金融工程2025年中期策略会：公募新规下如何稳定战胜沪深300

Core Insights - The report emphasizes the importance of constructing portfolios that can outperform the CSI 300 index through three distinct methods, all of which have shown positive excess returns relative to the index [3][4][27]. Group 1: CSI 300 Index Characteristics - The CSI 300 index is characterized by large-cap stocks with high profitability, exhibiting a balanced exposure in terms of valuation and growth [2][16]. Group 2: Portfolio Construction Methods - Three methods for constructing portfolios that aim to outperform the CSI 300 index are proposed: 1. Style-balanced portfolios that combine value and growth stocks. 2. Strategy-balanced portfolios that consider both valuation and fundamentals during the construction process. 3. Incorporating risk control modules to limit deviations from the benchmark [6][20][30]. Group 3: Performance Analysis - The style-balanced portfolio has achieved an annualized excess return of 13.1% with an information ratio of 1.23, demonstrating consistent performance across various years since 2016 [27][31]. - The addition of a satellite small-cap strategy to the core style-balanced portfolio has further enhanced excess returns and information ratios [32][31]. Group 4: Risk Control and Constraints - Implementing risk control measures, such as constraints on style, industry, and individual stock deviations, has been shown to reduce return volatility while maintaining competitive excess returns [42][43].