- The report introduces several active quantitative strategies launched by the Changjiang Golden Engineering team since July 2023, including the Dividend Selection Strategy and the Industry High Win Rate Strategy[4][12][13] - The report tracks the performance of two dividend portfolios and two electronic portfolios, highlighting their significant excess returns relative to their respective benchmarks since the beginning of the year[4][13][20] - The Dividend Series includes the "Central State-owned Enterprises High Dividend 30 Portfolio" and the "Balanced Dividend 50 Portfolio," while the Industry Enhancement Series focuses on the electronics sector, including the "Electronic Balanced Configuration Enhancement Portfolio" and the "Electronic Sector Preferred Enhancement Portfolio"[13][14][20] - The "Electronic Sector Preferred Enhancement Portfolio" outperformed the electronics industry index by approximately 0.52% on a weekly basis, and since the beginning of 2025, the "Electronic Balanced Configuration Enhancement Portfolio" and the "Electronic Sector Preferred Enhancement Portfolio" have exceeded the electronics industry index by approximately 3.97% and 5.78%, respectively[5][23][30]

Core Insights - The report highlights the strong performance of growth styles, with all four active quantitative portfolios outperforming the stock fund index this week [1][14] - The report tracks the performance of various active quantitative strategies, including the Excellent Fund Performance Enhancement Portfolio, the Exceeding Expectations Selection Portfolio, the Broker's Golden Stock Performance Enhancement Portfolio, and the Growth Stability Portfolio [13][14] Excellent Fund Performance Enhancement Portfolio - This portfolio achieved an absolute return of 0.95% this week and a year-to-date return of 7.36%, ranking in the 45.95 percentile among active stock funds [1][23] - The strategy focuses on enhancing performance by benchmarking against active stock funds rather than broad indices, utilizing quantitative methods to select top-performing funds [3][18] Exceeding Expectations Selection Portfolio - The portfolio recorded an absolute return of 2.11% this week and 19.99% year-to-date, with a year-to-date excess return of 10.87% over the stock fund index, ranking in the 10.69 percentile among active stock funds [1][31] - The strategy involves selecting stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria [4][55] Broker's Golden Stock Performance Enhancement Portfolio - This portfolio achieved an absolute return of 1.60% this week and 11.98% year-to-date, with a year-to-date excess return of 2.86% over the stock fund index, ranking in the 27.13 percentile among active stock funds [1][39] - The strategy is based on a selection of stocks from the broker's golden stock pool, optimizing the portfolio to minimize deviations from this pool [5][60] Growth Stability Portfolio - The portfolio achieved an absolute return of 2.21% this week and 26.87% year-to-date, with a year-to-date excess return of 17.76% over the stock fund index, ranking in the 5.42 percentile among active stock funds [1][44] - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [6][65]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guoxin Jinong, focusing on outperforming the median returns of actively managed equity funds, with strategies including "Excellent Fund Performance Enhancement Portfolio," "Expected Surprises Selection Portfolio," "Brokerage Golden Stocks Performance Enhancement Portfolio," and "Growth Stability Portfolio" [2][36]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 0.95% this week and 7.36% year-to-date, ranking in the 45.95 percentile among active equity funds [1][12]. - The "Expected Surprises Selection Portfolio" recorded an absolute return of 2.11% this week and 19.99% year-to-date, ranking in the 10.69 percentile among active equity funds [1][13]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" had an absolute return of 1.60% this week and 11.98% year-to-date, ranking in the 27.13 percentile among active equity funds [1][22]. - The "Growth Stability Portfolio" achieved an absolute return of 2.21% this week and 26.87% year-to-date, ranking in the 5.42 percentile among active equity funds [1][23]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [4][36]. - The "Expected Surprises Selection Portfolio" selects stocks based on expected earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [8][42]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" is based on a selection of stocks from brokerage recommendations, optimizing the portfolio to minimize deviations from the brokerage stock pool while aiming to outperform the ordinary equity fund index [15][47]. - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings announcement dates and using multi-factor scoring to select high-quality stocks [18][52].

