主动量化策略周报：市场短期调整，成长稳健组合年内相对主动股基超额20.74%-20251018

Quantitative Models and Construction Methods 1. 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 the holdings of excellent funds and enhancing them using quantitative methods to achieve optimal selection[4][18][45] - Model Construction Process: - Benchmark against the median of active equity funds, using the active equity hybrid fund index (885001.WI) as a proxy - Consider the impact of position and transaction fees, with the portfolio position calculated based on the median position of active equity funds, which is 90% for this period[18] - Enhance the holdings of selected funds using quantitative methods to achieve optimal selection[4][18][45] - Model Evaluation: The model aims to consistently outperform the median of active equity funds by leveraging the holdings of excellent funds and enhancing them using quantitative methods[4][18][45] 2. Model Name: Exceeding Expectations Selection Portfolio - Model Construction Idea: The model selects stocks with exceeding expectations events based on research report titles and analysts' upward revisions of net profit, and then selects stocks with both fundamental support and technical resonance[5][23][51] - Model Construction Process: - Screen the exceeding expectations event stock pool based on research report titles and analysts' upward revisions of net profit - Select stocks with both fundamental support and technical resonance from the exceeding expectations stock pool to construct the exceeding expectations selection portfolio[5][23][51] - Model Evaluation: The model aims to capture significant excess returns before and after exceeding expectations events by selecting stocks with both fundamental support and technical resonance[5][23][51] 3. Model Name: Broker Golden Stock Performance Enhancement Portfolio - Model Construction Idea: The model uses the broker golden stock pool as the stock selection space and constraint benchmark, and optimizes the portfolio to control deviations in individual stocks and styles from the broker golden stock pool[6][29][56] - Model Construction Process: - Use the broker golden stock pool as the stock selection space and constraint benchmark - Optimize the portfolio to control deviations in individual stocks and styles from the broker golden stock pool[6][29][56] - Model Evaluation: The model aims to leverage the alpha potential of the broker golden stock pool and achieve stable outperformance of the active equity hybrid fund index[6][29][56] 4. Model Name: Growth and Stability Portfolio - Model Construction Idea: The model constructs a two-dimensional evaluation system for growth stocks using a "time series first, cross-section later" approach, selecting stocks based on the interval days from the scheduled disclosure date of the official financial report[7][35][61] - Model Construction Process: - Construct a growth stock pool based on research report titles and performance increases - Select stocks based on the interval days from the scheduled disclosure date of the official financial report, prioritizing stocks closer to the disclosure date - Use multi-factor scoring to select high-quality stocks when the sample size is large - Introduce weak balance mechanism, transition mechanism, buffer mechanism, and risk avoidance mechanism to reduce portfolio turnover and avoid risks[7][35][61] - Model Evaluation: The model aims to efficiently capture the excess returns of growth stocks during the golden period of excess return release by selecting stocks based on the interval days from the scheduled disclosure date of the official financial report[7][35][61] Model Backtesting Results 1. Excellent Fund Performance Enhancement Portfolio - Weekly absolute return: -3.94%[2][22] - Weekly excess return relative to active equity hybrid fund index: 0.41%[2][22] - Annual absolute return: 24.22%[2][22] - Annual excess return relative to active equity hybrid fund index: -3.30%[2][22] - Annual ranking in active equity funds: 52.75% percentile (1830/3469)[2][22] 2. Exceeding Expectations Selection Portfolio - Weekly absolute return: -6.08%[2][28] - Weekly excess return relative to active equity hybrid fund index: -1.73%[2][28] - Annual absolute return: 38.46%[2][28] - Annual excess return relative to active equity hybrid fund index: 10.94%[2][28] - Annual ranking in active equity funds: 23.23% percentile (806/3469)[2][28] 3. Broker Golden Stock Performance Enhancement Portfolio - Weekly absolute return: -5.10%[2][34] - Weekly excess return relative to active equity hybrid fund index: -0.75%[2][34] - Annual absolute return: 27.24%[2][34] - Annual excess return relative to active equity hybrid fund index: -0.27%[2][34] - Annual ranking in active equity funds: 45.06% percentile (1563/3469)[2][34] 4. Growth and Stability Portfolio - Weekly absolute return: -4.26%[3][39] - Weekly excess return relative to active equity hybrid fund index: 0.09%[3][39] - Annual absolute return: 48.25%[3][39] - Annual excess return relative to active equity hybrid fund index: 20.74%[3][39] - Annual ranking in active equity funds: 10.72% percentile (372/3469)[3][39]