主动量化策略周报：股票涨基金跌，成长稳健组合年内满仓上涨 62.19%-20251011

Quantitative Models and Construction Methods - Model Name: Excellent Fund Performance Enhancement Portfolio Construction Idea: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund holdings for optimal selection [4][48][49] Construction Process: 1. Benchmark against active equity fund median returns, represented by the biased equity hybrid fund index (885001.WI) [18][48] 2. Select funds based on performance layering, neutralizing return-related factors to mitigate style concentration risks [48] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles compared to selected fund holdings [49] Evaluation: Demonstrates stability and ability to outperform active equity fund medians [49] - Model Name: Outperformance Selection Portfolio Construction Idea: Focus on stocks with significant earnings surprises, combining fundamental and technical analysis for selection [5][54] Construction Process: 1. Identify stocks with earnings surprises based on research titles and analysts' profit revisions [5][54] 2. Conduct dual-layer screening on fundamental and technical dimensions to select stocks with both fundamental support and technical resonance [5][54] Evaluation: Consistently ranks in the top 30% of active equity funds annually [55] - Model Name: Brokerage Golden Stock Performance Enhancement Portfolio Construction Idea: Use brokerage golden stock pools as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations [6][59] Construction Process: 1. Benchmark against active equity fund medians, represented by the biased equity hybrid fund index [33][59] 2. Optimize the portfolio to control deviations in individual stocks, industries, and styles compared to the brokerage golden stock pool [6][59] Evaluation: Stable performance, consistently ranking in the top 30% of active equity funds annually [60] - Model Name: Growth and Stability Portfolio Construction Idea: Focus on the time-series release intensity of excess returns for growth stocks, constructing a two-dimensional evaluation system [7][64] Construction Process: 1. Use "excess return release maps" to identify the strongest release periods of excess returns around positive events [64] 2. Prioritize stocks closer to financial report disclosure dates, and apply multi-factor scoring to select high-quality stocks when sample size is large [7][64] 3. Introduce mechanisms like weak balance, transition, buffer, and risk avoidance to reduce turnover and mitigate risks [64] Evaluation: High efficiency in capturing excess returns during optimal periods, consistently ranking in the top 30% of active equity funds annually [64][65] --- Model Backtesting Results - Excellent Fund Performance Enhancement Portfolio: - Annualized return (2012.1.4-2025.6.30): 20.31% - Annualized excess return vs. biased equity hybrid fund index: 11.83% - Most years ranked in the top 30% of active equity funds [50][53] - Outperformance Selection Portfolio: - Annualized return (2010.1.4-2025.6.30): 30.55% - Annualized excess return vs. biased equity hybrid fund index: 24.68% - Most years ranked in the top 30% of active equity funds [55][57] - Brokerage Golden Stock Performance Enhancement Portfolio: - Annualized return (2018.1.2-2025.6.30): 19.34% - Annualized excess return vs. biased equity hybrid fund index: 14.38% - Most years ranked in the top 30% of active equity funds [60][63] - Growth and Stability Portfolio: - Annualized return (2012.1.4-2025.6.30): 35.51% - Annualized excess return vs. biased equity hybrid fund index: 26.88% - Most years ranked in the top 30% of active equity funds [65][68] --- Portfolio Weekly and Yearly Performance - Excellent Fund Performance Enhancement Portfolio: - Weekly absolute return: -0.98% - Weekly excess return vs. biased equity hybrid fund index: 0.54% - Yearly absolute return: 29.30% - Yearly excess return vs. biased equity hybrid fund index: -4.01% - Yearly ranking: 54.63% percentile (1895/3469) [2][24][17] - Outperformance Selection Portfolio: - Weekly absolute return: 0.22% - Weekly excess return vs. biased equity hybrid fund index: 1.74% - Yearly absolute return: 47.41% - Yearly excess return vs. biased equity hybrid fund index: 14.10% - Yearly ranking: 21.71% percentile (753/3469) [2][32][17] - Brokerage Golden Stock Performance Enhancement Portfolio: - Weekly absolute return: -1.51% - Weekly excess return vs. biased equity hybrid fund index: 0.01% - Yearly absolute return: 34.07% - Yearly excess return vs. biased equity hybrid fund index: 0.76% - Yearly ranking: 44.42% percentile (1541/3469) [2][39][17] - Growth and Stability Portfolio: - Weekly absolute return: -0.08% - Weekly excess return vs. biased equity hybrid fund index: 1.44% - Yearly absolute return: 54.84% - Yearly excess return vs. biased equity hybrid fund index: 21.53% - Yearly ranking: 13.00% percentile (451/3469) [3][43][17]