成长组合相对太保主动偏股成长基金2月超额收益2.91%——量化策略2026年2月月报

Core Viewpoint - The article discusses the performance and construction of four quantitative strategies: dividend, quality, growth, and value, highlighting their monthly and year-to-date performance metrics for February 2026. Group 1: Quantitative Strategy Monthly Performance Tracking - The dividend strategy achieved an absolute return of 0.16% in February 2026, underperforming the CSI Dividend Total Return Index by 2.18%. Year-to-date, it recorded a 9.46% absolute return, outperforming the index by 3.28% [5][8]. - The quality strategy had an absolute return of 2.12% in February 2026, exceeding the CSI Quality Total Return Index by 2.57%. For the year-to-date, it posted an 11.30% absolute return, outperforming the index by 9.20% [5][8]. - The growth strategy, with a 90% allocation, achieved an absolute return of 5.13% in February 2026, outperforming the Taibao Active Equity Growth Fund by 2.91%. Year-to-date, it recorded a 15.80% absolute return, exceeding the fund by 5.56% [5][8]. - The value strategy posted an absolute return of 2.02% in February 2026, slightly outperforming the Guoxin Value Total Return Index by 0.29%. However, year-to-date, it had a 6.55% absolute return, underperforming the index by 3.83% [6][8]. Group 2: Strategy Construction Methodology - The dividend strategy is constructed in two steps: first, selecting stocks expected to have increased dividends in the next year from various dimensions; second, applying multi-factor optimization to finalize the dividend portfolio [9]. - The quality strategy involves three steps: first, screening for stocks with a historical ROE of at least 10% over the past nine quarters; second, constructing stability factors based on profitability, growth, and leverage; third, scoring stocks based on growth, volatility, long-term momentum, and dividends to finalize the quality portfolio [11]. - The growth strategy is built in three steps: first, selecting the top 50 stocks based on analyst consensus profit growth; second, optimizing for stocks with the highest upward revisions in profit expectations; third, applying an industry rotation model to weight stocks in favorable sectors [14]. - The value strategy is constructed in two steps: first, selecting high ROE stocks with stable future expectations; second, optimizing for 50 stocks based on valuation factors to avoid value traps [18].