基金风格配置监控周报：权益基金连续两周上调大盘股票仓位-20250602

Quantitative Models and Construction Methods - Model Name: Fund Position Estimation Model Model Construction Idea: The model aims to estimate the complete stock holdings of public funds based on disclosed top 10 heavy holdings and industry allocation information, addressing the time lag in fund reports[2][8][9] Model Construction Process: 1. Use quarterly fund reports to obtain the top 10 heavy holdings and industry allocation data[9] 2. Combine this with the top 10 shareholders' information from listed companies[8] 3. Assume that non-heavy holdings remain unchanged in terms of stock types across two periods, with only proportional weight adjustments[10] 4. Scale the weights of non-heavy holdings from the previous period (T-1) to simulate the current period (T) non-heavy holdings[10] Model Evaluation: The model provides a practical approach to estimate fund positions with limited disclosed data, though it relies on assumptions about non-heavy holdings' stability[8][10] - Model Name: Fund Style Monitoring Model Model Construction Idea: This model monitors the daily style exposure of public funds by decomposing their stock holdings into large-cap and small-cap components[3][11] Model Construction Process: 1. Use simulated fund holdings to estimate stock positions[11] 2. Decompose stock holdings into large-cap and small-cap components[3] 3. Apply weighted least squares regression using fund daily returns and large-cap/small-cap index daily returns to estimate fund allocations to large-cap and small-cap portfolios[11] 4. Monitor fund positions daily and analyze style changes across dimensions such as size exposure and industry allocation[3][11] Model Evaluation: The model effectively captures dynamic changes in fund styles, providing insights into size and industry exposures[3][11] Model Backtesting Results - Fund Position Estimation Model: - Median stock position for equity funds: 87.39% as of 2025-05-30, up 0.10% from two weeks prior[4][16] - Median stock position for hybrid funds: 83.76% as of 2025-05-30, down 0.18% from two weeks prior[4][16] - Large-cap allocation changes: +2.48% for equity funds, +1.34% for hybrid funds[4][16] - Small-cap allocation changes: -2.37% for equity funds, -1.52% for hybrid funds[4][16] - Fund Style Monitoring Model: - Equity funds' large-cap allocation: 44.2%, small-cap allocation: 43.2% as of 2025-05-30[15] - Hybrid funds' large-cap allocation: 36.8%, small-cap allocation: 47.0% as of 2025-05-30[15] - Current position percentiles (2016 onwards): 34.43% for equity funds, 35.04% for hybrid funds[16] Quantitative Factors and Construction Methods - Factor Name: Size Allocation Factor Factor Construction Idea: This factor quantifies the allocation of fund holdings to large-cap and small-cap stocks[3][11] Factor Construction Process: 1. Decompose fund holdings into large-cap and small-cap components based on simulated positions[11] 2. Use weighted least squares regression to estimate allocation weights for large-cap and small-cap portfolios[11] Factor Evaluation: The factor provides a clear measure of size exposure, aiding in understanding fund style dynamics[3][11] - Factor Name: Industry Allocation Factor Factor Construction Idea: This factor measures the weight of fund holdings in different industries based on simulated positions[3][24] Factor Construction Process: 1. Classify stocks into industries using the CITIC Level-1 industry classification[24] 2. Calculate the weight of each industry in the fund's simulated holdings[24] Factor Evaluation: The factor effectively captures industry preferences and shifts in fund allocations[24] Factor Backtesting Results - Size Allocation Factor: - Equity funds: Large-cap 44.2%, Small-cap 43.2% as of 2025-05-30[15] - Hybrid funds: Large-cap 36.8%, Small-cap 47.0% as of 2025-05-30[15] - Industry Allocation Factor: - Top industries for equity funds: Electronics (14.32%), Medicine (10.99%), Electrical Equipment (9.29%), Machinery (6.51%), Food & Beverage (8.46%)[20] - Top industries for hybrid funds: Electronics (16.46%), Medicine (9.29%), Electrical Equipment (8.36%), Machinery (8.00%), Food & Beverage (6.10%)[20]