economies are subject to inflation and radical interest rate hikes and enter the downward economic channel Essence This indicates that the attraction of China's economy is increasing, and more foreign capital is expected to continue to flow into A shares.

Fu Si, a stock strategy analyst at Goldman Sachs Global Investment Research, said that with the continuous development of China's economy, the net inflow of funds in the north in the next 4 months is still expected to reach 16 billion US dollars, which will increase the net inflow of the northbound capital to US $ 25 billion for the entire year. Essence

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