權(quán)益基金2022年二季報解析：大幅加倉食品飲料風(fēng)格向大市值切換-20220721-華安證券

究報告評級說明究報告金融工程大幅加倉食品飲料，風(fēng)格向大市值切換報告日期：2022-07-21分析師：嚴(yán)佳煒執(zhí)業(yè)證書號：S0010520070001箱：yanjw@聯(lián)系人：錢靜閑執(zhí)業(yè)證書號：S0010120080059箱：qianjx@相關(guān)報告1.《市場未出現(xiàn)大規(guī)模贖回，電新加倉成首位重倉行業(yè)——權(quán)益基金2022年一季報解析》2022-04-233.《多只重倉股獲主動減倉，分散持股趨勢延續(xù)——權(quán)益基金2021年四季4.《醫(yī)藥基金深度解析：持倉、業(yè)績、5.《持股集中度下降，風(fēng)格切換正當(dāng)6.《基金投資如何選準(zhǔn)對標(biāo)的“錨”：華安分類標(biāo)簽框架介紹》2021-09-117.《公募權(quán)益基金的舒適管理規(guī)模是受益上升，但基金份額略有下降，基金發(fā)行市場維持低迷。有上行。格從小市值向大市值切換。公募主動大幅加倉的行業(yè)為食品飲料、汽車、電力設(shè)備新能源，主動減倉幅度最大的行業(yè)為電子、銀行、農(nóng)林牧漁。食品飲料配置比例為連續(xù)2022Q2公募配置比例最高的個股有貴州茅臺(5.01%)，寧德時代(4.23%)、隆基綠能(2.43%)、五糧液(2.12%)、瀘州老窖(0.35%)、愛爾眼科(0.35%)、比亞迪(0.34%)。不構(gòu)成任何投資建議。報告2報告2/18 金融工程正文目錄1權(quán)益基金規(guī)模有所反彈 42權(quán)益?zhèn)}位整體上升，抱團(tuán)指標(biāo)略有上行 53加倉港股，風(fēng)格向大市值切換 7 5貴州茅臺“漲”為第一大重倉股 136頭部權(quán)益基金經(jīng)理調(diào)倉方向 15 報告3報告3/18 金融工程 圖表3主動股基收益與各大寬基對比 4圖表4主動股基(930890.CSI)相對表現(xiàn) 5 圖表6權(quán)益基金新發(fā)份額與老份額變動 5圖表7偏股混合、靈活配置型基金倉位上升幅度超2% 6圖表8主動權(quán)益基金持股集中度變化 6 圖表10主動權(quán)益基金港股配置比例 7圖表11主動權(quán)益基金在各個板塊上的配置比例 8圖表12主動權(quán)益基金板塊配置相對于市場超配 8圖表132022Q2主動權(quán)益基金風(fēng)格從小市值向大市值切換 9圖表14主動權(quán)益基金行業(yè)板塊配置 9 1圖表172022Q2行業(yè)主動/被動持倉變動 12Q門主題配置情況 13圖表192022Q2主動權(quán)益基金個股配置比例TOP20 14圖表202022Q2主動權(quán)益基金加倉幅度TOP20 14圖表212022Q2主動權(quán)益基金減倉幅度TOP20 15圖表22頭部基金經(jīng)理代表基金主要調(diào)倉方向(按基金經(jīng)理管理規(guī)模排序) 16報告4報告4/183924%79%20%98% 金融工程3924%79%20%98%1權(quán)益基金規(guī)模有所反彈權(quán)益基金規(guī)模也受益上升。圖表1權(quán)益基金規(guī)模圖表2權(quán)益基金持股市值d場開始反彈，各類指數(shù)Q2均取得正收益，2022年截止2022/7/20，主動股基較優(yōu)。圖表3主動股基收益與各大寬基對比主動股基滬深300相對300超額中證500相對500超額創(chuàng)業(yè)板指相對創(chuàng)業(yè)板指超額跑贏300跑贏500跑贏創(chuàng)業(yè)板2012年5.07%7.55%-2.48%0.28%4.80%-2.14%7.7.√√2013年13.75%-7.65%21.%16.89%3.82.73% .98%√2014年17.36%51.66%-34.30%39.01%-264%12.83%44.54%√2015年47.07%5.58%41.49%43.12%3.95%84.41%-37.34%√√2016年-17.60%-11.28%-6.32%-17.78%0.-27.71%√√2017年11.57%21.78%-10.21%-0.20%77%-10.67%22.√√2018年-27.15%-25.31%-1.84%-33.32%6.