国泰海通｜金工：量化2025年度复盘系列——选股策略回顾

Core Insights - The core viewpoint of the article highlights the performance of various investment strategies in 2025, particularly the growth-oriented selected portfolio which achieved a cumulative return of 84.1%, significantly outperforming the 885001 index by 50.9% [1]. Group 1: Performance Analysis - In 2025, the growth-oriented selected portfolio showed the best performance among active quantitative portfolios, with a net cumulative return of 84.1%, surpassing the cumulative excess returns of the CSI 800 and 885001 indices by 63.2% and 50.9% respectively [1]. - The small-cap style portfolio also performed well, significantly outperforming the CSI 2000 index, while the high-dividend style portfolio had a weaker performance with a cumulative return of 15.0%, underperforming the CSI 800 index but exceeding the corresponding CSI dividend index [1]. Group 2: Strategy Enhancement - The monthly rebalancing index-enhanced portfolio constructed based on a linear multi-factor model showed that the ICIR weighted method significantly outperformed the IC mean weighted method in 2025 [2]. - Under the IC mean weighted method, the excess returns for the CSI 300, CSI 500, CSI 1000, and CSI A500 index enhancement strategies relative to their benchmark indices were 6.8%, 3.1%, 5.1%, and 4.8% respectively, while the ICIR weighted method yielded excess returns of 10.7%, 9.5%, 10.2%, and 13.2% [2]. - To improve the performance of index-enhanced portfolios in a challenging excess return environment, a multi-strategy approach was proposed, consisting of a basic index enhancement strategy (60% weight), an intra-domain satellite strategy focusing on momentum and fundamental factors (30% weight), and an extra-domain satellite strategy targeting small-cap high-growth stocks (10% weight), resulting in an annualized return improvement of 3.6% compared to the basic strategy [2].