- The report discusses the performance of various quantitative strategies, including the "Dividend Selection Strategy" and the "Industry High Success Rate Strategy," which were launched by the Changjiang Financial Engineering team since July 2023[5][13][15] - The "Dividend Selection Strategy" includes two products: the "Central State-Owned Enterprises High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio"[15] - The "Industry Enhancement Series" focuses on the electronics sector and includes two products: the "Electronics Balanced Allocation Enhancement Portfolio" and the "Electronics Sector Preferred Enhancement Portfolio"[15] Quantitative Models and Construction Methods 1. **Model Name: Central State-Owned Enterprises High Dividend 30 Portfolio** - **Model Construction Idea**: Focuses on high dividend stocks within central state-owned enterprises[15] - **Model Construction Process**: The portfolio is constructed by selecting 30 high dividend stocks from central state-owned enterprises, aiming to outperform the CSI Dividend Total Return Index[15] - **Model Evaluation**: The model has shown to outperform the CSI Dividend Total Return Index by approximately 0.01% in the reported period[16][25] 2. **Model Name: Electronics Balanced Allocation Enhancement Portfolio** - **Model Construction Idea**: Aims to balance allocation within the electronics sector to achieve enhanced returns[15] - **Model Construction Process**: The portfolio is constructed by selecting stocks within the electronics sector and balancing the allocation to achieve a defensive attribute and enhanced returns[15] - **Model Evaluation**: The model outperformed the electronics index by approximately 0.81% in the reported period[6][35] 3. **Model Name: Electronics Sector Preferred Enhancement Portfolio** - **Model Construction Idea**: Focuses on leading companies in mature sub-sectors within the electronics industry[15] - **Model Construction Process**: The portfolio is constructed by selecting leading companies in mature sub-sectors within the electronics industry, aiming to achieve enhanced returns[15] - **Model Evaluation**: The model outperformed the electronics index by approximately 1.48% in the reported period[6][35] Model Backtest Results 1. **Central State-Owned Enterprises High Dividend 30 Portfolio** - **Outperformance**: Approximately 0.01% over the CSI Dividend Total Return Index[16][25] 2. **Electronics Balanced Allocation Enhancement Portfolio** - **Outperformance**: Approximately 0.81% over the electronics index[6][35] 3. **Electronics Sector Preferred Enhancement Portfolio** - **Outperformance**: Approximately 1.48% over the electronics index[6][35]

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on their relative performance against benchmarks such as the active equity fund median and the mixed equity fund index [2][3][6]. Group 2 Active Quantitative Strategy Performance Tracking - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.31% this week and a year-to-date return of 24.74%, ranking in the 48.80 percentile among active equity funds [1][14]. - The "Super Expected Selection Portfolio" reported an absolute return of -1.63% this week and a year-to-date return of 41.45%, ranking in the 17.96 percentile among active equity funds [1][25]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of -2.58% this week and a year-to-date return of 30.55%, ranking in the 36.12 percentile among active equity funds [1][36]. - The "Growth and Stability Portfolio" showed an absolute return of -0.07% this week and a year-to-date return of 49.12%, ranking in the 10.90 percentile among active equity funds [1][44]. Group 3 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of public active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [7][49]. - The portfolio's construction considers the median position of active equity funds, with a current position of 90% [7][49]. Group 4 Super Expected Selection Portfolio - This portfolio selects stocks based on the occurrence of super expected events and analyst profit upgrades, focusing on both fundamental and technical criteria [19][56]. - The portfolio's construction also considers a 90% position based on the mixed equity fund index [19][56]. Group 5 Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks from the brokerage golden stock pool, aiming to optimize performance while controlling deviations from the pool's characteristics [28][60]. - The portfolio also maintains a 90% position based on the ordinary equity fund index [28][60]. Group 6 Growth and Stability Portfolio - This portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates to capture potential excess returns [37][64]. - The portfolio also maintains a 90% position based on the mixed equity fund index [37][64].