-28.65%1.1.50%√√2019年48.50%36.07%43%26.38%43.79%4.71%4.√√√2020年61.78%27.21%34.57%20.87%40.91%64.96%-3√√2021年7.80%-5.20%00%15.58%7.78%12.02%-4√2022年Q1-17.85%-14.53%-3.32%-14.06%3.-19.96%2√2022年Q29.24%6.21%3.03%2.04%7.5.68%3.3.56%√√√2022年Q3-1.65%-4.49%2.84%-0.67%0.-1.62%-0.03%√2022年-11.73%-13.29%56%-12.89%-16.78%5.05%5.√√√報告5報告5/182015-12-312016-04-302016-08-312016-12-312017-04-302017-08-312017-12-31202015-12-312016-04-302016-08-312016-12-312017-04-302017-08-312017-12-312018-04-302018-08-312018-12-312019-04-302019-08-312019-12-312020-04-302020-08-312020-12-312021-04-302021-08-312021-12-312022-04-30累計凈值圖表4主動股基(930890.CSI)相對表現(xiàn)2.001.801.601.401.201.000.800.600.400.200.001.501.401.301.201.10相1.00值0.900.800.700.60相對凈值主動股基滬深300從權(quán)益基金份額來看，2022Q1，雖然市場表現(xiàn)不佳，但整體份額基本維穩(wěn)，圖表5權(quán)益基金分類份額圖表6權(quán)益基金新發(fā)份額與老份額變動d2權(quán)益?zhèn)}位整體上升，抱團(tuán)指標(biāo)略有上行統(tǒng)計了三大類基金的規(guī)模加權(quán)平均倉位變動情況，2022Q2普通股票型報告6報告6/18 金融工程圖表7偏股混合、靈活配置型基金倉位上升幅度超2%將單只基金的前10大重倉股占持股市值的比例作為基金經(jīng)理的持股集中度指基金的規(guī)模加權(quán)平均，持股集中度于2021Q1達(dá)到階段高點，下降-0.20%。圖表8主動權(quán)益基金持股集中度變化為了分析公募整體的抱團(tuán)現(xiàn)象，我們將市場“抱團(tuán)”現(xiàn)象拆分為行業(yè)間和行業(yè)報告7報告7/18 金融工程的比例Q、個股抱團(tuán)指標(biāo)均略有上行，權(quán)益基金的行業(yè)與個股配加集中了。圖表9行業(yè)抱團(tuán)指標(biāo)上行3加倉港股，風(fēng)格向大市值切換例來看，2022Q2有所增倉，權(quán)益基金持有港股圖表10主動權(quán)益基金港股配置比例2022Q2，創(chuàng)業(yè)板配置比例相對于上季度繼續(xù)下降，從Q1的21.89%下降至報告8報告8/18 金融工程圖表11主動權(quán)益基金在各個板塊上的配置比例Q加圖表12主動權(quán)益基金板塊配置相對于市場超配報告期主板創(chuàng)業(yè)板科創(chuàng)板報告期主板創(chuàng)業(yè)板科創(chuàng)板報告9報告9/18 金融工程圖表132022Q2主動權(quán)益基金風(fēng)格從小市值向大市值切換食品飲料，減倉電子圖表14主動權(quán)益基金行業(yè)板塊配置敬請參閱末頁重要聲明及評級說明10/18證券研究報告 金融工程細(xì)看中信30個行業(yè)的持倉占比，配置比例上升幅度最大的行業(yè)為食品飲料，能源連續(xù)礎(chǔ)化工(6.80%)，共占公募持倉圖表15中信30行業(yè)配置占比上游/周期中游/制造下游/消費TMT/科技大金融有色石油煤炭鋼鐵基礎(chǔ)建材建筑電力機(jī)械輕工國防電力醫(yī)藥食品家電消費汽車交通商貿(mào)農(nóng)林紡織電子計算傳媒通信房地銀行非銀綜合金屬石化化工設(shè)備及新能源制造軍工及公用事業(yè)飲料者服務(wù)運輸零售牧漁服裝機(jī)產(chǎn)行金融金融201403311%2%0%0%5%1%1%6%4%1%1%3%21%9%5%1%4%1%1%1%1%7%9%5%2%4%2%2%0%201406301%1%0%0%5%1%2%5%5%1%2%3%19%