公募基金工具化组合跟踪周报：风险事件聚集引回调，关注震荡中布局机会

Quantitative Models and Construction Methods 1. Model Name: Evergreen Low-Volatility Fund Portfolio - Model Construction Idea: The strategy aims to select actively managed equity funds with long-term stable return characteristics, focusing on funds that exhibit low volatility and defensive attributes, suitable for risk-averse investors seeking stable returns[12][22] - Model Construction Process: - Historical net value drawdown and volatility levels are used to reflect the investment style and risk control ability of fund managers - These characteristics are tested for continuity, showing significant persistence in maximum drawdown and volatility indicators - Additional constraints on fund valuation levels are applied - Funds are selected based on net value performance and holding characteristics to construct a low-volatility equity fund portfolio[12] - Model Evaluation: The model demonstrates strong defensive capabilities while maintaining some offensive potential, making it suitable for low-risk preference investors[22] 2. Model Name: Equity-Enhanced Fund Portfolio - Model Construction Idea: This strategy targets higher alpha returns by selecting funds with strong stock-picking capabilities and balancing industry exposure, providing a more aggressive option for high-risk investors[13][24] - Model Construction Process: - Analyze fund return sources by decomposing returns into industry allocation beta and stock-picking alpha - Identify funds with significant alpha returns after removing beta contributions - Construct a portfolio of funds managed by fund managers with strong stock-picking capabilities[13] - Model Evaluation: The model shows potential for higher elasticity in improved market conditions, with balanced style exposure and strong fund manager capabilities[24] 3. Model Name: Cash Increment Fund Portfolio - Model Construction Idea: This strategy focuses on optimizing cash management by selecting money market funds with superior return characteristics while minimizing yield volatility risks[15][25] - Model Construction Process: - Evaluate multiple factors, including management fees, duration, leverage levels, institutional holdings, and deviation risks - Construct a scoring and risk-filtering system to select high-performing money market funds[15] - Model Evaluation: The model consistently outperforms its benchmark, providing effective tools for cash management[25] 4. Model Name: Overseas Equity Allocation Fund Portfolio - Model Construction Idea: This strategy leverages global equity indices' momentum and reversal effects to select QDII funds, enabling investors to diversify globally[16][28] - Model Construction Process: - Screen global equity indices based on long-term momentum and short-term reversal factors - Exclude overbought indices with excessive gains - Select indices with upward trends and strong momentum for portfolio inclusion[16] - Model Evaluation: The model provides effective tools for global diversification, with potential for enhanced returns through AI-driven technology growth and valuation recovery[28] --- Model Backtesting Results 1. Evergreen Low-Volatility Fund Portfolio - Weekly Return: -1.340% - Monthly Return: -1.933% - YTD Return: 9.781% - Since Inception: 4.667%[20][22] 2. Equity-Enhanced Fund Portfolio - Weekly Return: -1.696% - Monthly Return: -0.965% - YTD Return: 5.475% - Since Inception: 5.475%[20][24] 3. Cash Increment Fund Portfolio - Weekly Return: 0.033% - Monthly Return: 0.152% - YTD Return: 1.774% - Since Inception: 2.680%[20][25] 4. Overseas Equity Allocation Fund Portfolio - Weekly Return: -0.701% - Monthly Return: -0.704% - YTD Return: 16.313% - Since Inception: 22.409%[20][28]