This is the sharing of Xing Buxing's 82nd Quantitative Lecture
Author | Xing Bubu, Mies Zinc Selenium
When buying funds, many people like to buy star funds with excellent historical performance ; when selling recommended products, they also like to use the historical performance of star funds as marketing capital. Because everyone defaults that good historical performance means that the fund manager has the ability to continue to make profits in the future .
But is this really the case? Everything can still be said by data . This article will use Python to analyze the fund's historical data to answer this question: Can the star fund's performance continue?
01
star fund
When it comes to star funds, many people's first reaction may be "X Fangda blue chip selection". And its leader is none other than Zhang Kun, the first A-share fund manager at the level of 100 billion yuan, who is known as the No. 1 public offering company .
"Public Solicitation No. 1 Brother" Zhang Kun
In 2020, Zhang Kun won the love of a large number of Christians with his ultra-high yield of 95% , and became popular on the Internet.
When it was the most popular, there were even many people discussing him in the barrage of some game live broadcast rooms.
But in 2021, the netizens who originally bragged Zhang Kun to the sky this time severely trampled him to the ground .
"I don't recognize my mother" Cai Kun
Because as of September 30, 21, Zhang Kun's yield was only -10% , and he didn't even outperform the market , and his ranking was quite low (1503/1581).
Coincidentally, there are still many star fund managers ranked high in 2020 who have performed unsatisfactorily in 21 years, and their returns are generally flat .
Data source: Tiantian Fund Network
This can't help but make people confused. Is the above-mentioned phenomenon just a special case, or is it true for all star funds?
Only star funds in 2020 will not perform well in the next year, or will star funds perform poorly in the next year every year?
Such curiosity is essential, and many times some excellent quantitative trading strategies also come from this.
Next, we will collect the income data of all funds and process them with Python programming to see how each star fund performs in the following year.
You can even build a portfolio, buy the top ten funds every year and hold them for a year, and see how much money you can make if you keep doing this.
02
Ranking of star funds in the next year
Let's first look at the ranking of the top ten funds in the following year .
First get the yield data of the fund , I have prepared it for everyone:
If you need data, you can add me to WeChat xbx391 to get it
As shown in the figure above, each row is the annual rate of return of a fund from 2008 to the present.
It is difficult to obtain this data, and I did it through some professional channels. If you need it, you can scan the QR code below or add me on WeChat xbx391 , and I will send it to you directly.
1 |
for example |
After we have the data, we will take 2008 as an example to calculate the ranking of the top ten funds in the following year.
First arrange all the funds according to the rate of return in 2008 from large to small and take the top ten:
Ranking of top ten funds in 2008 in the following year
You don't have to be surprised why the top fund in the above chart in 2008 had negative returns . In the 2008 stock market crash, the Shanghai Composite Index fell from more than 6,000 points to more than 1,600 points, and the fund that lost only 3 points naturally qualified for the first place.
But the good times didn't last long. The fund ranked first in 2008 was ranked at the end of 304 funds in 2009 . The other top- ranked funds in 2008 also ranked quite low in 2009 .
Then we calculated that the average ranking of these ten funds in 2009 was 293, and the ranking percentage among all 304 funds was 96% (293÷304=96%), and the performance was quite poor .
2 |
Next year's ranking |
After processing the data in 2008, we can use the same method to get the ranking percentage of the top ten funds in the next year since 2009 .
Although EXCEL can also complete this step, it is relatively cumbersome, so we use Python programming to calculate the results.
Data and codes can be obtained by adding me on WeChat xbx391
For relevant data and codes, you can scan the QR code below or add me on WeChat xbx391 , all of which can be sent to you directly.
The figure below is the result of running Python. You can see that the top ten funds in 2009, 2011, 2019 and 2020 rank higher in the following year.
The year with a better average ranking of star funds in the following year
However, the rankings of the top ten funds in 2008, 2014 and 2018 were quite low in the following year, all within the bottom 10%.
The average ranking of star funds in the following year is poor
If we look at this picture as a whole, we can find that the top ten funds generally perform poorly in the next year , and it is already very good to rank in the top 50% in the next year.
Of course, just looking at the rankings is not straightforward enough. Let’s look at the earnings of the top ten funds in the following year .
03
next year's income
1 |
for example |
We also use 2008 as an example.
First take out the top ten funds in 2008 and calculate their average yield in 2009 , as shown in the figure below:
Many people think that earning 30% is already very good. Although the ranking was very low in 2009, this income can satisfy most people after all.
2 |
Earnings of star funds in the next year |
Next, as usual, we calculate the average return rate of the top ten funds in other years through Python programming.
Data and codes can be obtained by adding me on WeChat xbx391
For relevant data and codes, you can scan the QR code below or add me on WeChat xbx391 , all of which can be sent to you directly.
It can be seen that the next year's returns of the top ten funds in 2013, 2019 and 2020 are all quite good, exceeding 20%.
The year when the star fund has a better average return rate in the next year
The top ten funds in 2010, 2015 and 2017 all suffered substantial losses in the following year.
In addition, the returns of the top ten funds in other years are relatively small in the following year.
The year in which the average return rate of star funds is poor in the following year
So far, the absolute rate of return of the fund has been discussed . But we all know that the general evaluation of fund performance is more based on relative returns .
