公募基金量化遴选类策略指数跟踪周报（2025.08.24）：市场情绪持续升温，策略指数再创新高-20250826

Report Industry Investment Rating No information provided. Core Viewpoints of the Report - The A-share equity market showed strong performance throughout the week, with the Shanghai Composite Index rising 3.49%. The market sentiment remained high, and the fund strategy index of domestic equities also recorded varying degrees of gains. The stock fund enhancement strategy is recommended, followed by overseas equity strategy, and then the evergreen low-volatility strategy [2][3]. - The A-share market is expected to maintain an upward trend. The stock fund enhancement portfolio has more room for growth, while the evergreen low-volatility strategy can be used as a bottom position. The defensive sectors such as banks have increased in cost-effectiveness after adjustment [3]. - The US stock market has been rising due to factors such as the easing of tariff expectations, trade agreements, strong earnings reports of some technology companies, and increasing expectations of interest rate cuts. Although it showed high-level fluctuations in August, it is expected to regain upward momentum in September, and the long-term upward trend is still optimistic [4]. Summary by Relevant Catalogs 1. Tool - based Fund Portfolio Performance Tracking - Evergreen Low - Volatility Fund Portfolio: It has maintained low - volatility characteristics, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Stock Fund Index. Since the strategy started on July 31, 2023, it has continued its low - volatility and small - drawdown attributes, with significant excess returns. It combines offensive capabilities while maintaining a defensive nature [13][15]. - Stock Fund Enhancement Fund Portfolio: The strategy has been running for a relatively short time, and its performance is close to the CSI Active Stock Fund Index. It is expected to have stronger elasticity when the market environment improves. It maintains a similar trend to the benchmark in a weak market environment [13][17]. - Cash Enhancement Fund Portfolio: After double screening of risk elimination and scoring optimization, it continuously outperforms the benchmark. Since the strategy started in late July 2023, the excess return has been continuously accumulated, with a cumulative excess return of more than 0.41% [13][18]. - Overseas Equity Allocation Fund Portfolio: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the boost of artificial intelligence on global technology stocks, it has accumulated a high level of excess returns. Global allocation can increase the return of the equity investment portfolio [13][22]. 2. Tool - based Fund Portfolio Construction Ideas - Evergreen Low - Volatility Fund Portfolio: It 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 the two dimensions of net value performance and holding characteristics [24][27]. - Stock Fund Enhancement Fund Portfolio: It aims to meet the needs of equity fund investors with different risk preferences. By analyzing the source of fund returns and splitting the industry return and stock - selection excess ability of fund allocation, it constructs a portfolio strategy based on the significant persistence of alpha returns, which shows a high winning rate in the back - testing period [25][28]. - Cash Enhancement Fund Portfolio: It constructs a money fund selection system by comprehensively considering various money fund factors, helping investors obtain higher returns and reduce return volatility risks when investing in money funds [25][29]. - Overseas Equity Allocation Fund Portfolio: Based on overseas equity market indices, it selects QDII equity funds corresponding to the indices to construct an overseas market selection portfolio through long - term momentum and short - term reversal factors, providing an auxiliary tool for investors to expand global investment [26][30].