一、券商金股股票池上月回顾 2025年10月，国盾量子、荣信文化、江波龙等券商金股股票的月度上涨幅度靠 前。 2025年10月，西部证券、长城证券、国元证券收益排名前三，月度收益分别为 5.84%、5.43%、4.03%，同期偏股混合型基金指数收益-2.14%，沪深300指数收 益-0.00%。 2025年以来，东北证券、华鑫证券、国元证券收益排名前三，年度收益分别为 86.32%、77.80%、76.51%，同期偏股混合型基金指数收益32.47%，沪深300指数 收益17.94%。 二、券商金股股票池中选股因子表现 最近一个月，总市值、单季度超预期幅度、波动率表现较好，剥离涨停动量、单 季度ROE、EPTTM表现较差； 今年以来，总市值、单季度营收增速、分析师净上调幅度表现较好，EPTTM、预 期股息率、波动率表现较差。 三、券商金股股票池本月特征 截至2025年11月3日，共有42家券商发布本月金股。在对券商金股股票池进行去重 后，总共有275只A股。 从绝对占比来看，本期券商金股在电子(15.26%)、有色金属(8.68%)、基础化工 (6.84%)、计算机(6.58%)、电力设备及新能源(6.32%) ...

国信金工指数增强组合表现如下： 二 因子表现监控 我们分别以沪深300指数、中证500指数、中证1000指数、中证A500指数及公募重仓指数为选股空间， 构造单因子MFE组合并检验其相对于各自基准的超额收益。 一、本周指数增强组合表现 沪深300指数增强组合本周超额收益-0.02%，本年超额收益18.75%。 中证500指数增强组合本周超额收益-0.64%，本年超额收益8.25%。 中证1000指数增强组合本周超额收益-1.24%，本年超额收益17.45%。 中证A500指数增强组合本周超额收益1.03%，本年超额收益9.51%。 二、本周选股因子表现跟踪 沪深300成分股中EPTTM、预期BP、预期EPTTM等因子表现较好。 中证500成分股中单季SP、SPTTM、预期PEG等因子表现较好。 中证1000成分股中特异度、三个月换手、预期净利润环比等因子表现较好。 中证A500指数成分股中单季SP、SPTTM、BP等因子表现较好。 公募基金重仓股中SPTTM、一个月反转、单季SP等因子表现较好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.06%，最低-0.51%，中位数 ...

一、国信金工主动量化策略表现跟踪 本周， 优秀基金业绩增强组合 绝对收益-0.57%，相对偏股混合型基金指数超额收 益-0.63%。本年，优秀基金业绩增强组合绝对收益28.80%，相对偏股混合型基金 指数超额收益-3.67%。 今年以来，优秀基金业绩增强组合在主动股基中排名 52.61%分位点（1825/3469）。 本周， 超预期精选组合 绝对收益0.22%，相对偏股混合型基金指数超额收益 0.16%。本年，超预期精选组合绝对收益44.19%，相对偏股混合型基金指数超额 收益11.72%。 今年以来，超预期精选组合在主动股基中排名24.96%分位点 （866/3469）。 本周， 券商金股业绩增强组合 绝对收益0.31%，相对偏股混合型基金指数超额收 益0.24%。本年，券商金股业绩增强组合绝对收益35.08%，相对偏股混合型基金 指数超额收益2.61%。 今年以来，券商金股业绩增强组合在主动股基中排名 40.13%分位点（1392/3469）。 本周， 成长稳健组合 绝对收益0.56%，相对偏股混合型基金指数超额收益 0.50%。本年，成长稳健组合绝对收益55.51%，相对偏股混合型基金指数超额收 益 2 ...

报 告 摘 要 乘势而起：市场新高趋势追踪 触及新高的个股、行业和板块可被视为市场的风向标。越来越多的研究表明动量、趋势跟踪策略的有效性。本报告旨在定期跟踪市场中创新高的个股及其 分布，以追踪市场趋势、把握市场热点。 截至2025年10月31日，上证指数、深证成指、沪深300、中证500、中证1000、中证2000、创业板指、科创50指数250日新高距离分别为1.53%、 2.53%、2.26%、2.89%、1.85%、2.22%、4.11%、8.03%。中信一级行业指数中家电、纺织服装、综合、基础化工、建材行业指数距离250日新高较 近，食品饮料、银行、房地产、综合金融、医药行业指数距离250日新高较远。概念指数中，锂电池、汽车整车精选、钠离子电池、林木、锂矿、万得微盘 股日频等权、万得全A等权等概念指数距离250日新高较近。 见微知著：利用创新高个股进行市场监测 截至2025年10月31日，共1077只股票在过去20个交易日间创出250日新高。其中创新高个股数量最多的是电子、机械、基础化工行业，创新高个股数量 占比最高的是有色金属、煤炭、钢铁行业。按照板块分布来看，本周周期、科技板块创新高股票数量最多；按 ...

