公募基金量化遴选类策略指数跟踪周报（2025.10.26）：风险因素缓解，海内外市场保持震荡上行趋势-20251028

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The disturbing factors in the market have eased this week, and the market has recovered its previous decline. Driven by the communiqué of the Fourth Plenary Session of the Twentieth Central Committee, market confidence in industries and technology has increased. The Shanghai Composite Index has reached above 3950 points. The Evergreen Low-Volatility Strategy Index and the Stock Fund Enhancement Strategy Index recorded returns of 2.256% and 2.441% respectively [3]. - In terms of A-share equity fund strategies, the more elastic stock fund enhancement portfolio still has relatively more room at the current time. The Evergreen Low-Volatility Strategy can be used as a base configuration to optimize the portfolio's volatility characteristics. After the adjustment of defensive sectors such as banks, their cost-effectiveness has increased, and their long-term allocation value has improved [4]. - Overseas, with most of the disturbances caused by previous tariffs having eased, the market's sensitivity to relevant risks has decreased. In the short term, there are risks such as the US government shutdown and renewed tariff concerns, but also strong positive factors such as AI capital expenditure. The US stock market shows a high-level volatile pattern. In the long term, the driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [5]. Summary by Relevant Catalogs 1. Toolized Fund Portfolio Performance Tracking - Evergreen Low-Volatility Fund Portfolio: It has maintained low volatility characteristics for a long time. Since the strategy started on July 31, 2023, it has continued its low volatility and small drawdown attributes. In the volatile market in early 2024, it maintained a low drawdown level and achieved significant excess returns. In the subsequent rebound, it also maintained a good increase [14]. - Stock Fund Enhancement Fund Portfolio: The strategy has been running for a relatively short time. Its performance is close to that of the CSI Active Equity Fund Index. In the current market environment, the potential of individual stocks is difficult to be fully explored. After the market environment improves, the portfolio strategy is expected to have stronger elasticity [17]. - Cash Enhancement Fund Portfolio: After double screening of risk elimination and scoring optimization, it has continuously outperformed the benchmark. Since the strategy started at the end of July 2023, the excess returns have continued to accumulate, with a cumulative excess return of more than 0.41% [18]. - Overseas Equity Allocation Fund Portfolio: Since July 31, 2023, in the context of the Fed's interest rate cut cycle and the boost of artificial intelligence technology to global technology stocks, it has accumulated a high level of excess returns. Global allocation can increase the returns of the equity investment portfolio [21]. 2. Toolized Fund Portfolio Construction Ideas - Evergreen Low-Volatility Fund Portfolio: The strategy aims to select funds with long-term stable returns from actively managed funds with high equity positions. By considering factors such as the fund's historical drawdown, volatility, and valuation level, a low-volatility active equity fund portfolio is constructed [26]. - Stock Fund Enhancement Fund Portfolio: The strategy is to dig out fund managers with stronger Alpha mining ability from actively managed equity funds. By analyzing the source of fund returns and splitting the industry allocation return and stock selection excess ability, a stock fund enhancement fund portfolio is constructed [27]. - Cash Enhancement Fund Portfolio: A money fund selection system is constructed based on multi-dimensional characteristic factors of money funds, which helps investors obtain higher returns and reduce return volatility risks when investing in money funds [28]. - Overseas Equity Allocation Fund Portfolio: Based on the equity market indices of overseas countries or regions, by using long-term momentum and short-term reversal factors, indices with good upward momentum are selected to construct an overseas equity allocation fund portfolio, which meets the needs of investors for global asset allocation [29].