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]

Core Insights - The report highlights the performance of various active quantitative strategies, with the Growth and Stability Portfolio achieving a year-to-date return of 40.33%, ranking in the top 7.12% among active equity funds [1][2][12] - The report tracks the absolute and relative performance of several enhanced portfolios, including the Excellent Fund Performance Enhancement Portfolio, the Exceeding Expectations Selection Portfolio, and the Broker's Golden Stock Performance Enhancement Portfolio [1][12][13] Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][16] - Year-to-date, the portfolio has achieved an absolute return of 13.04%, with a relative underperformance of -2.98% compared to the mixed equity fund index [20][21] Exceeding Expectations Selection Portfolio - The strategy involves selecting stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria [4][21] - The portfolio has delivered a year-to-date absolute return of 29.80%, outperforming the mixed equity fund index by 13.79% [30][58] Broker's Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks identified by brokers, aiming to optimize performance while maintaining alignment with the broker's stock pool [5][62] - Year-to-date, it has achieved an absolute return of 18.31%, with a relative outperformance of 2.29% compared to the mixed equity fund index [37][63] Growth and Stability Portfolio - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements [6][38] - It has achieved a year-to-date absolute return of 35.91%, outperforming the mixed equity fund index by 19.89% [45][68]

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 1.20% this week and 13.04% year-to-date, with a relative underperformance of -0.53% and -2.98% against the mixed equity fund index respectively [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.66% this week and 29.80% year-to-date, outperforming the mixed equity fund index by 13.79% this year [1][19]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 2.51% this week and 18.31% year-to-date, with a relative outperformance of 2.29% against the mixed equity fund index [1][20]. - The "Growth and Stability Portfolio" achieved an absolute return of 3.30% this week and 35.91% year-to-date, outperforming the mixed equity fund index by 19.89% this year [1][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 [7][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 [13][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing for minimal deviation from the benchmark [16][43]. - 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][47].

Quantitative Models and Construction Methods - **Model Name**: "Offense and Defense Dividend 50 Portfolio" **Model Construction Idea**: This model aims to enhance returns by selecting high-dividend stocks with a balance of growth and stability, outperforming the benchmark dividend indices[6][15] **Model Construction Process**: The portfolio is constructed by combining stocks with high dividend yields, growth potential, and low volatility. The selection process involves filtering stocks based on dividend-related factors and optimizing the portfolio to achieve a balance between growth and defensive characteristics[6][15] **Model Evaluation**: The model demonstrates strong performance, consistently outperforming the benchmark dividend indices and ranking in the top percentile among dividend-focused funds[6][21] - **Model Name**: "Central SOE High Dividend 30 Portfolio" **Model Construction Idea**: This model focuses on central state-owned enterprises (SOEs) with high dividend payouts, aiming to capture stable returns from these entities[15] **Model Construction Process**: The portfolio is constructed by selecting 30 central SOEs with the highest dividend yields. The selection criteria emphasize stability and consistent dividend payouts[15] **Model Evaluation**: The model shows stable performance, delivering excess returns over the benchmark dividend indices[15][21] - **Model Name**: "Electronic Sector Enhanced Portfolios" **Model Construction Idea**: These models aim to enhance returns within the electronic sector by focusing on high-growth sub-sectors and leading companies in mature sub-sectors[15][31] **Model Construction Process**: 1. **Balanced Allocation Enhanced Portfolio**: This portfolio is constructed by evenly allocating weights across various electronic sub-sectors to achieve diversification[15] 2. **Sector Leader Enhanced Portfolio**: This portfolio focuses on leading companies in mature sub-sectors, emphasizing their growth potential and market dominance[15][31] **Model Evaluation**: Both portfolios demonstrate positive returns, with the Sector Leader Enhanced Portfolio delivering higher excess returns relative to the electronic sector index[31] Model Backtesting Results - **Offense and Defense Dividend 50 Portfolio**: - Weekly excess return: ~1.41% over the CSI Dividend Total Return Index[6][21] - Year-to-date excess return: ~3.52% over the CSI Dividend Total Return Index[21] - Weekly performance percentile: ~11% among dividend-focused funds[6][21] - **Central SOE High Dividend 30 Portfolio**: - Weekly excess return: ~0.35% over the CSI Dividend Total Return Index[6][21] - **Electronic Sector Enhanced Portfolios**: - **Balanced Allocation Enhanced Portfolio**: Weekly excess return: ~0.89% over the electronic sector index[31] - **Sector Leader Enhanced Portfolio**: Weekly excess return: ~0.89% over the electronic sector index[31] Quantitative Factors and Construction Methods - **Factor Name**: Dividend Quality **Factor Construction Idea**: This factor evaluates the stability and sustainability of a company's dividend payouts[16][18] **Factor Construction Process**: The factor is calculated using metrics such as dividend payout ratio, historical dividend growth rate, and earnings stability. Companies with higher scores on these metrics are ranked higher[16][18] **Factor Evaluation**: The factor demonstrates strong predictive power for identifying high-performing dividend stocks[16][18] - **Factor Name**: Dividend Growth **Factor Construction Idea**: This factor focuses on the growth potential of a company's dividends over time[16][18] **Factor Construction Process**: The factor is derived from the historical growth rate of dividends and projected earnings growth. Companies with consistent and high dividend growth rates are ranked higher[16][18] **Factor Evaluation**: The factor shows significant excess returns compared to pure dividend yield factors[16][18] - **Factor Name**: Low Volatility Dividend **Factor Construction Idea**: This factor targets stocks with high dividend yields and low price volatility[16][18] **Factor Construction Process**: The factor is constructed by combining dividend yield with a volatility measure (e.g., standard deviation of returns). Stocks with high yields and low volatility are ranked higher[16][18] **Factor Evaluation**: The factor provides a defensive characteristic, outperforming during market downturns[16][18] Factor Backtesting Results - **Dividend Quality Factor**: - Weekly excess return: ~1.94% over the CSI Dividend Index[18] - **Dividend Growth Factor**: - Weekly excess return: ~0.92% over the CSI Dividend Index[18] - **Low Volatility Dividend Factor**: - Weekly excess return: ~0.69% over the CSI Dividend Index[18]