Group 1 - The core viewpoint of the article emphasizes the performance tracking of GuoXin's active quantitative strategies, which aim to outperform the median returns of actively managed equity funds [2][3][5] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expected Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][5] Group 2 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [6][50] - As of this week, the portfolio achieved an absolute return of 3.51% and a relative excess return of 0.65% against the mixed equity fund index [11][12] Super Expected Selection Portfolio - This strategy selects stocks based on super expected events and analyst profit upgrades, focusing on both fundamental and technical criteria to build a portfolio [16][57] - The portfolio reported an absolute return of 2.90% this week and a year-to-date return of 43.79%, outperforming the mixed equity fund index by 15.51% [22][21] Broker Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks recommended by brokers, aiming to optimize performance while controlling deviations from the broker stock pool [25][61] - The portfolio achieved an absolute return of 4.77% this week and a year-to-date return of 34.01%, with a relative excess return of 5.72% against the mixed equity fund index [34][27] Growth Stability Portfolio - This strategy focuses on growth stocks, utilizing a two-dimensional evaluation system to prioritize stocks close to their earnings announcement dates, aiming to capture excess returns during favorable events [35][65] - The portfolio reported an absolute return of 2.47% this week and a year-to-date return of 49.23%, outperforming the mixed equity fund index by 20.94% [44][39]

Quantitative Models and Construction Methods - **Model Name**: Dividend Growth Strategy **Model Construction Idea**: Focuses on identifying stocks with strong dividend growth potential, aiming to outperform pure dividend assets by leveraging growth-oriented metrics[5][14] **Model Construction Process**: The strategy selects stocks based on their historical dividend growth rates and projected growth potential. It emphasizes companies with consistent dividend increases and robust financial health. Specific metrics or formulas were not detailed in the report[5][14] **Model Evaluation**: Demonstrated superior performance compared to pure dividend assets, indicating its effectiveness in capturing growth opportunities within dividend-paying stocks[5][14] - **Model Name**: Dividend Quality Strategy **Model Construction Idea**: Targets high-quality dividend stocks by assessing financial stability and sustainability of dividend payouts[5][14] **Model Construction Process**: The strategy evaluates companies based on financial metrics such as return on equity (ROE), debt-to-equity ratio, and earnings stability. It prioritizes firms with strong balance sheets and consistent profitability. Specific formulas were not provided[5][14] **Model Evaluation**: Outperformed pure dividend assets, showcasing its ability to identify stable and reliable dividend-paying companies[5][14] - **Model Name**: Balanced Dividend 50 Portfolio **Model Construction Idea**: Combines defensive and growth-oriented dividend stocks to achieve a balanced risk-return profile[13][23] **Model Construction Process**: The portfolio is constructed by selecting 50 stocks that exhibit both high dividend yields and growth potential. It uses a combination of dividend yield, growth metrics, and financial stability indicators. Detailed formulas were not disclosed[13][23] **Model Evaluation**: Achieved significant excess returns relative to the benchmark, highlighting its balanced approach's effectiveness[13][23] - **Model Name**: High Dividend 30 Portfolio **Model Construction Idea**: Focuses on high-dividend-yielding stocks, particularly from central and state-owned enterprises, to provide stable income[13][23] **Model Construction Process**: The portfolio selects 30 stocks with the highest dividend yields among central and state-owned enterprises. It emphasizes income generation and stability. Specific formulas were not mentioned[13][23] **Model Evaluation**: Delivered consistent excess returns, demonstrating its suitability for income-focused investors[13][23] - **Model Name**: Electronic Balanced Allocation Enhanced Portfolio **Model Construction Idea**: Aims to achieve balanced exposure within the electronics sector by diversifying across sub-industries[13][31] **Model Construction Process**: The portfolio allocates investments across various electronics sub-industries, balancing growth and stability. It uses sector-specific metrics to identify leading companies. Detailed formulas were not provided[13][31] **Model Evaluation**: Achieved positive returns but underperformed the electronics sector index, indicating room for improvement in capturing sector-wide trends[13][31] - **Model Name**: Electronics Sector Select Enhanced Portfolio **Model Construction Idea**: Focuses on mature sub-industry leaders within the electronics sector to capture stable growth[13][31] **Model Construction Process**: The portfolio targets leading companies in mature electronics sub-industries, emphasizing financial stability and market leadership. Specific formulas were not disclosed[13][31] **Model Evaluation**: Delivered positive returns but failed to outperform the electronics sector index, suggesting limited effectiveness in capturing broader sector dynamics[13][31] --- Model Backtesting Results - **Dividend Growth Strategy**: Weekly average return exceeded 2%, outperforming pure dividend assets[5][14] - **Dividend Quality Strategy**: Weekly average return exceeded 2%, outperforming pure dividend assets[5][14] - **Balanced Dividend 50 Portfolio**: Weekly excess return of approximately 0.99% relative to the CSI Dividend Total Return Index; year-to-date excess return of 6.04%[13][23] - **High Dividend 30 Portfolio**: Weekly excess return of approximately 0.76% relative to the CSI Dividend Total Return Index[13][23] - **Electronic Balanced Allocation Enhanced Portfolio**: Weekly return of approximately 5.01%, underperforming the electronics sector index[13][31] - **Electronics Sector Select Enhanced Portfolio**: Weekly return of approximately 3.91%, underperforming the electronics sector index[13][31]

Group 1 - The report highlights the performance of various quantitative investment strategies, with the "Excellent Fund Performance Enhancement Portfolio" achieving a weekly absolute return of 4.17% and a year-to-date return of 22.11% [1][21] - The "Super Expected Selection Portfolio" reported a weekly return of 3.71% and a year-to-date return of 39.73%, outperforming the mixed equity fund index by 15.01% this year [1][29] - The "Brokerage Golden Stock Performance Enhancement Portfolio" had a weekly return of 3.94% and a year-to-date return of 27.90%, exceeding the mixed equity fund index by 3.18% [1][36] - The "Growth and Stability Portfolio" achieved a weekly return of 3.38% and a year-to-date return of 45.63%, outperforming the mixed equity fund index by 20.91% [2][41] Group 2 - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against active equity funds rather than broad market indices, utilizing quantitative methods to enhance performance [3][17] - The "Super Expected Selection Portfolio" is built by screening stocks based on expected performance and analyst profit revisions, focusing on both fundamental and technical aspects [4][22] - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages a stock pool from brokerage recommendations, optimizing the portfolio to align with the performance of the brokerage stock pool [5][30] - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to capture potential excess returns [6][62] Group 3 - The report provides a comprehensive performance overview of the portfolios, indicating that the "Excellent Fund Performance Enhancement Portfolio" ranks in the 49.21 percentile among active equity funds this year [1][21] - The "Super Expected Selection Portfolio" ranks in the 14.36 percentile among active equity funds, demonstrating strong performance relative to peers [1][29] - The "Brokerage Golden Stock Performance Enhancement Portfolio" ranks in the 33.90 percentile among active equity funds, indicating competitive performance [1][36] - The "Growth and Stability Portfolio" ranks in the 8.91 percentile among active equity funds, showcasing its effectiveness in capturing growth opportunities [2][41]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 4.17% this week and a year-to-date return of 22.11%, ranking in the 49.21 percentile among active equity funds [4][11]. - The "Super Expected Selection Portfolio" recorded an absolute return of 3.71% this week and a year-to-date return of 39.73%, ranking in the 14.36 percentile among active equity funds [20][15]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 3.94% this week and a year-to-date return of 27.90%, ranking in the 33.90 percentile among active equity funds [21][23]. - The "Growth and Stability Portfolio" posted an absolute return of 3.38% this week and a year-to-date return of 45.63%, ranking in the 8.91 percentile among active equity funds [29][27]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [8][35]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical analysis to create a robust stock selection [14][41]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks recommended by brokerage firms, optimizing the portfolio to minimize deviations from the brokerage stock pool [17][45]. - The "Growth and Stability Portfolio" employs a time-series evaluation approach to identify growth stocks that are likely to outperform around earnings announcements, incorporating various risk management mechanisms [49][50].

