Core Insights - The report tracks the performance of various active quantitative strategies, highlighting the significant adjustments in small-cap growth stocks and the robust performance of the growth steady combination, which has increased by 48.45% year-to-date [1][2][14]. Group 1: Performance Overview - The excellent fund performance enhancement combination recorded an absolute return of -5.06% this week and 18.71% year-to-date, ranking in the 59.18th percentile among active equity funds [1][23]. - The super expectation selection combination had an absolute return of -5.67% this week and 33.39% year-to-date, ranking in the 26.72nd percentile among active equity funds [1][31]. - The broker's golden stock performance enhancement combination achieved an absolute return of -4.15% this week and 27.25% year-to-date, ranking in the 38.69th percentile among active equity funds [1][38]. - The growth steady combination saw an absolute return of -7.33% this week and 43.06% year-to-date, ranking in the 13.84th percentile among active equity funds [2][43]. Group 2: Strategy Descriptions - The excellent fund performance enhancement combination aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][19]. - The super expectation selection combination focuses on stocks that have exceeded expectations, selecting based on both fundamental and technical criteria to build a portfolio of stocks with strong support [4][24]. - The broker's golden stock performance enhancement combination is constructed using a selection from the broker's golden stock pool, optimizing the combination to minimize deviation from the benchmark [5][32]. - The growth steady combination employs a two-dimensional evaluation system for growth stocks, prioritizing stocks close to their earnings report dates to capture excess returns effectively [6][39].

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" recorded an absolute return of -5.06% this week and 18.71% year-to-date, ranking in the 59.18th percentile among active equity funds [1][11]. - The "Super Expected Selection Portfolio" had an absolute return of -5.67% this week and 33.39% year-to-date, ranking in the 26.72nd percentile among active equity funds [1][20]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" achieved an absolute return of -4.15% this week and 27.25% year-to-date, ranking in the 38.69th percentile among active equity funds [1][21]. - The "Growth and Stability Portfolio" saw an absolute return of -7.33% this week and 43.06% year-to-date, ranking in the 13.84th percentile among active equity funds [1][31]. 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 [5][35]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [14][42]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing for performance against the median of public funds [18][44]. - The "Growth and Stability Portfolio" employs a time-series evaluation method to identify growth stocks that are likely to outperform prior to earnings announcements, incorporating various risk management mechanisms [26][48].

- The report highlights the launch of multiple active quantitative strategies since July 2023, including Dividend Selection Strategy and High Winning Rate Industry Strategy, aimed at tracking market trends and selecting industry-specific stocks [6][14][15] - Active quantitative strategies follow a top-down stock selection logic, leveraging industry and thematic insights to refine factor selection from a large fundamental factor pool, enabling precise identification of potential stocks within specific sectors [14] - The Dividend Series includes two products: "Central SOE High Dividend 30 Portfolio" and "Balanced Growth Dividend 50 Portfolio," focusing on stable and growth-oriented dividend strategies [15] - The Electronics Series includes two products: "Electronics Balanced Allocation Enhanced Portfolio" and "Electronics Sector Preferred Enhanced Portfolio," targeting mature sub-sector leaders within the electronics industry [15] - Weekly performance tracking shows that the Electronics Balanced Allocation Enhanced Portfolio and Electronics Sector Preferred Enhanced Portfolio achieved positive excess returns of approximately 1.86% and 1.62%, respectively, outperforming the benchmark [7][25][32] - The Dividend Series underperformed the benchmark this week, with the Central SOE High Dividend 30 Portfolio and Balanced Growth Dividend 50 Portfolio failing to exceed the returns of the CSI Dividend Total Return Index [7][16][22] - The CSI Dividend Index achieved a weekly return of 0.25%, while sub-indices like CSI Dividend Growth and CSI Dividend Low Volatility outperformed with average weekly returns of approximately 1.31% and 1.08%, respectively [7][16][19] - The Electronics Series portfolios ranked in the top 26%-28% among active technology-themed funds based on weekly returns [32] - The report emphasizes the differentiation of active quantitative strategies from traditional ones, highlighting their ability to integrate thematic and industry logic for enhanced stock selection and strategy validation [14]

