主动量化策略周报：大盘成长领跑，成长稳健组合年内满仓上涨58.26%-20250920

Quantitative Models and Construction Methods Excellent Fund Performance Enhancement Portfolio - Model Name: Excellent Fund Performance Enhancement Portfolio - Model Construction Idea: The model aims to benchmark against active equity funds instead of broad-based indices, leveraging quantitative methods to enhance the selection of top-performing funds[4][19][50] - Model Construction Process: - Benchmark against active equity funds' median returns, using the equity hybrid fund index (885001.WI) as a proxy - Utilize quantitative methods to enhance the selection based on the holdings of top-performing funds - Consider fund performance factors and neutralize them to avoid style concentration issues - Optimize the portfolio to control deviations in individual stocks, industry, and style from the selected fund holdings[4][19][50] - Model Evaluation: The model shows good stability and can consistently outperform the median of active equity funds[50] - Model Testing Results: - Annualized return of 20.31% from 2012.1.4 to 2025.6.30, with an annualized excess return of 11.83% compared to the equity hybrid fund index[51][54] Exceeding Expectations Selection Portfolio - Model Name: Exceeding Expectations Selection Portfolio - Model Construction Idea: The model focuses on stocks with significant positive earnings surprises, selecting those with both fundamental support and technical resonance[5][24][55] - Model Construction Process: - Screen stocks based on research report titles indicating earnings surprises and analysts' upward revisions of net profit - Perform dual-layer selection on the stock pool based on fundamental and technical aspects - Construct a portfolio of stocks that meet both fundamental and technical criteria[5][24][55] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[55] - Model Testing Results: - Annualized return of 30.55% from 2010.1.4 to 2025.6.30, with an annualized excess return of 24.68% compared to the equity hybrid fund index[56][58] Broker Golden Stock Performance Enhancement Portfolio - Model Name: Broker Golden Stock Performance Enhancement Portfolio - Model Construction Idea: The model leverages the stock pool of broker golden stocks, optimizing the portfolio to control deviations from the stock pool in terms of individual stocks, industry, and style[6][32][60] - Model Construction Process: - Use the broker golden stock pool as the selection space and constraint benchmark - Optimize the portfolio to control deviations from the broker golden stock pool in terms of individual stocks, industry, and style[6][32][60] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[60] - Model Testing Results: - Annualized return of 19.34% from 2018.1.2 to 2025.6.30, with an annualized excess return of 14.38% compared to the equity hybrid fund index[61][64] Growth and Stability Portfolio - Model Name: Growth and Stability Portfolio - Model Construction Idea: The model adopts a "time-series first, cross-sectional later" approach to construct a two-dimensional evaluation system for growth stocks, focusing on the period before the official financial report release[7][38][65] - Model Construction Process: - Screen growth stocks based on research report titles indicating earnings surprises and significant earnings growth - Prioritize stocks closer to the financial report release date, and use multi-factor scoring to select high-quality stocks when the sample size is large - Introduce mechanisms to reduce portfolio turnover and avoid risks, such as weak balance, transition, buffer, and risk avoidance mechanisms[7][38][65] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[65] - Model Testing Results: - Annualized return of 35.51% from 2012.1.4 to 2025.6.30, with an annualized excess return of 26.88% compared to the equity hybrid fund index[66][69] Model Backtesting Results - Excellent Fund Performance Enhancement Portfolio: - Absolute return this week: -0.28%, annual absolute return: 27.54%, annual excess return: -3.91%[2][23] - Exceeding Expectations Selection Portfolio: - Absolute return this week: 1.29%, annual absolute return: 45.51%, annual excess return: 14.06%[2][31] - Broker Golden Stock Performance Enhancement Portfolio: - Absolute return this week: 0.39%, annual absolute return: 33.97%, annual excess return: 2.52%[2][37] - Growth and Stability Portfolio: - Absolute return this week: -1.23%, annual absolute return: 51.45%, annual excess return: 20.00%[3][44]