- The report introduces several active quantitative strategies launched by the Changjiang Quantitative Team since July 2023, including the Dividend Selection Strategy and the Industry High Winning Rate Strategy[6][13] - The "Dividend Quality" segment showed relatively active performance with a weekly average return of approximately 1.64%, indicating excess returns compared to pure dividend assets[6][16] - The "Central State-Owned Enterprises High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio" both outperformed the CSI Dividend Total Return Index this week, with excess returns of approximately 0.61% and 1.51%, respectively[6][22] - The "Balanced Dividend 50 Portfolio" achieved positive returns this week[6][22] - The "Electronic Balanced Allocation Enhanced Portfolio" and the "Electronic Sector Preferred Enhanced Portfolio" both achieved positive returns this week, although they did not outperform the electronic industry index[7][31] - The "Electronic Sector Preferred Enhanced Portfolio" had a weekly return of approximately 6.20%, outperforming the median of technology-themed fund products[7][31] Quantitative Models and Construction Methods 1. Model Name: Dividend Selection Strategy; Model Construction Idea: Focuses on selecting stocks with high dividend yields and quality; Model Construction Process: The strategy involves screening stocks based on dividend yield, payout ratio, and other fundamental factors to construct a portfolio that aims to provide stable and high returns; Model Evaluation: The strategy has shown to provide excess returns compared to pure dividend assets[6][13][16] 2. Model Name: Industry High Winning Rate Strategy; Model Construction Idea: Focuses on selecting stocks within high-performing industries; Model Construction Process: The strategy involves identifying industries with strong performance and selecting stocks within those industries based on various fundamental and technical factors; Model Evaluation: The strategy aims to provide alternative perspectives and investment choices for investors by tracking market hotspots and selecting individual stocks within high-performing industries[6][13] Model Backtesting Results 1. Dividend Selection Strategy, Excess Return: 1.64%[6][16] 2. Central State-Owned Enterprises High Dividend 30 Portfolio, Excess Return: 0.61%[6][22] 3. Balanced Dividend 50 Portfolio, Excess Return: 1.51%[6][22] 4. Electronic Sector Preferred Enhanced Portfolio, Weekly Return: 6.20%[7][31] Quantitative Factors and Construction Methods 1. Factor Name: Dividend Quality; Factor Construction Idea: Focuses on stocks with high dividend quality; Factor Construction Process: The factor involves screening stocks based on dividend yield, payout ratio, and other fundamental factors to identify stocks with high dividend quality; Factor Evaluation: The factor has shown to provide excess returns compared to pure dividend assets[6][16] 2. Factor Name: Industry Performance; Factor Construction Idea: Focuses on stocks within high-performing industries; Factor Construction Process: The factor involves identifying industries with strong performance and selecting stocks within those industries based on various fundamental and technical factors; Factor Evaluation: The factor aims to provide alternative perspectives and investment choices for investors by tracking market hotspots and selecting individual stocks within high-performing industries[6][13] Factor Backtesting Results 1. Dividend Quality Factor, Weekly Average Return: 1.64%[6][16] 2. Industry Performance Factor, Weekly Return: 6.20%[7][31]

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that the excellent fund performance enhancement portfolio achieved an absolute return of 3.70% this week and 17.22% year-to-date, ranking in the 49.35th percentile among active equity funds [1][12][23] - The report emphasizes the strong performance of the expected selection portfolio, which recorded an absolute return of 3.78% this week and 34.72% year-to-date, ranking in the 12.68th percentile among active equity funds [1][12][33] - The brokerage gold stock performance enhancement portfolio achieved an absolute return of 4.00% this week and 23.05% year-to-date, ranking in the 33.58th percentile among active equity funds [1][12][39] - The growth and stability portfolio reported an absolute return of 3.65% this week and 40.87% year-to-date, ranking in the 8.30th percentile among active equity funds [1][12][46] Excellent Fund Performance Enhancement