Guosen Securities(SZ:002736) Guoxin Securities·2026-03-28 09:07Quantitative 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 [3][46][47] Construction Process: 1. Benchmark against active equity fund median returns, represented by the biased equity hybrid fund index (885001.WI) [16][46] 2. Select funds using performance-layered neutralization of return factors to mitigate style concentration risks [46] 3. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to selected fund holdings [47] Evaluation: Demonstrates stable performance, consistently outperforming active equity fund medians [47] - Model Name: Outperformance Selection Portfolio Construction Idea: Focus on stocks with significant outperformance events, combining fundamental and technical analysis for selection [4][52] Construction Process: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [4][52] 2. Conduct dual-layer screening on fundamentals and technicals to select stocks with both fundamental support and technical resonance [4][52] Evaluation: Consistently ranks in the top 30% of active equity funds annually, showcasing strong performance [52] - Model Name: Brokerage Golden Stock Performance Enhancement Portfolio Construction Idea: Optimize the brokerage golden stock pool to control deviations in individual stocks, styles, and sectors, aiming to outperform active equity fund medians [5][57] Construction Process: 1. Use the brokerage golden stock pool as the stock selection space and constraint benchmark [5][57] 2. Optimize portfolio to minimize deviations in individual stocks, styles, and sectors relative to the golden stock pool [5][57] Evaluation: Demonstrates stable performance, consistently ranking in the top 30% of active equity funds annually [57] - Model Name: Growth Stability Portfolio Construction Idea: Prioritize stocks close to financial report release dates, leveraging time-series and cross-sectional evaluations for growth stock selection [6][62] Construction Process: 1. Filter growth stocks based on research report titles indicating outperformance and pre-announced earnings growth [6][62] 2. Segment stocks by proximity to financial report release dates, prioritizing closer dates [6][62] 3. Apply multi-factor scoring to select high-quality stocks when sample size is large [6][62] 4. Introduce mechanisms like weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [62] Evaluation: Consistently ranks in the top 30% of active equity funds annually, showcasing strong performance [62] --- Model Backtesting Results - Excellent Fund Performance Enhancement Portfolio: - Annualized return: 21.40% - Excess return over biased equity hybrid fund index: 9.85% - Consistently ranks in the top 30% of active equity funds annually [48][51] - Outperformance Selection Portfolio: - Annualized return: 31.11% - Excess return over biased equity hybrid fund index: 23.98% - Consistently ranks in the top 30% of active equity funds annually [53][56] - Brokerage Golden Stock Performance Enhancement Portfolio: - Annualized return: 21.71% - Excess return over biased equity hybrid fund index: 14.18% - Consistently ranks in the top 30% of active equity funds annually [58][61] - Growth Stability Portfolio: - Annualized return: 36.34% - Excess return over biased equity hybrid fund index: 26.33% - Consistently ranks in the top 30% of active equity funds annually [63][66]