公募基金量化遴选类策略指数跟踪周报：海内外权益短期承压，关注布局中长期机会

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 small drawdowns, suitable for defensive investment needs in high-risk market environments[15][22] - Model Construction Process: - Historical net value drawdowns and volatility levels of funds are analyzed to reflect fund managers' investment styles and risk control capabilities - These characteristics are found to have significant continuity in the future - Additional constraints on fund valuation levels are applied - Funds are selected based on net value performance and holding characteristics to construct a low-volatility fund portfolio[15] - Model Evaluation: The model demonstrates strong defensive characteristics while maintaining decent returns, with low volatility and small drawdowns effectively verified in volatile market conditions[22][23] 2. Model Name: Equity Fund Enhanced Portfolio - Model Construction Idea: This strategy targets investors with higher risk preferences, aiming to construct a portfolio with higher volatility and offensive characteristics by identifying funds with strong alpha generation capabilities[16][25] - Model Construction Process: - Fund return indicators are analyzed to decompose returns into industry allocation returns (beta) and stock selection excess returns (alpha) - Funds with significant alpha continuity are selected - The portfolio is constructed by allocating to fund managers with strong stock selection capabilities, aiming to achieve excess performance during the holding period[16] - Model Evaluation: The strategy shows potential for higher elasticity in improved market conditions, maintaining performance close to the benchmark in weaker environments due to balanced styles and fund manager capabilities[25] 3. Model Name: Cash Increment Fund Portfolio - Model Construction Idea: This strategy focuses on selecting money market funds with better yield performance to optimize short-term idle capital management[18][27] - Model Construction Process: - Factors such as management fees, custody fees, sales service fees, fund duration, leverage levels, institutional holdings, and deviation risks are considered - A comprehensive scoring and risk exclusion system is applied to construct a money market fund selection framework - The goal is to achieve higher yield levels while reducing yield volatility risks[18] - Model Evaluation: The strategy consistently outperforms its benchmark, providing effective references for investors in cash management[27] 4. Model Name: Overseas Equity Allocation Fund Portfolio - Model Construction Idea: This strategy aims to select QDII funds for global asset allocation by screening equity indices of countries or regions based on momentum and reversal factors[19][28] - Model Construction Process: - Long-term momentum and short-term reversal factors are used to exclude overbought indices with excessive gains - Indices in an upward trend with strong momentum are selected as portfolio components - The portfolio provides a supplementary tool for globalized investment beyond A-share equity funds[19] - Model Evaluation: The strategy has accumulated significant excess returns since its inception, benefiting from global technology growth and the Federal Reserve's interest rate environment[28] --- Model Backtesting Results 1. Evergreen Low-Volatility Fund Portfolio - Weekly return: -0.911% - Monthly return: -2.595% - Year-to-date return: -3.306% - Since inception (2023.07.31): 4.244%[20][22][23] 2. Equity Fund Enhanced Portfolio - Weekly return: -1.005% - Monthly return: -4.722% - Year-to-date return: -3.946% - Since inception (2024.03.29): 3.295%[20][25][26] 3. Cash Increment Fund Portfolio - Weekly return: 0.031% - Monthly return: 0.153% - Year-to-date return: 0.045% - Since inception (2023.07.31): 2.921%[20][27][28] 4. Overseas Equity Allocation Fund Portfolio - Weekly return: 0.428% - Monthly return: -2.602% - Year-to-date return: -0.018% - Since inception (2023.07.31): 24.446%[20][28][30]