公募基金量化遴选类策略指数跟踪周报（2025.09.07）：市场再度高位震荡调整，低波策略显现降波作用-20250909

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The A-share equity market approached the high point in August 2025 this week and then experienced a rapid adjustment. The Shanghai Composite Index dropped below 3750 and then rebounded. During the adjustment, the maximum drawdown of the Shanghai Composite Index was -2.83%, and the drawdown of the CSI Active Equity Fund Index was even greater, with a maximum drawdown of -4.60% this week. The Evergreen Low-Volatility Strategy maintained its stable and low-volatility characteristics, with a maximum drawdown of only -1.94%. The strategy index can effectively reduce portfolio volatility and drawdown while maintaining an upward trend, providing a better holding experience [2]. - The quantitative strategy allocation view is: Equity Fund Enhancement Strategy > Overseas Equity Strategy > Evergreen Low-Volatility Strategy. The A-share market is expected to maintain an upward trend, and the callback space is limited. The more elastic equity fund enhancement portfolio has relatively more room at the current time. The Evergreen Low-Volatility Strategy can be used as a base configuration to optimize portfolio volatility characteristics. Defensive sectors such as banks have increased in cost-effectiveness after adjustment and still have high long-term allocation value [3]. - Overseas, the US stock market has been on an upward trend. With the expected new round of interest rate cuts in September, it is expected to regain its upward trend. In the long term, the main driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [4]. 3. Summary by Directory 3.1 Quantitative Strategy Configuration Viewpoints - A-share market: The Shanghai Composite Index has been strong since June this year, breaking through multiple round-number points. Considering various factors, the market is expected to maintain an upward trend, and the callback space is limited. The equity fund enhancement portfolio has more room, and the Evergreen Low-Volatility Strategy can be used as a base configuration. Defensive sectors such as banks have high long-term allocation value [3]. - Overseas market: The US stock market has been on an upward trend. With the expected new round of interest rate cuts in September, it is expected to regain its upward trend. In the long term, the main driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [4]. 3.2 Performance of Equity Fund Strategies - Evergreen Low-Volatility Fund Strategy: This week's return was 0.141%, with an excess return of -0.219%. Since 2025, it has shown strong stability. It can be used as a base configuration to optimize portfolio volatility characteristics [5]. - Equity Fund Enhancement Strategy: This week's return was -0.922%, with an excess return of -1.282%. The strategy is expected to have stronger elasticity after the market environment improves [5]. - Cash Enhancement Fund Strategy: This week's return was 0.028%, outperforming the benchmark. Since the strategy started in July 2023, the excess return has been accumulating, providing a reference for cash management [18]. - Overseas Equity Allocation Fund Strategy: Since July 2023, it has accumulated high excess returns. Global allocation can increase the return of the equity portfolio [21]. 3.3 Toolized Fund Portfolio Performance Tracking - Evergreen Low-Volatility Fund Portfolio: It has maintained low volatility and small drawdowns since the strategy started in July 2023, with significant excess returns. It has both defensive and offensive characteristics [14]. - Equity Fund Enhancement Fund Portfolio: The strategy has been running for a short time, and its performance is similar to that of the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves [17]. - Cash Enhancement Fund Portfolio: It has continuously outperformed the benchmark since the strategy started in July 2023, with an accumulated excess return of over 0.41%, providing a reference for cash management [18]. - Overseas Equity Allocation Fund Portfolio: Since July 2023, it has accumulated high excess returns. Global allocation can increase the return of the equity portfolio [21]. 3.4 Toolized Fund Portfolio Construction Ideas - For active equity funds, a low-volatility fund portfolio strategy is constructed to meet the defensive needs of investors in a high-risk market environment and provide stable returns for investors with moderate risk preferences. A fund portfolio strategy with similar risk and volatility characteristics to the equity fund benchmark index is constructed to provide a more aggressive option for investors with high risk preferences [22]. - For money market funds, a money market fund screening system is constructed to select money market funds with better performance, helping investors optimize the return of short-term idle funds [23]. - For QDII funds, an overseas equity allocation fund portfolio is constructed by screening equity indices of multiple countries or regions based on long-term and short-term technical indicators, providing an auxiliary tool for global investment [25].