8%5%1%6%1%1%2%1%8%9%6%3%3%2%2%0%201409301%1%0%0%5%1%3%5%4%1%3%4%17%6%3%1%6%1%1%2%1%7%11%5%3%3%2%3%0%201412311%0%1%1%4%1%2%3%3%1%3%3%10%4%3%1%4%1%1%1%1%3%9%3%3%10%9%14%0%201503312%0%0%1%4%1%3%3%3%1%2%3%11%2%3%1%5%2%2%1%1%5%17%6%4%6%5%7%0%201506301%0%0%0%5%1%2%4%5%2%3%3%14%4%2%2%3%4%1%2%2%5%15%6%3%4%4%3%0%201509301%1%0%0%5%1%1%3%4%2%3%5%15%4%2%2%3%3%1%3%1%6%10%5%4%3%7%3%0%201512312%0%0%0%6%1%1%3%5%2%3%3%12%3%3%2%3%2%1%2%2%6%13%6%5%4%5%3%0%201603313%1%0%0%6%1%2%3%4%2%3%4%12%5%3%2%4%2%1%3%2%7%9%6%5%4%4%2%0%201606303%1%1%0%7%1%2%3%4%2%3%3%12%6%4%1%4%2%1%3%2%9%8%5%5%3%4%2%0%201609303%1%1%0%7%2%3%3%4%3%3%3%13%5%5%1%4%1%1%3%1%9%6%4%5%3%4%2%0%201612312%1%0%0%7%2%3%3%5%3%3%3%13%5%5%1%4%1%1%3%1%8%5%3%4%3%5%2%0%201703313%1%0%0%6%2%4%3%6%3%3%4%12%7%5%1%4%2%2%1%1%10%4%3%3%3%6%2%0%201706303%1%0%0%4%2%3%3%5%3%2%4%11%9%7%1%4%2%1%1%1%11%3%3%3%2%6%6%0%201709305%1%0%1%3%2%2%3%5%2%1%3%9%11%6%1%3%1%2%1%0%12%2%3%3%3%7%6%0%201712313%1%0%1%3%2%1%4%4%2%1%2%10%14%7%1%3%2%2%1%0%10%2%3%3%4%7%7%0%201803314%1%0%0%2%2%1%4%4%2%1%2%12%11%7%1%2%2%2%1%0%10%4%4%2%4%6%5%0%201806303%1%0%1%3%1%1%2%4%2%1%1%15%14%8%1%2%2%2%1%1%9%5%4%1%4%4%4%0%201809302%2%0%1%3%2%1%2%4%2%2%1%14%14%6%1%3%2%2%1%1%7%6%3%2%5%6%7%0%201812311%1%0%0%2%1%1%4%4%2%2%2%13%11%5%1%3%2%3%3%1%8%6%3%2%7%5%7%0%201903311%1%0%0%2%1%1%3%4%1%1%1%13%15%5%1%3%2%2%4%1%8%6%3%2%6%5%7%0%201906301%0%0%0%2%1%0%4%3%1%1%1%13%18%7%1%3%2%3%3%0%7%5%2%2%5%6%8%0%201909301%0%0%0%2%1%0%3%3%1%1%2%14%16%6%2%2%2%2%3%0%12%5%2%2%4%5%7%0%201912312%0%0%0%3%2%0%4%3%1%1%1%13%15%6%2%2%2%1%2%0%12%5%4%2%6%5%5%0%202003311%0%0%0%2%2%0%4%4%1%1%1%17%14%4%1%2%2%2%3%0%10%8%4%3%5%4%3%0%202006301%0%0%0%3%1%0%7%3%1%1%1%20%14%4%3%1%2%2%1%0%12%8%4%2%3%2%2%0%202009302%0%0%0%3%1%0%9%4%1%2%1%15%17%4%3%2%2%1%1%0%12%5%3%1%3%3%2%0%202012313%1%0%0%4%1%0%10%4%1%3%0%14%19%4%3%2%2%0%1%0%11%4%2%1%2%3%3%0%202103312%1%0%0%4%2%0%8%4%1%2%1%15%19%4%4%2%2%0%1%0%12%3%2%0%2%5%2%0%202106303%1%0%0%5%1%0%12%4%1%2%0%16%17%2%3%2%1%0%1%0%14%4%2%1%1%4%1%0%202109304%2%1%1%7%1%0%13%3%1%3%1%