Quantitative Models and Construction Methods 1. Model Name: Excellent Fund Performance Enhancement Portfolio - **Model Construction Idea**: Transition from benchmarking broad-based indices to benchmarking active equity funds, leveraging the holdings of excellent funds and applying quantitative methods to enhance selection, achieving "the best among the best"[4][18][51] - **Model Construction Process**: - Benchmark the portfolio against the median return of active equity funds, represented by the mixed equity fund index (885001.WI)[18][51] - Use a performance-layered perspective to select funds, neutralizing return factors to avoid style concentration issues[51] - Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings[52] - Incorporate transaction costs and position effects into return calculations, with the portfolio position set at 90%[18][51] - **Model Evaluation**: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds[52] 2. Model Name: Outperformance Stock Selection Portfolio - **Model Construction Idea**: Focus on stocks with significant earnings surprises, leveraging both fundamental and technical analysis to identify stocks with strong support and resonance[5][57] - **Model Construction Process**: - Filter stocks based on research reports with "earnings surprise" in the title and analysts' comprehensive upward revisions of net profit[5][57] - Conduct dual-layer selection on the earnings surprise stock pool using fundamental and technical dimensions[5][57] - Construct a portfolio of stocks with both fundamental support and technical resonance[5][57] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[24] - **Model Evaluation**: The portfolio consistently ranks in the top 30% of active equity funds annually, demonstrating strong performance[58] 3. Model Name: Brokerage Golden Stock Performance Enhancement Portfolio - **Model Construction Idea**: Use the brokerage golden stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks, styles, and industries[6][32] - **Model Construction Process**: - Use the brokerage golden stock pool, which reflects both top-down industry allocation and bottom-up stock selection capabilities of brokerage analysts[62] - Optimize the portfolio to further refine stock selection within the golden stock pool, aiming to outperform the mixed equity fund index[6][62] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[32] - **Model Evaluation**: The portfolio consistently ranks in the top 30% of active equity funds annually, showcasing stable outperformance[63] 4. Model Name: Growth and Stability Portfolio - **Model Construction Idea**: Focus on the temporal release of excess returns in growth stocks, using a "time-series first, cross-sectional second" approach to construct a two-dimensional evaluation system for growth stocks[7][67] - **Model Construction Process**: - Introduce an "excess return release map" to identify the strongest phases of excess return release around positive events, such as earnings surprises and pre-announcements of earnings growth[67] - Segment the growth stock pool based on the number of days until the scheduled financial report disclosure date, prioritizing stocks with closer disclosure dates[7][67] - Use multi-factor scoring to select high-quality stocks when the sample size is large[7][67] - Implement mechanisms to reduce portfolio turnover, mitigate risks, and ensure stability, such as weak balancing, transition, buffering, and risk avoidance mechanisms[67] - Benchmark the portfolio against the mixed equity fund index, with a 90% position[39] - **Model Evaluation**: The portfolio consistently ranks in the top 30% of active equity funds annually, effectively capturing the strongest phases of excess return release for growth stocks[68] --- Model Backtesting Results 1. Excellent Fund Performance Enhancement Portfolio - **Annualized Return (2012.1.4-2025.6.30)**: 20.31% (considering position and transaction costs)[53] - **Annualized Excess Return vs. Mixed Equity Fund Index**: 11.83%[53] - **Performance Ranking**: Top 30% of active equity funds in most years since 2012[53] 2. Outperformance Stock Selection Portfolio - **Annualized Return (2010.1.4-2025.6.30)**: 30.55% (considering position and transaction costs)[58] - **Annualized Excess Return vs. Mixed Equity Fund Index**: 24.68%[58] - **Performance Ranking**: Top 30% of active equity funds in all years since 2010[58] 3. Brokerage Golden Stock Performance Enhancement Portfolio - **Annualized Return (2018.1.2-2025.6.30)**: 19.34% (considering position and transaction costs)[63] - **Annualized Excess Return vs. Mixed Equity Fund Index**: 14.38%[63] - **Performance Ranking**: Top 30% of active equity funds annually from 2018 to 2025[63] 4. Growth and Stability Portfolio - **Annualized Return (2012.1.4-2025.6.30)**: 35.51% (considering position and transaction costs)[68] - **Annualized Excess Return vs. Mixed Equity Fund Index**: 26.88%[68] - **Performance Ranking**: Top 30% of active equity funds in most years since 2012[68]

Core Insights - The report highlights that the A-share market experienced fluctuations, with the micro盘 leading gains and the 科创综指 undergoing a pullback. The 中证红利指数 performed well, indicating a preference for defensive strategies in the current market environment [1][6][15] - The report emphasizes the strong performance of the semiconductor distribution sector within the electronic segment, which saw a weekly increase of over 14%, significantly outperforming other sub-sectors [6][27][32] - The 红利增强组合 underperformed compared to the 中证红利全收益, while the electronic sector's 优选增强组合 achieved positive excess returns of approximately 0.46% [6][32][24] Strategy Tracking Dividend Series - The A-share market showed a mixed performance, with the 万得微盘 leading with a weekly return of approximately 3.16%, while the 中证红利指数 recorded a weekly return of about 2.23%. The 红利价值 and 红利低波 segments outperformed, with average weekly increases of approximately 2.77% and 2.55% respectively [6][15][21] - The report notes that both the 央国企高分红 30组合 and 攻守兼备红利 50组合 failed to outperform the 中证红利全收益 this week [6][24][15] Electronic Series - The report indicates that the electronic sector's performance was diverse, with energy, public utilities, and industrial sectors recovering, achieving relative excess returns of over 1.6%. In contrast, the medical sector showed weakness with notable pullbacks [6][27][28] - The electronic sector's 优选增强组合 achieved a weekly excess return of approximately 0.46%, positioning it within the top 38% of active technology-themed fund products year-to-date [32][24][27]

