策略化选股月报：成长因子占优，科创板组合、情绪价量策略单月收益近20%-20250905

Market Overview - In August, the overall A-share market experienced an increase, with the CSI 300 index rising by 10.33%, the CSI 1000 index by 11.67%, the CSI 500 index by 13.13%, and the ChiNext index by 24.13% [16][17] - The top three performing sectors were communication, electronics, and non-ferrous metals, while the banking sector saw a decline [16] Multi-Strategy Stock Selection - The multi-strategy stock selection strategy achieved an absolute return of 13.14% in August, with an excess return of 2.17% relative to the CSI All Share Index [20][33] - The strategy's weight allocation for September shows the highest allocation to growth stocks at approximately 31.11%, while the lowest allocation is to value stocks at about 15.16% [3][22] - The strategy includes four sub-strategies: value stock strategy, growth stock strategy, quality stock strategy, and liquidation stock strategy, with adjustments based on risk parity and momentum optimization [22][38] Extreme Style High BETA Stock Selection - The extreme style high BETA stock selection strategy recorded an absolute return of 3.05% in August, with a relative excess return of -6.94% compared to the CSI All Share Index [5][21] - The weight allocation for September indicates the highest allocation to large-cap value stocks at approximately 64.58%, while the lowest allocation is to small-cap value stocks at about 35.42% [5][53] - The strategy's recommended portfolio includes 70 stocks, with a concentration in the banking sector, and an average market capitalization of 1471.25 billion [56] "Dividend +" Preferred Stock Strategy - The "Dividend +" preferred stock strategy achieved an absolute return of 3.74% in August, with an excess return of -6.33% relative to the CSI All Share Index [6][21] - The strategy's portfolio consists of 30 selected stocks, with an average market capitalization of 1261.08 billion, primarily concentrated in the banking and utilities sectors, accounting for 50% of the total weight [6] Moving Average Trend Strategy - The moving average trend strategy recorded an absolute return of 5.07% in August, with a relative excess return of 0.71% compared to the CSI All Share Index [7][21] - The strategy's portfolio includes 34 stocks, mainly in the non-ferrous metals and petroleum sectors, with a weight distribution of 40.15% [7] Sentiment Price-Volume Strategy - The sentiment price-volume strategy's top 50 portfolio achieved an absolute return of 19.76% in August, with an excess return of 8.14% relative to the CSI All Share Index [7][21] - The strategy's portfolio consists of 50 stocks, primarily in the electronics, machinery, and automotive sectors, with a weight of 58% [7] Sci-Tech Innovation Board Strategy - The Sci-Tech Innovation Board strategy achieved an absolute return of 18.41% in August, with a relative excess return of -7% compared to the CSI All Share Index [8][21] - The strategy's portfolio includes 30 stocks, predominantly in the electronics sector, with a weight of 90.24% [8]