15%14%1%2%3%1%0%1%0%13%4%1%1%2%3%1%0%202112314%1%0%1%6%1%1%14%4%1%4%1%12%14%2%2%3%2%0%1%0%15%4%1%1%2%3%1%0%202203314%1%1%1%7%1%1%15%3%1%3%1%13%13%1%1%2%2%0%2%0%12%3%1%2%3%4%1%0%202206305%1%1%1%7%1%1%17%3%1%3%1%11%16%1%2%4%2%0%2%0%10%4%1%1%2%3%1%0%中，紅色的“×”代表2022Q2的某行業(yè)的持倉占比，灰色箱型代表該行業(yè)2010年以來配置比例的敬請參閱末頁重要聲明及評級說明11/18證券研究報告 金融工程黑色實線代表0~25%分位數(shù)和75%~100%分位數(shù)。與歷史行業(yè)配置比例相比，置比例處于歷史相對低位。圖表16中信30行業(yè)配置歷史分位數(shù)QQ漲比例和主動權(quán)益基金持倉重變動拆解為兩部分：?weig?tind,t+1=??passive_?weig?tind,t+1=??passive_weig?tind,t+1=?∑MVind,t+1∑MVind,t MVind,t+1MVind,t(1+Tt+1)∑MVind,t+1∑MVind,t(1+Tt+1)?active_weig?tind,t+1=?weig?tind,t+1??passive_weig?tind,t+1weigtindt，Tt+1為t至t+1期行業(yè)的漲跌幅，?passive_weig?tind,t+1為行業(yè)漲跌帶來的行業(yè)內(nèi)市值占比的被動權(quán)重變動，?active_weig?tind,t+1為估算的主動加減倉的比例。主動加減倉比例衡量了行業(yè)剔。敬請參閱末頁重要聲明及評級說明12/18證券研究報告 金融工程圖表172022Q2行業(yè)主動/被動持倉變動間內(nèi)下跌但主動加倉的行業(yè)，綠色代表區(qū)間內(nèi)上漲但主動減倉的行業(yè)。敬請參閱末頁重要聲明及評級說明13/18證券研究報告 金融工程圖表182022Q2熱門主題配置情況茅指數(shù)寧組合5G應(yīng)用鋰電池新能源汽車新基建半導(dǎo)體產(chǎn)業(yè)芯片集成電路創(chuàng)新藥生物科技療器械云計算20140331.3%.6%%20140630.3%.6%%20140930%4.0%.8%.8%%%201412319%.4%%.9%.3%.6%20150331%.7%.5%.5%%20150630%.9%.9%.5%%20150930%%.5%%20151231.3%%%4.3%20160331%%.5%%%201606302%%%.1%%201609306%%%%.8%%%201612319%.3%%7%%%.9%20170331.3%%4.2%5%%%%.9%20170630%.5%%%%.7%20170930%5%.3%%%%.5%.7%20171231.0%.3%%%%.6%201803314.8%4.1%2%%%2018063020.0%4.1%.7%%4.6%%2018093021.2%4.7%%.0%%%%2018123120.0%%%%%%%%2019033122.8%%%.8%%%%2019063027.2%%%4.1%.8%%%%2019093028.8%%%%%%2019123126.9%%4.3%4.5%4.3%.1%2020033126.0%.5%4.1%.2%4.9%4.1%4.4%.0%2020063028.1%4.6%4.2%4.4%%.0%4.9%20200930.5%4.9%.7%4.1%4.1%%.0%%20201231.0%9%.3%4.5%%%%.1%%2021033141.4%%2%.6%4.1%%%.1%20210630.4%20.3%.0%%%%20210930.9%20.1%3%%4%%20211231.3%4%7%%%%20220331.2%.9%.1%8%%%4.9%%20220630.6%0%%4.7%4.6%4.1%%5貴州茅臺“漲”為第一大重倉股個股配置比例用機(jī)構(gòu)持有的某個股的市值除以基金權(quán)益市值，代表哪些股票機(jī)敬請參閱末頁重要聲明及評級說明14/18證券研究報告 