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that various combinations have shown different levels of absolute and relative returns against benchmarks [1][12][13]. Summary by Sections Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median returns of actively managed equity funds, with a year-to-date absolute return of 27.32% and a relative underperformance of -5.23% against the mixed equity fund index [1][22]. - The portfolio's performance for the week was -1.15%, with a relative underperformance of -1.21% against the mixed equity fund index [1][22]. Expected Selection Portfolio - The expected selection portfolio achieved an absolute return of 44.80% year-to-date, outperforming the mixed equity fund index by 12.25% [1][30]. - For the week, the portfolio's absolute return was 0.42%, with a relative outperformance of 0.36% against the mixed equity fund index [1][30]. Broker's Golden Stock Performance Enhancement Portfolio - This portfolio has a year-to-date absolute return of 35.91%, with a relative outperformance of 3.35% against the mixed equity fund index [1][38]. - The weekly performance showed an absolute return of 0.62% and a relative outperformance of 0.55% against the mixed equity fund index [1][38]. Growth and Stability Portfolio - The growth and stability portfolio has a year-to-date absolute return of 53.93%, outperforming the mixed equity fund index by 21.38% [1][46]. - For the week, the portfolio's absolute return was -1.02%, with a relative underperformance of -1.08% against the mixed equity fund index [1][46]. Market Overview - The median stock return for the week was 0.58%, with 55% of stocks rising and 45% falling; for the year, the median stock return was 25.48%, with 85% of stocks rising and 15% falling [2][50]. - The report indicates that the active equity fund median return for the year was 30.19%, with 98% of funds rising [2][50].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.15% this week and a year-to-date return of 27.32%, underperforming the mixed equity fund index by 1.21% and 5.23% respectively [1][4][8]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.42% this week and 44.80% year-to-date, outperforming the mixed equity fund index by 0.36% and 12.25% respectively [1][4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.62% this week and 35.91% year-to-date, with excess returns of 0.55% and 3.35% compared to the mixed equity fund index [1][4][19]. - The "Growth and Stability Portfolio" had an absolute return of -1.02% this week and 53.93% year-to-date, underperforming the mixed equity fund index by 1.08% and outperforming it by 21.38% respectively [1][4][28]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of actively managed equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [5][33]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a robust stock selection [10][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the performance of the broader equity fund index [14][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation approach to identify growth stocks that are likely to release excess returns around earnings announcements, using a multi-factor scoring system for stock selection [23][45].

- The "Dividend 50 Combination" strategy is designed to outperform the CSI Dividend Total Return Index by focusing on a balanced approach between growth and stability. The strategy includes stocks with high dividend yields and stable financial performance, aiming to capture excess returns in volatile markets[6][13][20] - The "Electronic Sector Preferred Enhanced Combination" strategy targets leading companies in mature sub-sectors within the electronic industry. It emphasizes stocks with strong fundamentals and growth potential, aiming to achieve positive excess returns relative to technology-themed funds[13][23][30] - The "Dividend 50 Combination" strategy achieved a weekly excess return of approximately 0.85% relative to the CSI Dividend Total Return Index, and a cumulative excess return of 7.35% since the beginning of 2025, placing it in the top 32% of all dividend-related fund products[20][22] - The "Electronic Sector Preferred Enhanced Combination" strategy delivered a weekly excess return of approximately 0.42%, outperforming the median return of active technology-themed funds during the same period[30][31]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -0.57% this week and a year-to-date return of 28.80%, underperforming the mixed equity fund index by 0.63% and 3.67% respectively [1][12]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.22% this week and 44.19% year-to-date, outperforming the mixed equity fund index by 0.16% and 11.72% respectively [1][20]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.31% this week and 35.08% year-to-date, with a relative outperformance of 0.24% and 2.61% against the mixed equity fund index [1][21]. - The "Growth and Stability Portfolio" had an absolute return of 0.56% this week and 55.51% year-to-date, outperforming the mixed equity fund index by 0.50% and 23.04% respectively [1][26]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement 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 [8][32]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [14][38]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing the portfolio to minimize deviation from this stock pool while aiming for superior returns [17][40]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [25][44].

- The report highlights the "Dividend Enhanced Combination" strategy, which focuses on high-dividend stocks and aims to outperform the CSI Dividend Index. However, this strategy underperformed the CSI Dividend Total Return Index during the week[4][11][22] - The "Electronic Balanced Allocation Enhanced Combination" strategy is designed to achieve balanced exposure within the electronics sector. It outperformed the Electronics Total Return Index with a weekly excess return of approximately 0.27%, ranking in the 36th percentile among technology-themed fund products[4][25][31] - The "Electronic Sector Preferred Enhanced Combination" strategy targets mature sub-sector leaders within the electronics industry. This strategy is part of the industry enhancement series introduced by the research team[10][25]