Portfolio - The strategy aims to benchmark against the median return of active equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [3][17][52] - The portfolio's year-to-date performance shows a relative underperformance of -3.26% compared to the mixed equity fund index [16][23] Expected Selection Portfolio - This strategy selects stocks based on expected performance and analyst profit upgrades, focusing on both fundamental and technical criteria to build a robust portfolio [4][24][58] - The portfolio has outperformed the mixed equity fund index by 14.24% year-to-date [16][33] Brokerage Gold Stock Performance Enhancement Portfolio - The strategy utilizes a selection from the brokerage gold stock pool, optimizing the portfolio to minimize deviations from the benchmark [5][34][63] - Year-to-date, this portfolio has outperformed the mixed equity fund index by 2.57% [16][39] Growth and Stability Portfolio - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [6][40][68] - The portfolio has achieved a year-to-date return of 40.87%, significantly outperforming the mixed equity fund index by 20.39% [16][46]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median [2][4]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 3.70% this week and 17.22% year-to-date, ranking in the 49.35th percentile among active equity funds [4][9]. - The "Super Expected Selection Portfolio" recorded an absolute return of 3.78% this week and 34.72% year-to-date, ranking in the 12.68th percentile among active equity funds [4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 4.00% this week and 23.05% year-to-date, ranking in the 33.58th percentile among active equity funds [4][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 3.65% this week and 40.87% year-to-date, ranking in the 8.30th percentile among active equity funds [4][27]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [6][34]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [12][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a stock pool from brokerage recommendations, optimizing for performance while controlling for deviations in stock selection and style [15][41]. - The "Growth and Stability Portfolio" employs a time-series approach to identify growth stocks that are likely to outperform around earnings announcements, incorporating various risk management mechanisms [24][45].

Quantitative Models and Construction Methods - **Model Name**: Dividend Enhanced Portfolio **Model Construction Idea**: Focuses on high-dividend stocks, aiming to capture excess returns from dividend-paying assets through a systematic approach[6][15] **Model Construction Process**: 1. Selects stocks with high dividend yields from the market. 2. Constructs two portfolios: "Central SOE High Dividend 30 Portfolio" and "Balanced Growth Dividend 50 Portfolio". 3. Applies a "steady + growth" style for the Central SOE portfolio and a "balanced offensive and defensive" style for the Dividend 50 portfolio[14][21] **Model Evaluation**: The model underperformed the benchmark this week, indicating weaker relative performance in the current market environment[21] - **Model Name**: Electronics Enhanced Portfolio **Model Construction Idea**: Focuses on the electronics sector, leveraging quantitative methods to identify outperforming sub-sectors and stocks[7][14] **Model Construction Process**: 1. Constructs two portfolios: "Electronics Balanced Allocation Enhanced Portfolio" and "Electronics Sector Preferred Enhanced Portfolio". 2. The Balanced Allocation Portfolio adopts a diversified approach across the electronics sector. 3. The Preferred Portfolio targets leading companies in mature sub-sectors of the electronics industry[14][31] **Model Evaluation**: Both portfolios outperformed the electronics sector index, demonstrating strong relative performance[31] Model Backtesting Results - **Dividend Enhanced Portfolio**: - Central SOE High Dividend 30 Portfolio: Weekly return of approximately 4.49%, underperforming the benchmark[15][21] - Balanced Growth Dividend 50 Portfolio: Weekly return of approximately 2.57%, also underperforming the benchmark[15][21] - **Electronics Enhanced Portfolio**: - Electronics Balanced Allocation Enhanced Portfolio: Weekly excess return of approximately 0.59%, ranking in the 15th percentile among active technology funds[7][31] - Electronics Sector Preferred Enhanced Portfolio: Weekly excess return of approximately 0.47%, ranking in the 17th percentile among active technology funds[7][31]