主动量化策略周报：股票弱基金强，优基增强组合本周相对股基指数超额0.83%-20251206

Quantitative Models and Construction Methods - Model Name: Excellent Fund Performance Enhancement Portfolio Model Construction Idea: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best" [4][18][50] Model Construction Process: 1. Benchmark against the median performance of active equity funds, represented by the mixed equity fund index (885001.WI) [18][50] 2. Use a performance-layered perspective to select funds, neutralizing return factors to avoid style concentration issues [50] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings [51] Model Evaluation: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds [50][51] - Model Name: Outperformance Stock Selection Portfolio Model Construction Idea: Focus on stocks with significant outperformance events, combining fundamental and technical analysis to select stocks with both fundamental support and technical resonance [5][56] Model Construction Process: 1. Filter stocks based on "outperformance" in research report titles and analysts' upward revisions of net profit [5][56] 2. Conduct dual-layer screening on the outperformance stock pool using fundamental and technical dimensions [56] Model Evaluation: Consistently ranks in the top 30% of active equity funds annually, with significant excess returns [56][57] - Model Name: Broker Gold Stock Performance Enhancement Portfolio Model Construction Idea: Use the broker gold stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks and styles [6][31][61] Model Construction Process: 1. Benchmark against the mixed equity fund index and use the broker gold stock pool as the selection space [31][61] 2. Further refine the stock pool to achieve stable outperformance of the benchmark [61] Model Evaluation: Demonstrates strong alpha potential and consistently ranks in the top 30% of active equity funds annually [61][62] - Model Name: Growth and Stability Portfolio Model Construction Idea: Focus on the "time variable" in growth stock investments, constructing a two-dimensional evaluation system for growth stocks using a "time-series first, cross-section later" approach [7][66] Model Construction Process: 1. Introduce an "excess return release map" to identify the strongest excess return periods before and after positive events [66] 2. Prioritize stocks closer to their financial report disclosure dates and use multi-factor scoring to select high-quality stocks when the sample size is large [7][66] 3. Incorporate mechanisms such as weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [66] Model Evaluation: Consistently ranks in the top 30% of active equity funds annually, with high excess returns [66][67] Model Backtesting Results - Excellent Fund Performance Enhancement Portfolio: - Annualized return (2012.1.4-2025.6.30): 20.31% - Annualized excess return relative to mixed equity fund index: 11.83% - Most years ranked in the top 30% of active equity funds [52][55] - Outperformance Stock Selection Portfolio: - Annualized return (2010.1.4-2025.6.30): 30.55% - Annualized excess return relative to mixed equity fund index: 24.68% - Consistently ranked in the top 30% of active equity funds annually [57][59] - Broker Gold Stock Performance Enhancement Portfolio: - Annualized return (2018.1.2-2025.6.30): 19.34% - Annualized excess return relative to mixed equity fund index: 14.38% - Consistently ranked in the top 30% of active equity funds annually [62][65] - Growth and Stability Portfolio: - Annualized return (2012.1.4-2025.6.30): 35.51% - Annualized excess return relative to mixed equity fund index: 26.88% - Consistently ranked in the top 30% of active equity funds annually [67][70]