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

Core Insights - The report highlights the performance of various quantitative investment strategies, with a focus on the "Excellent Fund Performance Enhancement Portfolio," "Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [12][13][18][39]. Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of actively managed equity funds, achieving an absolute return of 28.00% year-to-date, ranking in the 54.37th percentile among 3,469 active equity funds [23][51]. - The portfolio's performance for the week was an absolute return of 0.35%, with a relative underperformance of -0.12% compared to the mixed equity fund index [23][17]. Expected Selection Portfolio - The Expected Selection Portfolio focuses on stocks that have exceeded profit expectations, achieving a year-to-date absolute return of 46.54%, ranking in the 20.61st percentile among active equity funds [31][24]. - For the week, this portfolio recorded an absolute return of 0.70%, with a relative outperformance of 0.23% against the mixed equity fund index [31][29]. Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using stocks from the brokerage golden stock pool, achieving a year-to-date absolute return of 33.26%, ranking in the 43.07th percentile among active equity funds [38][32]. - The weekly performance showed an absolute return of -0.54%, with a relative underperformance of -1.01% compared to the mixed equity fund index [38][11]. Growth Stability Portfolio - The Growth Stability Portfolio aims to capture excess returns from growth stocks, achieving a year-to-date absolute return of 51.84%, ranking in the 15.31st percentile among active equity funds [46][39]. - For the week, this portfolio had an absolute return of 0.26%, with a relative underperformance of -0.22% against the mixed equity fund index [46][17]. Market Overview - The report indicates that the median stock return for the week was -1.74%, with 31% of stocks rising and 69% falling, while the median return for active equity funds was 0.51%, with 60% of funds rising and 40% falling [50][47]. - Year-to-date, the median stock return was 20.22%, with 81% of stocks rising and 19% falling, while the median return for active equity funds was 30.56%, with 98% of funds rising and 2% falling [50][47].