基金风格配置监控周报：权益基金本周上调小盘股票仓位-20250427

Quantitative Models and Construction Methods Model Name: Fund Position Estimation Model - Model Construction Idea: The model aims to estimate the fund positions by simulating the complete stock holdings of public funds based on disclosed top 10 heavy stocks and industry allocation information[8][9][10]. - Model Construction Process: - Step 1: Obtain the top 10 heavy stocks from the quarterly fund report and the top 10 shareholders from the listed company quarterly report[8][9]. - Step 2: Use the industry allocation information from the fund quarterly report and the complete stock holdings from the latest semi-annual and annual reports to simulate the non-heavy stock holdings[10]. - Step 3: Assume the types of non-heavy stocks remain unchanged across periods, and adjust the weights proportionally based on the previous period's non-heavy stock holdings to simulate the current period's non-heavy stock holdings[10]. - Step 4: Combine the simulated non-heavy stock holdings with the disclosed heavy stock holdings to estimate the complete stock holdings of the fund[8][10]. - Step 5: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - Step 6: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - Model Evaluation: The model provides a detailed and timely estimation of fund positions, allowing for daily monitoring and analysis of fund style changes[12]. Model Backtesting Results - Fund Position Estimation Model: - Ordinary Stock Fund: Median position 89.38%, increased by 0.06% compared to last week[15]. - Partial Equity Hybrid Fund: Median position 87.57%, decreased by 0.29% compared to last week[15]. - Large-cap Combination: Ordinary stock fund position decreased by 0.86%, partial equity hybrid fund position decreased by 1.40%[15]. - Small-cap Combination: Ordinary stock fund position increased by 0.92%, partial equity hybrid fund position increased by 1.12%[15]. - Position Percentile: Ordinary stock fund at 68.67%, partial equity hybrid fund at 81.54% since 2016[15]. Quantitative Factors and Construction Methods Factor Name: Fund Style Monitoring Factor - Factor Construction Idea: The factor aims to monitor the style changes of public funds by estimating their positions in large-cap and small-cap combinations[12]. - Factor Construction Process: - Step 1: Obtain the simulated complete stock holdings of public funds based on the fund position estimation model[12]. - Step 2: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - Step 3: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - Factor Evaluation: The factor provides a comprehensive and timely monitoring of fund style changes, allowing for detailed analysis of fund behavior[12]. Factor Backtesting Results - Fund Style Monitoring Factor: - Ordinary Stock Fund: Stock position 89.4%, small-cap position 48.0%, large-cap position 41.4%[14]. - Partial Equity Hybrid Fund: Stock position 87.6%, small-cap position 53.4%, large-cap position 34.2%[14].