Core Insights - The report highlights the performance of various active quantitative strategies, with a focus on the "Excellent Fund Performance Enhancement Portfolio," "Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [1][12][30][37] Group 1: Excellent Fund Performance Enhancement Portfolio - The portfolio achieved an absolute return of -1.03% for the week and 11.69% year-to-date, ranking in the 46.32 percentile among active equity funds [20][16] - The strategy aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][50] Group 2: Expected Selection Portfolio - This portfolio recorded an absolute return of 2.16% for the week and 27.67% year-to-date, ranking in the 11.53 percentile among active equity funds [29][25] - The strategy selects stocks based on expected performance and analyst upgrades, focusing on both fundamental and technical criteria [4][56] Group 3: Brokerage Golden Stock Performance Enhancement Portfolio - The portfolio had an absolute return of -0.62% for the week and 15.41% year-to-date, ranking in the 33.73 percentile among active equity funds [36][32] - The strategy is based on a selection of stocks from the brokerage's top picks, aiming to optimize the portfolio while minimizing deviation from the benchmark [5][61] Group 4: Growth Stability Portfolio - This portfolio achieved an absolute return of 1.23% for the week and 31.57% year-to-date, ranking in the 8.19 percentile among active equity funds [45][40] - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [6][67]

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on outperforming the median returns of actively managed equity funds [2][3][31] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expectation Selected Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][31] Group 2 Excellent Fund Performance Enhancement Portfolio - This strategy 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][31] - As of this week, the portfolio has an absolute return of -1.03% and a relative excess return of -0.65% compared to the mixed equity fund index [10][34] - Year-to-date, the portfolio has achieved an absolute return of 11.69% and ranks in the 46.32 percentile among active equity funds [10][35] Super Expectation Selected Portfolio - This strategy selects stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio [13][38] - This week, the portfolio has an absolute return of 2.16% and a relative excess return of 2.55% compared to the mixed equity fund index [18][34] - Year-to-date, it has achieved an absolute return of 27.67% and ranks in the 11.53 percentile among active equity funds [18][39] Broker Golden Stock Performance Enhancement Portfolio - This strategy utilizes a stock pool from broker recommendations, optimizing the portfolio to minimize deviations from the stock pool while aiming to outperform the average performance of ordinary equity funds [16][40] - This week, the portfolio has an absolute return of -0.62% and a relative excess return of -0.24% compared to the mixed equity fund index [19][34] - Year-to-date, it has achieved an absolute return of 15.41% and ranks in the 33.73 percentile among active equity funds [19][41] Growth Stability Portfolio - This strategy focuses on growth stocks, prioritizing those with upcoming earnings announcements to capture excess returns during favorable periods [24][44] - This week, the portfolio has an absolute return of 1.23% and a relative excess return of 1.61% compared to the mixed equity fund index [27][34] - Year-to-date, it has achieved an absolute return of 31.57% and ranks in the 8.19 percentile among active equity funds [27][45]