国联量化团队：传统量化与AI投资并行，力争实现可持续的超额收益

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The Guolian Quantitative Team aims to achieve sustainable excess returns by combining traditional quantitative strategies with AI investment strategies. The team's investment framework uses two parallel main lines to draw on the unique advantages of both strategies, enhancing adaptability and sustainability in volatile market environments [1]. - The Guolian CSI 300 Index Enhancement and Guolian CSI 500 Index Enhancement have performed well among similar products in 2025, with high return - risk ratios and relatively low tracking errors. The Guolian High - Dividend Select Fund has significantly outperformed its benchmark since fund manager Wang Zhe participated in its management [1]. Summary According to the Directory 1. Guolian Quantitative Team - Combining Traditional Quantitative and AI Investment for Sustainable Excess Returns 1.1 Team Situation - The Guolian Quantitative Team manages multiple types of public funds, covering various sectors such as index and ETF, index enhancement, active quantitative (hedging and Smart Beta), FOF, and fixed - income plus. The team consists of over a dozen members, with about 5 in the high - frequency index enhancement group [6]. 1.2 Investment Framework - The team's core goal is to achieve sustainable excess returns. It has developed a non - linear framework based on "high - frequency index enhancement + deep learning" to obtain stable Alpha while controlling tracking errors and style exposure [7]. - The investment framework has two parallel main lines: traditional quantitative strategies, which use interpretable fundamental and price - volume factors and linear combinations to predict returns; and AI investment strategies, which use higher - frequency and more primitive data sources, emphasizing information increment and low correlation with existing features [9]. - In strategy implementation, the team follows a closed - loop approach of "data primitivization - model de - correlation - risk localization - execution automation" [12]. 2. Performance Analysis of Active Products under the Guolian Quantitative Team 2.1 Index Enhancement Products - The Guolian CSI 300 Index Enhancement has achieved a return of 14.51% since 2025 (as of August 20, 2025), with an annualized tracking error of 3.97%. Its annualized Sharpe ratio is 1.61, ranking first among all CSI 300 index enhancement products [20]. - The Guolian CSI 500 Index Enhancement has a return of 22.38% since 2025, with an annualized tracking error of 3.58%. Its annualized Sharpe and Calmar ratios are 1.87 and 3.17 respectively, ranking in the top 15% and 12% among similar products [25]. - Both products have a monthly win - rate of 62.5% in 2025, which is quite good considering the market environment [31]. 2.2 Active Quantitative Products - The Guolian High - Dividend Select Fund has significantly outperformed its benchmark since Wang Zhe participated in its management. The interval return is 11.76%, while the benchmark has only increased by 1.39%. The relative return is relatively stable, with a maximum drawdown of only 3.32% [32]. 3. Investment Style Analysis of Representative Products of the Guolian Quantitative Team 3.1 Guolian CSI 500 Index Enhancement - The product has a relatively dispersed stock position, with small weights for heavy - position stocks and obvious changes in heavy - position stocks over different periods [36]. - There is no significant deviation in market value and industry. The product does not rely on deviation to obtain excess returns, and its industry deviation from the CSI 500 index is controllable [39][44]. - Trading is the main source of excess returns. The product has significant return contributions from trading, while the contribution from stock - selection is relatively small [49]. 3.2 Guolian High - Dividend Select Fund - The product adheres to the high - dividend strategy, with most of its positions in high - dividend assets. The absolute return mainly comes from the financial real - estate and cyclical sectors, which is consistent with the product's positioning [59][71]. - Both stock - selection and trading can generate excess returns. The product can form a complementary relationship between the two sources of returns, providing stable performance [63].