主动量化周报：节前维持看多，双线作战

• The report discusses the performance of quantitative private equity strategies, specifically the "index enhancement strategy" (指增策略). The construction idea is to enhance the index by generating alpha through quantitative methods. The specific construction process involves using a combination of price-volume factors and fundamental factors. The formula for calculating the excess return is given by the average weekly excess return of +0.26% for the 500 index enhancement and +0.30% for the 1000 index enhancement[4][14] - The report evaluates the "high-frequency strategy" (高频策略), which benefits from high volatility and high trading volume. The construction idea is to leverage high-frequency trading techniques to capture short-term market movements. The specific construction process involves using intraday and fusion products to achieve an average excess return of 9.95% for high-frequency 500 index enhancement products and 3.85%/5.97% for intraday and fusion products respectively[5][14] - The report mentions the "fund position monitoring model" (基金仓位监测模型), which tracks the allocation of active equity funds across different industries. The construction idea is to monitor fund positions to identify potential investment opportunities. The specific construction process involves estimating the fund positions using statistical methods and comparing them to market indices. The model results show that active equity funds have significantly reduced their allocation to the food and beverage, building materials, and other cyclical sectors, indicating potential for price increases in these sectors[3][13] Model Backtesting Results - Index enhancement strategy: 500 index enhancement average excess return of +0.26%, 1000 index enhancement average excess return of +0.30%[4][14] - High-frequency strategy: High-frequency 500 index enhancement products average excess return of 9.95%, intraday and fusion products average excess return of 3.85%/5.97%[5][14] Factor Construction and Evaluation - The report identifies the "price-volume factor" (量价因子) and "fundamental factor" (基本面因子) as key components in the index enhancement strategy. The construction idea is to use these factors to generate alpha. The specific construction process involves calculating the excess return based on the performance of these factors. The evaluation indicates that approximately 65% of the recent drawdown was due to the failure of price-volume factors, and 35% was due to the failure of fundamental factors[4][14] - The report evaluates the "AI price-volume model" (AI 价量模型) for industry allocation. The construction idea is to use AI techniques to predict industry trends based on price-volume data. The specific construction process involves extracting trend, volatility, and price-volume characteristics from daily data and using deep neural networks to predict industry allocation scores standardized to the [-1,1] range. The recent industry allocation includes mechanical equipment, transportation, banking, automotive, and non-bank finance[22][23] Factor Backtesting Results - Price-volume factor: Contributed to 65% of the recent drawdown in index enhancement strategy[4][14] - Fundamental factor: Contributed to 35% of the recent drawdown in index enhancement strategy[4][14] - AI price-volume model: Industry allocation scores for mechanical equipment (0.45), transportation (0.38), banking (0.32), automotive (0.30), and non-bank finance (0.27)[23]