主动量化策略周报：科创50领涨，超预期精选组合年内满仓上涨52.03%-20250927

Quantitative Models and Construction Methods - Model Name: Excellent Fund Performance Enhancement Portfolio Model Construction Idea: Transition from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best" [4][19][52] Model Construction Process: 1. Benchmark against the median return of active equity funds, represented by the biased equity hybrid fund index (885001.WI) [19][52] 2. Use a layered neutralization process for return-related factors to address style concentration issues [52] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings [53] Model Evaluation: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds [53] - Model Name: Outperformance Selection Portfolio Model Construction Idea: Focus on stocks with significant outperformance events, selecting those with both fundamental support and technical resonance [5][58] Model Construction Process: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [5][58] 2. Conduct dual-layer screening on fundamentals and technicals to select stocks with both fundamental support and technical resonance [5][58] Model Evaluation: Consistently ranks in the top 30% of active equity funds annually, demonstrating strong performance [59] - Model Name: Securities Firms' Golden Stock Performance Enhancement Portfolio Model Construction Idea: Optimize the securities firms' golden stock pool to achieve stable outperformance relative to the biased equity hybrid fund index [6][63] Model Construction Process: 1. Use the securities firms' golden stock pool as the stock selection space and benchmark [6][33] 2. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the golden stock pool [6][33] Model Evaluation: Consistently ranks in the top 30% of active equity funds annually, reflecting stable performance [64] - Model Name: Growth and Stability Portfolio Model Construction Idea: Focus on the "golden period" of excess returns for growth stocks, using a two-dimensional evaluation system based on time series and cross-sectional analysis [7][68] Model Construction Process: 1. Use the "excess return release map" to identify the strongest excess return periods before and after positive events [68] 2. Prioritize stocks closer to their financial report disclosure dates, and use multi-factor scoring to select high-quality stocks when the sample size is large [7][68] 3. Introduce mechanisms such as weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [68] Model Evaluation: Consistently ranks in the top 30% of active equity funds annually, with strong performance [69] --- Backtesting Results of Models - Excellent Fund Performance Enhancement Portfolio: - Annualized return: 20.31% - Excess return relative to biased equity hybrid fund index: 11.83% - Consistently ranks in the top 30% of active equity funds annually [54][57] - Outperformance Selection Portfolio: - Annualized return: 30.55% - Excess return relative to biased equity hybrid fund index: 24.68% - Consistently ranks in the top 30% of active equity funds annually [59][61] - Securities Firms' Golden Stock Performance Enhancement Portfolio: - Annualized return: 19.34% - Excess return relative to biased equity hybrid fund index: 14.38% - Consistently ranks in the top 30% of active equity funds annually [64][67] - Growth and Stability Portfolio: - Annualized return: 35.51% - Excess return relative to biased equity hybrid fund index: 26.88% - Consistently ranks in the top 30% of active equity funds annually [69][72]