公募基金量化遴选类策略指数跟踪周报（2025.04.20）：低波策略持续录得超额，波动行情下优势尽显-20250422

Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - A-shares rebounded after the tariff shock, but the continued rebound momentum weakened this week. The CSI All-Share Index rose slightly by 0.3%, while the CSI Active Equity Fund Index, representing fund performance, declined slightly by 0.23%. The Evergreen Low-Volatility Strategy continued to benefit from the volatile market, rising 0.87% this week and recording an excess return of 1.1% [3]. - The quantitative strategy allocation preference is: Evergreen Low-Volatility Strategy > Overseas Equity Strategy > Equity Fund Enhancement Strategy. The Evergreen Low-Volatility Strategy in A-shares is expected to have higher cost-effectiveness and is suitable for a defensive and offensive strategy. Overseas, the US stock market may be near a short-term bottom, and investors with low overseas positions can consider appropriate layout. In the long term, the US stock market is still optimistic [4]. - Among equity fund strategies, the Evergreen Low-Volatility Fund Strategy rose by 0.873% and recorded an excess return of 1.103%. The Equity Fund Enhancement Fund Strategy also rose, with a return of 0.345% and an excess return of 0.575%. The Cash Enhancement Fund Strategy achieved a return of 0.031%, better than the benchmark. The Overseas Equity Allocation Fund Strategy rebounded, recording a return of 3.463%. Global investment still has strong diversification value [5][6]. Summary by Directory 1. Toolized Fund Portfolio Performance Tracking - 1.1 Evergreen Low-Volatility Fund Portfolio: It has maintained low volatility characteristics for a long time, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Equity Fund Index. Since the strategy started on July 31, 2023, it has achieved significant excess returns, demonstrating both defensive and offensive capabilities [14]. - 1.2 Equity Fund Enhancement Fund Portfolio: The strategy has been running for a short time, and its performance is similar to the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves and can maintain a similar trend to the benchmark in a weak market [17]. - 1.3 Cash Enhancement Fund Portfolio: After double screening of risk elimination and scoring optimization, it has continuously outperformed the benchmark. Since the strategy started at the end of July 2023, the cumulative excess return has exceeded 0.29%, providing a reference for investors in cash management [18]. - 1.4 Overseas Equity Allocation Fund Portfolio: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the drive of artificial intelligence on global technology stocks, it has accumulated a high level of excess returns. Global allocation can enhance the returns of equity portfolios [21]. 2. Toolized Fund Portfolio Construction Ideas - 2.1 Evergreen Low-Volatility Fund Portfolio: The strategy aims to select funds with long-term stable returns from high-equity-position actively managed funds. By adding restrictions on fund valuation levels, it constructs an actively managed equity fund portfolio with low volatility characteristics from both the net value performance and position characteristics dimensions [26]. - 2.2 Equity Fund Enhancement Fund Portfolio: The strategy aims to further meet the needs of equity fund investors with different risk preferences. It constructs a portfolio with a higher risk - volatility level and offensive capabilities by digging into fund managers with stronger Alpha - mining capabilities in actively managed equity funds [27]. - 2.3 Cash Enhancement Fund Portfolio: Based on multi - dimensional characteristic factors of money market funds, it constructs a money market fund screening system to help investors optimize the returns of short - term idle funds and reduce return volatility risks [23][28]. - 2.4 Overseas Equity Allocation Fund Portfolio: Based on overseas equity market indices, it constructs an overseas equity allocation fund portfolio by using long - term momentum and short - term reversal factors to select appropriate QDII funds, providing an auxiliary tool for investors to expand global investment [25][29].