Group 1 - As of October 29, 2025, no companies in the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices are in the proposal, decision, or implementation stages for dividends, with a total of 3, 20, 46, and 138 companies respectively not distributing dividends [1][3] - The coal, banking, and steel industries have the highest median dividend yields among the disclosed dividend proposals [4] - The realized dividend yields as of October 29, 2025, are 2.45% for the Shanghai 50, 1.96% for the CSI 300, 1.20% for the CSI 500, and 0.92% for the CSI 1000, with remaining yields of 0.10%, 0.11%, 0.05%, and 0.04% respectively [7][6] Group 2 - The annualized premium and discount for the main futures contracts as of October 29, 2025, are 1.93% for IH, -0.96% for IF, -8.26% for IC, and -10.23% for IM [1] - The tracking of the premium and discount levels of stock index futures will consider the impact of dividend distributions on index points, which is crucial for accurately estimating the premium and discount of futures contracts [2][23] Group 3 - The dividend progress for the indices is expected to be concentrated in November and December, as shown in the forecasts for the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices [16] - The methodology for estimating dividend points involves calculating the dividend amounts based on the weights of constituent stocks, their market values, and the index closing prices [25][26]

Fund Position Monitoring - The median position of ordinary equity funds is 91.98%, and for mixed equity funds, it is 91.33%, showing an increase compared to the previous quarter. The current positions are at historical percentiles of 98.41% and 100% respectively [1][6][11] - The average Hong Kong stock allocation for ordinary equity funds is 13%, and for mixed equity funds, it is 17.11%, both slightly increased from the previous quarter. The number of funds allocating to Hong Kong stocks is 241 for ordinary equity funds and 1,671 for mixed equity funds, accounting for 59.55% of the total [1][11][9] Fund Holding Concentration Monitoring - The proportion of heavy-weight stocks in equity allocation is 54.96%, up from 52.46% in the previous period, indicating a significant increase in concentration. The total number of stocks held by fund managers decreased to 2,377 from 2,507, suggesting reduced diversity in holdings [10][1][6] Sector Allocation Monitoring - The main board allocation weight is 47.54%, the ChiNext board is 19.29%, the Sci-Tech Innovation board is 13.91%, and Hong Kong stocks are 19.26%. The main board weight has decreased significantly, while the ChiNext and Sci-Tech boards have increased [21][24] - The technology sector saw a substantial increase in allocation, rising by 12.97% to a historical high of 50.51%. In contrast, the consumer and financial sectors saw significant reductions of 6.08% and 3.48%, respectively, reaching historical lows [24][27] Industry Allocation Monitoring - The top three industries by allocation weight are electronics (23.93%), electric power equipment and new energy (10.27%), and pharmaceuticals (9.81%). The industries with the most active increases in allocation are communication, computer, and electronics, with increases of 2.93%, 1.97%, and 1.85% respectively [26][27][28] Individual Stock Allocation Monitoring - The three stocks with the highest absolute market value allocation are Ningde Times (740 billion), Tencent Holdings (682 billion), and Xinyi Technology (559 billion) [31][32] Performance Fund and Billion Fund Industry Allocation Monitoring - The top three industries allocated by performance funds are electronics (41.18%), communication (38.25%), and computer (8.57%). For billion-scale funds, the top three industries are electronics (26.6%), pharmaceuticals (13.97%), and food and beverage (11.41%) [35][36]

Group 1: Monthly Performance of US Public Funds - In September 2025, the median performance of US equity funds was 1.81%, outperforming bond funds at 0.93%, but underperforming international equity funds at 2.44% and asset allocation funds at 2.25% [1][7][10]. Group 2: Fund Flows and Trends - In September 2025, the US fund market saw a total of 78 new funds established, including 71 ETFs and 7 open-end funds, with 57 being equity funds and 20 being bond funds [3][39][43]. - Active management funds experienced a net inflow of $7.9 billion, while passive funds saw a much larger net inflow of $78.5 billion [8][21]. - Open-end bond funds had a significant net inflow of $33.3 billion, while equity funds faced a net outflow of $87.7 billion [27][30]. Group 3: Insights from Leading Asset Management Firms - Recent themes of interest among leading overseas asset management firms include the trajectory of US and European policies and foreign capital perspectives on the stock market [4][45]. - PIMCO highlighted the impact of tariffs and technology on the market, suggesting that while large tech companies are benefiting from AI investments, certain sectors may face pressure due to tariff impacts [49]. - Fidelity noted that despite tariff fluctuations, the stock market remains strong, driven by optimism and AI-related investments [49]. Group 4: Fund Issuance Observations - The issuance of new funds in the US market has been dominated by ETFs, with 71 new ETFs launched in September 2025 compared to only 7 open-end funds [39][43].

