主动量化策略周报：微盘红利领航，成长稳健组合年内相对股基指数超额22.76%-20251115

Quantitative Models and Construction Methods 1. Model Name: Excellent Fund Performance Enhancement Portfolio - Model Construction Idea: Transition from benchmarking broad-based indices to benchmarking active equity funds, leveraging the holdings of excellent funds and applying quantitative methods to enhance selection, achieving "the best among the best"[4][18][51] - Model Construction Process: - Benchmark the portfolio against the median return of active equity funds, represented by the mixed equity fund index (885001.WI)[18][51] - Use a performance-layered perspective to select funds, neutralizing return factors to avoid style concentration issues[51] - Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings[52] - Incorporate transaction costs and position effects into return calculations, with the portfolio position set at 90%[18][51] - Model Evaluation: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds[52] 2. Model Name: Outperformance Stock Selection Portfolio - Model Construction Idea: Focus on stocks with significant earnings surprises, leveraging both fundamental and technical analysis to identify stocks with strong support and resonance[5][57] - Model Construction Process: - Filter stocks based on research reports with "earnings surprise" in the title and analysts' comprehensive upward revisions of net profit[5][57] - Conduct dual-layer selection on the earnings surprise stock pool using fundamental and technical dimensions[5][57] - Construct a portfolio of stocks with both fundamental support and technical resonance[5][57] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[24] - Model Evaluation: The portfolio consistently ranks in the top 30% of active equity funds annually, demonstrating strong performance[58] 3. Model Name: Brokerage Golden Stock Performance Enhancement Portfolio - Model Construction Idea: Use the brokerage golden stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks, styles, and industries[6][32] - Model Construction Process: - Use the brokerage golden stock pool, which reflects both top-down industry allocation and bottom-up stock selection capabilities of brokerage analysts[62] - Optimize the portfolio to further refine stock selection within the golden stock pool, aiming to outperform the mixed equity fund index[6][62] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[32] - Model Evaluation: The portfolio consistently ranks in the top 30% of active equity funds annually, showcasing stable outperformance[63] 4. Model Name: Growth and Stability Portfolio - Model Construction Idea: Focus on the temporal release of excess returns in growth stocks, using a "time-series first, cross-sectional second" approach to construct a two-dimensional evaluation system for growth stocks[7][67] - Model Construction Process: - Introduce an "excess return release map" to identify the strongest phases of excess return release around positive events, such as earnings surprises and pre-announcements of earnings growth[67] - Segment the growth stock pool based on the number of days until the scheduled financial report disclosure date, prioritizing stocks with closer disclosure dates[7][67] - Use multi-factor scoring to select high-quality stocks when the sample size is large[7][67] - Implement mechanisms to reduce portfolio turnover, mitigate risks, and ensure stability, such as weak balancing, transition, buffering, and risk avoidance mechanisms[67] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[39] - Model Evaluation: The portfolio consistently ranks in the top 30% of active equity funds annually, effectively capturing the strongest phases of excess return release for growth stocks[68] --- Model Backtesting Results 1. Excellent Fund Performance Enhancement Portfolio - Annualized Return (2012.1.4-2025.6.30): 20.31% (considering position and transaction costs)[53] - Annualized Excess Return vs. Mixed Equity Fund Index: 11.83%[53] - Performance Ranking: Top 30% of active equity funds in most years since 2012[53] 2. Outperformance Stock Selection Portfolio - Annualized Return (2010.1.4-2025.6.30): 30.55% (considering position and transaction costs)[58] - Annualized Excess Return vs. Mixed Equity Fund Index: 24.68%[58] - Performance Ranking: Top 30% of active equity funds in all years since 2010[58] 3. Brokerage Golden Stock Performance Enhancement Portfolio - Annualized Return (2018.1.2-2025.6.30): 19.34% (considering position and transaction costs)[63] - Annualized Excess Return vs. Mixed Equity Fund Index: 14.38%[63] - Performance Ranking: Top 30% of active equity funds annually from 2018 to 2025[63] 4. Growth and Stability Portfolio - Annualized Return (2012.1.4-2025.6.30): 35.51% (considering position and transaction costs)[68] - Annualized Excess Return vs. Mixed Equity Fund Index: 26.88%[68] - Performance Ranking: Top 30% of active equity funds in most years since 2012[68]