金融工程圖表192022Q2主動權(quán)益基金個股配置比例TOP20排名股票代碼股票名稱2022Q2區(qū)間收益率2022Q1配置占比2022Q2配置占比主動調(diào)倉幅度(剔除漲跌影響)所屬行業(yè)1600519.SH貴州茅臺20.2%4.50%5.01%0.08%食品飲料2300750.SZ寧德時代4.2%4.59%4.23%-0.13%電力設(shè)備及新能源3601012.SH隆基綠能29.6%1.76%2.43%0.35%電力設(shè)備及新能源4000858.SZ五糧液32.2%1.47%2.12%0.35%食品飲料5000568.SZ瀘州老窖32.6%1.53%1.97%0.11%食品飲料6603259.SH藥明康德-7.0%2.39%1.67%-0.36%醫(yī)藥7600809.SH山西汾酒28.1%1.01%1.45%0.27%食品飲料83690.HK美團(tuán)-W24.8%0.77%1.38%0.50%港股9002594.SZ比亞迪45.1%0.76%1.35%0.34%汽車603799.SH華友鈷業(yè)27.5%0.85%1.20%0.21%有色金屬300014.SZ億緯鋰能20.9%0.82%1.13%0.22%電力設(shè)備及新能源300059.SZ東方財富20.7%0.72%1.06%0.27%計算機(jī)300015.SZ愛爾眼科41.9%0.55%1.06%0.35%醫(yī)藥300760.SZ邁瑞醫(yī)療3.1%1.44%1.05%-0.30%醫(yī)藥601888.SH中國中免41.7%0.69%1.03%0.15%消費者服務(wù)002459.SZ晶澳科技40.6%0.62%1.02%0.21%電力設(shè)備及新能源002466.SZ天齊鋰業(yè)53.3%0.51%0.97%0.26%有色金屬0700.HK騰訊控股-4.8%0.96%0.94%0.11%港股600048.SH保利發(fā)展1.05%0.86%-0.09%房地產(chǎn)20002475.SZ立訊精密6.6%0.98%0.83%-0.11%電子我們采取類似于第四節(jié)的算法，計算個股剔除漲跌幅后，基金經(jīng)理主動加倉的圖表202022Q2主動權(quán)益基金加倉幅度TOP20排名代碼名稱2022Q2率2022Q12022Q2倉幅度(剔除漲跌影響)行業(yè)1.HK美團(tuán)-W0.50%股2.SH0.35%358.SZ0.35%飲料4Z爾眼科.9%0.35%594.SZ.1%0.34%車6.SH0.27%飲料7Z財富0.27%機(jī)866.SZ鋰業(yè)0.26%金屬931.HK寧0.23%股Z鋰能0.22%59.SZ.6%0.21%.SH業(yè)0.21%金屬.SH0.18%.SH科技0.18%61.SZ0.16%.SH.7%0.15%者服務(wù).SH醫(yī)療0.15%Z美客0.13%Z化成0.12%.SH學(xué)0.12%化工基金經(jīng)理主動減倉的個股TOP20如圖表21所示，減倉最多的個股分別為海康敬請參閱末頁重要聲明及評級說明15/18證券研究報告 金融工程圖表212022Q2主動權(quán)益基金減倉幅度TOP20排名股票代碼股票名稱2022Q2區(qū)間收益率2022Q1配置占比2022Q2配置占比主動調(diào)倉幅度 (剔除漲跌影響)所屬行業(yè)1002415.SZ?？低?9.2%%0.37%-0.49%子2603259.SH藥明康德-7.0%2.39%%-0.36%3300760.SZ邁瑞醫(yī)療1%%%-0.30%4600036.SH招商銀行-9.8%%0.70%-0.27%銀行5300363.SZ博騰股份0.58%0.21%-0.22%6300122.SZ智飛生物0.69%0.29%-0.21%7000333.SZ美的集團(tuán)9.3%0.63%0.42%-0.20%家電8002714.SZ牧原股份-2.3%0.57%0.32%-0.19%農(nóng)林牧漁9002821.SZ凱萊英-21.3%0.75%0.36%-0.18%002049.SZ紫光國微-7.2%%0.72%-0.17%子601899.SH紫金礦業(yè)0.57%0.27%-0.16%有色金屬600887.SH伊利股份8.3%0.85%0.68%-0.16%食品飲料601985.SH中國核電0.29%0.07%-0.16%電力設(shè)備及新能源002709.SZ天賜材料32.9%0.44%0.38%-0.15%基礎(chǔ)化工002142.SZ寧波銀行-4.2%0.89%0.62%-0.15%銀行002371.SZ北方華創(chuàng)0.64%0.45%-0.14%子601166.SH興業(yè)銀行0.31%0.14%-0.14%銀行30