信达澳亚量化产品简评：领先的投研体系创造稳健超额回报

• The quantitative research team of Xinda Aoya has a top-tier member configuration and a leading research system[1][2][3] - The team manages several actively managed equity quantitative products, each with different index tracking characteristics, and all have achieved stable excess returns over various periods[3][13] - The product design fully analyzes the industry distribution, style characteristics, and component features of the tracked index, and explores applicable factors based on the index characteristics[3] - The team combines broader earnings forecast expansion information, uses dynamic weights and machine learning methods to form portfolios, reduces correlation between strategies, and enhances the stability of product excess returns[3][13] - The "index+" products managed by the team have ranked among the top in the market in terms of excess returns since their inception, and their risk-adjusted returns are in the top 20% of similar products[3][13] Quantitative Models and Construction Methods 1. Model Name: Index+ Products - Model Construction Idea: Fully analyze the industry distribution, style characteristics, and component features of the tracked index, and explore applicable factors based on the index characteristics[3] - Model Construction Process: Combine broader earnings forecast expansion information, use dynamic weights and machine learning methods to form portfolios, reduce correlation between strategies, and enhance the stability of product excess returns[3][13] - Model Evaluation: The "index+" products have achieved stable excess returns and ranked among the top in the market[3][13] Model Backtesting Results 1. Xinda Multi-Factor CSI 500, Excess Return: 1.66%, Excess Volatility: 4.65%, Excess Sharpe: 4.64, Annualized Excess: 8.71%, Excess Sharpe Rank: 4/63[14] 2. Xinda Star Selection CSI 1000, Excess Return: 0.36%, Excess Volatility: 5.91%, Excess Sharpe: 0.51, Annualized Excess: 13.61%, Excess Sharpe Rank: 18/39[14] 3. Xinda Core Selection CSI 300, Excess Return: 1.49%, Excess Volatility: 3.70%, Excess Sharpe: 2.47, Annualized Excess: 4.95%, Excess Sharpe Rank: 14/58[14] 4. Xinda Star Yuxuan CSI 2000, Excess Return: 0.37%, Excess Volatility: 8.80%, Excess Sharpe: 0.42, Annualized Excess: 15.68%[14] 5. Xinda Star Liang CSI 2000, Excess Return: -2.47%, Excess Volatility: 11.34%, Annualized Excess: 14.80%[14] 6. Xinda Sci-Tech Innovation 50, Excess Return: 2.80%, Excess Volatility: 5.39%, Excess Sharpe: 3.56, Annualized Excess: 16.44%[14] 7. Xinda Dividend Selection CSI Dividend, Excess Return: 0.09%, Excess Volatility: 2.44%, Excess Sharpe: 0.19, Annualized Excess: 4.88%[14] 8. Xinda State-Owned Enterprise Selection CSI SOE, Excess Return: 0.60%, Excess Volatility: 3.15%, Excess Sharpe: 1.14, Annualized Excess: 10.82%[14] 9. Xinda Ningjun Selection Mixed Fund Index, Excess Return: -3.87%, Excess Volatility: 5.63%, Annualized Excess: 0.36%[14]