量化基金周报-2025-03-17

Quantitative Models and Construction Methods - Model Name: CSI 1000 Enhanced Index Fund Model Construction Idea: This model aims to generate excess returns over the CSI 1000 Index by leveraging quantitative strategies and factor-based enhancements [3][4] Model Evaluation: The model demonstrated strong performance this week, with a median excess return of 0.31%, outperforming other enhanced index funds [3][4] - Model Name: CSI 500 Enhanced Index Fund Model Construction Idea: This model focuses on outperforming the CSI 500 Index through quantitative enhancements and systematic strategies [3][4] Model Evaluation: The model showed moderate performance this week, with a median excess return of 0.20% [3][4] - Model Name: CSI 300 Enhanced Index Fund Model Construction Idea: This model targets excess returns over the CSI 300 Index by employing quantitative techniques and factor-based strategies [3][4] Model Evaluation: The model achieved a median excess return of 0.05% this week, indicating relatively weaker performance compared to other enhanced index funds [3][4] - Model Name: Absolute Return (Hedged) Fund Model Construction Idea: This model aims to deliver absolute returns through hedging strategies and risk management techniques [8][9] Model Evaluation: The model achieved a median return of 0.03% this week, reflecting stable but modest performance [8][9] - Model Name: Active Quantitative Fund Model Construction Idea: This model employs active quantitative strategies to outperform broader market indices [8][9] Model Evaluation: The model demonstrated strong performance this week, with a median return of 1.49% [8][9] - Model Name: Multi-Factor Fund Model Construction Idea: This model integrates multiple quantitative factors to enhance portfolio returns and manage risks systematically [17][23] Model Evaluation: The model achieved a median return of 1.73% this week, showcasing robust performance among factor-based strategies [17][23] - Model Name: Big Data-Driven Active Investment Fund Model Construction Idea: This model leverages big data analytics to identify investment opportunities and optimize portfolio allocation [17][24] Model Evaluation: The model delivered a median return of 1.62% this week, reflecting strong performance driven by data-driven insights [17][24] Model Backtesting Results - CSI 1000 Enhanced Index Fund: Weekly median excess return: 0.31%, Monthly median excess return: 0.09%, Quarterly median excess return: -0.20%, Annual median excess return: -0.20% [4][5][7] - CSI 500 Enhanced Index Fund: Weekly median excess return: 0.20%, Monthly median excess return: 0.20%, Quarterly median excess return: -0.62%, Annual median excess return: -0.62% [4][5][7] - CSI 300 Enhanced Index Fund: Weekly median excess return: 0.05%, Monthly median excess return: -0.01%, Quarterly median excess return: 0.43%, Annual median excess return: 0.43% [4][5][7] - Absolute Return (Hedged) Fund: Weekly median return: 0.03%, Monthly median return: 0.34%, Quarterly median return: 0.10%, Annual median return: 0.10% [8][9] - Active Quantitative Fund: Weekly median return: 1.49%, Monthly median return: 3.59%, Quarterly median return: 6.03%, Annual median return: 6.03% [8][9] - Multi-Factor Fund: Weekly median return: 1.73%, Monthly median return: 4.40%, Quarterly median return: 8.19%, Annual median return: 8.19% [17][23] - Big Data-Driven Active Investment Fund: Weekly median return: 1.62%, Monthly median return: 4.12%, Quarterly median return: 8.40%, Annual median return: 8.40% [17][24]