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin JinGong, which aim to outperform the median returns of actively managed equity funds [2][3][4] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Expected Surprises Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][4] Group 2 - The Excellent Fund Performance Enhancement Portfolio achieved an absolute return of 0.21% this week and 6.35% year-to-date, ranking in the 46.53 percentile among active equity funds [15][8] - The Expected Surprises Selection Portfolio had an absolute return of 2.46% this week and 17.50% year-to-date, ranking in the 12.42 percentile among active equity funds [16][20] - The Broker Golden Stock Performance Enhancement Portfolio recorded an absolute return of 1.07% this week and 10.21% year-to-date, ranking in the 29.98 percentile among active equity funds [28][29] - The Growth Stability Portfolio achieved an absolute return of 2.00% this week and 24.13% year-to-date, ranking in the 6.00 percentile among active equity funds [37][34] Group 3 - The Excellent Fund Performance Enhancement Portfolio is constructed by benchmarking against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance [4][47] - The Expected Surprises Selection Portfolio selects stocks based on expected earnings surprises and analyst upgrades, focusing on both fundamental and technical analysis [13][53] - The Broker Golden Stock Performance Enhancement Portfolio is based on a selection of stocks from the broker's golden stock pool, optimized to minimize deviation from this pool [24][58] - The Growth Stability Portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [31][62]

证券研究报告 | 2025年06月28日 主动量化策略周报 半年度收官在即，四大主动量化组合均排名主动股基前 50% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益 3.68%，相对偏股混合型基金指数超 额收益 0.82%。本年，优秀基金业绩增强组合绝对收益 6.12%，相对偏股混 合型基金指数超额收益-0.74%。今年以来，优秀基金业绩增强组合在主动股 基中排名 41.19%分位点（1429/3469）。 本周，成长稳健组合绝对收益 3.41%，相对偏股混合型基金指数超额收益 0.55%。本年，成长稳健组合绝对收益 21.70%，相对偏股混合型基金指数 超额收益 14.83%。今年以来，成长稳健组合在主动股基中排名 5.71%分位 点（198/3469）。 本周，股票收益中位数 4.41%，89%的股票上涨，11%的股票下跌；主动股 基中位数 2.79%，98%的基金上涨，2%的基金下跌。 本年，股票收益中位数 8.82%，69%的股票上涨，31%的股票下跌；主动股 基中位数 4.59%，78%的基金上涨，22%的基金下跌。 优秀基金业绩增强组合： 在构建量化组合 ...

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with specific emphasis on four main strategies: Excellent Fund Performance Enhancement, Expected Surprises Selection, Broker Golden Stocks Performance Enhancement, and Growth Stability Combination [2][31]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy achieved an absolute return of 3.68% this week and 6.12% year-to-date, ranking in the 41.19th percentile among active equity funds [12][6]. - The Expected Surprises Selection strategy recorded an absolute return of 1.78% this week and 14.68% year-to-date, ranking in the 14.67th percentile among active equity funds [9][13]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of 2.36% this week and 9.03% year-to-date, ranking in the 29.66th percentile among active equity funds [22][17]. - The Growth Stability Combination strategy achieved an absolute return of 3.41% this week and 21.70% year-to-date, ranking in the 5.71st percentile among active equity funds [23][24]. Group 2: Excellent Fund Performance Enhancement - This strategy benchmarks against the median returns of actively managed equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [4][32]. - The strategy's year-to-date performance shows a net value increase of 6.12%, compared to a 6.87% increase in the benchmark index [6][12]. Group 3: Expected Surprises Selection - The strategy selects stocks based on expected earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [36][9]. - Year-to-date, this strategy has outperformed the benchmark index by 7.81%, with a total return of 14.68% [9][13]. Group 4: Broker Golden Stocks Performance Enhancement - This strategy is based on a selection of stocks identified by broker recommendations, aiming to optimize the portfolio while controlling deviations from the broker stock pool [41][16]. - The year-to-date performance of this strategy shows a return of 9.03%, outperforming the benchmark index by 2.17% [22][17]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [46][19]. - The year-to-date performance of this strategy is 21.70%, significantly exceeding the benchmark index by 14.83% [23][24].