3 |
Star Fund Relative Return |
The so-called relative return is to compare the fund's return with the rise and fall of the market in the same period, which is commonly known as how much it outperforms or underperforms the market.
In 2010, the comparison between the fund and the market in the same period
For example, although the average return rate of the top ten funds in 2010 was only -25% in the following year, the broader market fell by 26% during the same period, which outperformed the broader market by 1% in comparison.
We sequentially calculate the relative return performance of the top ten funds each year , as follows:
Performance statistics of the top ten funds in the current year in the following year
It is more intuitive to convert the table into a histogram:
The relative return rate of the top ten funds in the next year
It can be seen that the most tragic year was 2008, and the earnings of the following year underperformed the market by 64%.
In the past 13 years, each of the top ten funds outperformed the broader market 7 times and underperformed 6 times in the following year. Generally speaking, the situation is 50-50.
04
Top Ten Fund Strategies
After understanding the next year's return performance of the top ten funds, we can try to build a trading strategy:
At the end of each year, buy the top ten funds of the year, and then adjust the position according to the new ranking after holding for one year.
Finally, calculate the cumulative rate of return of holding them to see how much money you can earn.
In view of the complexity of the calculation of this strategy, we still use Python programming to achieve:
If you need the code, you can add me on WeChat xbx391 to get it
If you need relevant codes and data, you can scan the QR code below or add me on WeChat xbx391 to obtain it for free.
1 |
Backtest results |
The backtest results are as follows:
Backtest results
The blue line represents our top ten fund portfolios. Suppose you initially invested 1 yuan to buy this combination in 2009. After so many years of tossing and turning, it finally became 2.12 yuan, doubling the principal.
The yellow curve is the Shanghai and Shenzhen 300 Index in the same period, which has increased by about 1.5 times.
Obviously, the investment portfolios of the top ten funds did not outperform the Shanghai and Shenzhen 300 Index . It can be said that the performance is really very bad.
Therefore, in the future, fund sales must be cautious when recommending funds that have performed very well , because their subsequent performance will often be unsatisfactory.
And this conclusion is well known in professional circles .
For example, in the United States, when a fund performs extremely well this year, what it faces is not a surge of investors or a surge in fund size, but redemption .
Because many professional investors know that funds that perform well in one year may fail in the next year.
2 |
Cause tracing |
If we go deeper into the research, in fact, the poor performance of the top-ranked funds in the year is also supported by corresponding theories .
One of the more important reasons is that the market style will continue to change . For example, blue chips performed well last year, but this year may be the rise of small and medium-cap stocks. It is difficult for fund managers to step on the track continuously amid sudden changes in market style .
Another reason is the scale expansion of the fund . Funds that performed well last year attracted a lot of new investors. The expansion of the fund size will increase the difficulty of obtaining yield.
In addition, public funds often pursue scale rather than income. No matter how much money the fund makes for you, it cannot be divided into it. On the contrary, the larger the fund, the more management fees it earns.
In this environment, star funds or top-ranked funds are actually just tools for fund companies to expand their scale .
Other reasons are not listed one by one. In short, you must be cautious when encountering those who promote star funds in the future .
05
postscript
Some students will ask, star funds are not suitable for buying, so what kind of funds are suitable? At this time, we still need to do corresponding research.
For example, you can try to see how the performance of the bottom ten or top 10% funds will perform in the second year.
Or from the perspective of fund managers, is it objective to only look at the ranking of earnings in the past year? What if it is extended to 3 or 5 years .
In addition, we can also observe how the top ten funds of different sizes perform in the following year.
The above-mentioned questions are all very good directions for exploring funds. After you get the data and code, you can play with it yourself, choose an interesting angle to conduct research, and use Python programming to verify it . You can also scan the QR code below or add me on WeChat xbx391 to discuss with me.
If the article in this issue exceeds 100 likes, we will write another article soon to explain more good ideas for choosing funds.
In the final analysis, we speak with data.
06
postscript
At the end of the article, I would like to share with you some experience in quantitative investment.
Many people ask me how Xiaobai started to learn quantitative investment, and what books can I recommend.
My suggestion is never to look for this book directly.
If you read a programming book, you will finish typing "Hello World"; if you read a math book, you will fall asleep when you see the formula on page 7.
A better way to learn is to do actual projects and learn quantitative strategies in practice.
Research reports are good quantitative practice projects.
A research report is a strategy. The authors are highly educated securities analysts with an annual salary of one million. All you have to do is to understand the strategy research report and implement it with code.
During this period, learn what you don’t know, what you don’t know, and learn with a problem-solving mentality, which will get twice the result with half the effort.
Read 300 Tang poems by heart, even if you don't know how to compose poems, you can also recite them.
So where can I get the research report?
You can add my WeChat, I have tens of thousands of research reports by category, and they will be updated in real time.
I will distinguish the difficulty and send it to you after selection.
After adding me on WeChat xbx 391 , you can also exchange questions about quantitative investment . I am busy and reply slowly, but I will reply to everything I see.
Have a happy chat, have a good chat, and a lot of quantitative data and information can be given to you .
You can also look through the content of my circle of friends , a lot of quantitative dry goods . Some content that will not be published publicly will be said in the circle of friends.
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