公募基金量化遴选类策略指数跟踪周报（2025.04.06）：“对等关税”引全球巨震，常青低波策略续获超额-20250408

Report Industry Investment Rating No information provided. Core Viewpoints of the Report - The "reciprocal tariff" announced by Trump this week led to significant fluctuations in the global market, with the A-share market also declining. The Evergreen Low-Volatility Strategy continued to accumulate excess returns, and the defensive view in the strategy was verified [2]. - The recommended order of quantitative strategy allocation is Evergreen Low-Volatility Strategy > Overseas Equity Strategy > Equity Fund Enhancement Strategy. For A-shares, a neutral and cautious attitude is maintained in the short and medium term, and a defensive allocation is recommended. For overseas markets, investors with low overseas positions can appropriately deploy at the bottom, and the long - term upward trend of US stocks is still optimistic [3]. - The Evergreen Low-Volatility Fund Strategy had a small correction this week, with a return of -0.626%, showing low - volatility defensive attributes and still being worthy of allocation. The Equity Fund Enhancement Strategy closed down this week, with a return of -1.215%, and its excess performance needs to wait [4]. - The Cash Enhancement Fund Strategy achieved a return of 0.027% this week, outperforming the benchmark. The Overseas Equity Allocation Fund Strategy closed down this week, with a return of -1.537%. In the long - term, the globalization investment still has strong diversification allocation value [5]. Summary by Relevant Catalogs 1. Tool - based Fund Portfolio Construction Ideas - For active equity funds, a low - volatility fund portfolio strategy is constructed to meet the defensive needs of investors in high - risk markets and the needs of investors with moderate risk preferences. An equity fund portfolio strategy with similar risk - volatility characteristics to the benchmark index is constructed to provide a more offensive choice for investors with high risk preferences [11]. - For money funds, a money fund screening system is built to help investors optimize short - term idle funds. For QDII funds, an overseas market selected portfolio is constructed to meet the needs of global asset allocation [12]. 1.1. Evergreen Low - Volatility Fund Portfolio - The strategy aims to select funds with long - term stable returns in high - equity - position actively managed funds. By considering the maximum drawdown, volatility, and valuation of funds, a low - volatility active equity fund portfolio is constructed [13]. 1.2. Equity Fund Enhancement Portfolio - The strategy aims to meet the needs of equity fund investors with different risk preferences. By analyzing the source of fund returns and constructing a portfolio based on the continuity of Alpha returns, it provides an offensive choice for high - risk - preference investors [14]. 1.3. Cash Enhancement Fund Portfolio - A money fund screening system is constructed by considering multiple factors such as management fees, duration, and institutional holding ratio, to help investors optimize short - term idle funds [15]. 1.4. Overseas Equity Allocation Portfolio - Based on long - and short - term technical indicators, an overseas market selected portfolio is constructed by screening equity indices of multiple countries or regions, meeting the needs of investors for global asset allocation [12]. 2. Tool - based Fund Portfolio Performance Tracking | Strategy | This Week Return | Last Month Return | YTD Return | Return Since Strategy Inception | | --- | --- | --- | --- | --- | | Evergreen Low - Volatility Fund Strategy | -0.626% | 1.388% | 0.718% | 8.582% | | Equity Fund Enhancement Strategy | -1.215% | 1.027% | 1.668% | 9.332% | | Cash Enhancement Fund Strategy | 0.027% | 0.141% | 0.433% | 3.320% | | Overseas Equity Allocation Fund Strategy | -1.537% | -2.786% | -1.097% | 23.104% | [17] 2.1. Evergreen Low - Volatility Fund Portfolio - The portfolio has long - term low - volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Equity Fund Index. It has achieved significant excess returns and has both defensive and offensive capabilities [19][20]. 2.2. Equity Fund Enhancement Portfolio - Since the strategy has been running for a short time, its performance is close to the CSI Active Equity Fund Index. It is expected to have stronger elasticity when the market environment improves [22]. 2.3. Cash Enhancement Fund Portfolio - After double screening of risk elimination and scoring, the portfolio has continuously outperformed the benchmark, and the cumulative excess return since July 2023 has exceeded 0.29% [26]. 2.4. Overseas Equity Allocation Portfolio - Since July 31, 2023, the portfolio has accumulated high - level excess returns, and global allocation can increase the return of the equity investment portfolio [27].