Market Review - The A-share market saw all major broad-based indices rise last week, with the ChiNext Index, STAR 50, and Shenzhen Component Index leading gains at 8.05%, 7.27%, and 4.73% respectively, while the Shanghai Composite Index, CSI 300, and CSI 1000 lagged behind with returns of 2.88%, 3.24%, and 3.25% respectively [5][13] - The communication, electronics, and machinery sectors performed best, with returns of 11.56%, 8.11%, and 4.8% respectively, while agriculture, food and beverage, and retail sectors saw negative returns of -1.59%, -0.81%, and -0.28% respectively [18][20] - The central bank's net reverse repurchase was 78.1 billion, with 789.1 billion maturing, resulting in a net open market injection of 867.2 billion [21] Fund Issuance - A total of 28 new funds were established last week, with a total issuance scale of 15.496 billion, showing an increase compared to the previous week [3] - 55 funds were reported for issuance, including 3 FOFs and 4 QDIIs, indicating an increase in the number of applications [4][5] Fund Performance - Active equity, flexible allocation, and balanced mixed funds had returns of 3.34%, 2.63%, and 2.26% respectively last week [27] - Year-to-date, alternative funds have shown the best performance with a median return of 29.89%, while active equity, flexible allocation, and balanced mixed funds had median returns of 29.48%, 22.25%, and 14.14% respectively [32] QDII Fund Situation - QDII investment quotas are under pressure, with many funds tracking the NASDAQ and S&P 500 experiencing purchase limits or suspension of subscriptions [8] - As of October 24, 2025, over 73% of QDII funds had purchase limits below 10,000 yuan, with 50% of funds having limits not exceeding 1,000 yuan [8][11] Bond Market - The central bank's net reverse repurchase was 78.1 billion, with various bond yields rising, leading to a narrowing of the yield spread by 0.42 basis points [21][22] - The median premium rate for convertible bonds was 27.15%, a decrease of 1.02% from the previous week [25] Fund Manager Changes - Last week, 119 funds from 37 fund companies experienced changes in fund managers, with notable changes from Huatai-PB Fund, Huaxia Fund, and Ping An Fund, each having 11 funds affected [40]

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 0.53% this week and 18.86% year-to-date [1][7] - The CSI 500 index enhanced portfolio recorded an excess return of 0.45% this week and 9.03% year-to-date [1][7] - The CSI 1000 index enhanced portfolio had an excess return of 0.34% this week and 19.00% year-to-date [1][7] - The CSI A500 index enhanced portfolio experienced an excess return of -0.46% this week and 8.18% year-to-date [1][7] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as quarterly ROA, quarterly ROE, and one-year momentum performed well [1][10] - In the CSI 500 component stocks, factors like SPTTM, executive compensation, and three-month institutional coverage showed strong performance [1][10] - For the CSI 1000 component stocks, factors such as three-month earnings revisions, standardized unexpected revenue, and standardized unexpected earnings performed well [1][10] - In the CSI A500 index component stocks, factors like one-year momentum, quarterly revenue year-on-year growth, and DELTAROA showed good performance [1][10] - Among publicly offered fund heavy stocks, factors like one-year momentum, standardized unexpected revenue, and three-month earnings revisions performed well [1][10] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 2.02%, a minimum of -1.13%, and a median of 0.06% this week [1][23] - The CSI 500 index enhanced products recorded a maximum excess return of 1.24%, a minimum of -1.61%, and a median of 0.19% this week [1][25] - The CSI 1000 index enhanced products achieved a maximum excess return of 1.52%, a minimum of -1.23%, and a median of 0.45% this week [1][29] - The CSI A500 index enhanced products had a maximum excess return of 0.84%, a minimum of -0.53%, and a median of 0.03% this week [1][30]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median and the mixed equity fund index [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 4.27% this week and a year-to-date return of 29.53%, underperforming the mixed equity fund index by 0.45% and 2.86% respectively [1][9]. - The "Super Expected Selection Portfolio" recorded an absolute return of 3.90% this week and 43.86% year-to-date, outperforming the mixed equity fund index by 0.08% and 11.47% respectively [1][20]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 5.82% this week and 34.66% year-to-date, exceeding the mixed equity fund index by 2.00% and 2.27% respectively [1][21]. - The "Growth and Stability Portfolio" posted an absolute return of 4.31% this week and 54.64% year-to-date, outperforming the mixed equity fund index by 0.49% and 22.26% respectively [1][30]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [6][34]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a robust stock selection [13][41]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage golden stock pool, optimizing the portfolio to minimize deviations from this benchmark [17][43]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [27][47].