Group 1 - The report highlights that the low valuation style is resilient, with the growth and stability combination ranking in the top 6% of active equity funds this year [1][2] - The report tracks the performance of various quantitative strategies, including the Excellent Fund Performance Enhancement Combination, which has an absolute return of 2.35% this year, ranking at the 46.01 percentile among active equity funds [1][3][23] - The report indicates that the Super Expected Selection Combination has achieved an absolute return of 12.67% this year, ranking at the 11.50 percentile among active equity funds [1][4][31] Group 2 - 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][18][49] - The Super Expected Selection Combination is constructed by filtering stocks based on expected performance and analyst profit revisions, focusing on both fundamental and technical aspects [4][55] - The Broker Golden Stock Performance Enhancement Combination is designed to optimize stock selection from a broker's recommended stock pool, aiming to maintain alignment with the performance of active equity funds [5][60] Group 3 - The Growth Stability Combination has achieved an absolute return of 17.69% this year, ranking at the 5.88 percentile among active equity funds [2][39][43] - The report provides a detailed performance overview of various combinations, showing that the Excellent Fund Performance Enhancement Combination has a year-to-date return of 2.35%, while the Super Expected Selection Combination has a return of 12.67% [1][14][31] - The report emphasizes the importance of timing in growth stock investments, utilizing a two-dimensional evaluation system to maximize returns around earnings announcements [6][39][66]

| 报 告 摘 要 | | --- | | 一、国信金工主动量化策略表现跟踪 | | 本周， 优秀基金业绩增强组合 绝对收益-0.21%，相对偏股混合型基金指数超额收 | | 益1.44%。本年，优秀基金业绩增强组合绝对收益2.35%，相对偏股混合型基金指 | | 数超额收益-1.54%。 今年以来，优秀基金业绩增强组合在主动股基中排名46.01% | | 分位点（1596/3469）。 | | 本周， 超预期精选组合 绝对收益-2.84%，相对偏股混合型基金指数超额收 | | 益-1.19%。本年，超预期精选组合绝对收益12.67%，相对偏股混合型基金指数超 | | 额收益8.78%。 今年以来，超预期精选组合在主动股基中排名11.50%分位点 | | （399/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益-1.14%，相对偏股混合型基金指数超额收 | | 益0.51%。本年，券商金股业绩增强组合绝对收益6.52%，相对偏股混合型基金指 | | 数超额收益2.63%。 今年以来，券商金股业绩增强组合在主动股基中排名26.43% | | 分位点（917/3469）。 | | -2.33% 本 ...

图1和图2分别展示了优秀基金业绩增强组合、超预期精选组合、券商金股业绩增强组合及成长稳健组合在本周及2024年的收益表现情况。 我们以偏股混合型基金指 数（885001.WI）为比较基准 ，以主动股基仓位中位数作为组合仓位计算组合净值。组合近期表现如下： 优秀基金业绩增强组合：本周超额收益-0.32%，本年超额收益-3.07%。 超预期精选组合：本周超额收益0.71%，本年超额收益10.32%。 券商金股业绩增强组合：本周超额收益-0.74%，本年超额收益2.11%。 成长稳健组合：本周超额收益0.72%，本年超额收益14.87%。 2 优秀基金业绩增强组合 | 报 告 摘 要 | | --- | | 一、国信金工主动量化策略表现跟踪 | | 本周， 优秀基金业绩增强组合 绝对收益-0.06%，相对偏股混合型基金指数超额收 | | 益-0.32%。本年，优秀基金业绩增强组合绝对收益2.56%，相对偏股混合型基金指 | | 数超额收益-3.07%。 今年以来，优秀基金业绩增强组合在主动股基中排名51.95% | | 分位点（1802/3469）。 | | 绝对收益0.96%，相对偏股混合型基金指数超额收益 本周 ...

证券研究报告 | 2025年06月07日 主动量化策略周报 成长稳健组合年内上涨 19.35%，相对股基指数超额 13.98% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益 1.87%，相对偏股混合型基金指数超 额收益-0.06%。本年，优秀基金业绩增强组合绝对收益 2.62%，相对偏股混 合型基金指数超额收益-2.75%。今年以来，优秀基金业绩增强组合在主动股 基中排名 51.60%分位点（1790/3469）。 本周，超预期精选组合绝对收益 5.01%，相对偏股混合型基金指数超额收益 3.07%。本年，超预期精选组合绝对收益 14.85%，相对偏股混合型基金指 数超额收益 9.48%。今年以来，超预期精选组合在主动股基中排名 10.93% 分位点（379/3469）。 本周，券商金股业绩增强组合绝对收益 3.14%，相对偏股混合型基金指数超 额收益 1.20%。本年，券商金股业绩增强组合绝对收益 8.27%，相对偏股混 合型基金指数超额收益 2.90%。今年以来，券商金股业绩增强组合在主动股 基中排名 25.02%分位点（868/3469）。 本周，成长稳健组 ...