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 ...

| 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）。 | | 绝对收益5.01%，相对偏股混合型基金指数超额收益 本周， 超预期精选组合 | | 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， 成长稳健组合 绝 ...

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, aiming to outperform the median returns of actively managed equity funds, with a focus on four main strategies: Excellent Fund Performance Enhancement, Unexpected Selection, Broker Golden Stocks, and Steady Growth [2][34]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy had an absolute return of -0.63% this week and 0.73% year-to-date, ranking in the 54.34th percentile among active equity funds [11][6]. - The Unexpected Selection strategy achieved an absolute return of 0.12% this week and 9.36% year-to-date, ranking in the 15.71st percentile among active equity funds [12][9]. - The Broker Golden Stocks strategy recorded an absolute return of -0.28% this week and 4.97% year-to-date, ranking in the 30.18th percentile among active equity funds [22][15]. - The Steady Growth strategy had an absolute return of 0.46% this week and 15.45% year-to-date, ranking in the 7.41st 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][35]. - The strategy has shown a historical annualized return of 20.50% from January 2012 to December 2024, outperforming the benchmark by 12.36% [36]. Group 3: Unexpected Selection - The strategy focuses on stocks that have exceeded expectations, selecting based on both fundamental and technical criteria to build a portfolio of stocks with strong support [40][8]. - The annualized return for this strategy from January 2010 to December 2024 is 28.53%, outperforming the benchmark by 23.02% [41]. Group 4: Broker Golden Stocks - This strategy combines top-down industry analysis with bottom-up stock selection, aiming to reflect the core competitive strengths of brokerage research teams [44]. - The annualized return from January 2018 to December 2024 is 19.01%, exceeding the benchmark by 14.87% [45]. Group 5: Steady Growth - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to capture excess returns [49][50]. - The annualized return from January 2012 to December 2024 is 34.74%, outperforming the benchmark by 26.43% [51].

| 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-0.33%，相对偏股混合型基金指数超额收 | | | | | | | | | | 益-0.40%。本年，优秀基金业绩增强组合绝对收益1.37%，相对偏股混合型基金指 | | | | | | | | | | 数超额收益-2.38%。 今年以来，优秀基金业绩增强组合在主动股基中排名53.65% | | | | | | | | | | 分位点（1861/3469）。 | | | | | | | | | | 绝对收益0.20%，相对偏股混合型基金指数超额收益 | | | | | | | 本周， 超预期精选组合 | | | 0.13%。本年，超预期精选组合绝对收益9.23%，相对偏股混合型基金指数超额收 | | | | | | | | | | 5.47% | | | | | | 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 ...

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, focusing on their ability to outperform the median returns of actively managed equity funds, with specific combinations showing varying degrees of success in absolute and relative returns [2][34]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 0.50% this week and 1.70% year-to-date, ranking in the 52.15 percentile among active equity funds [1][12]. - The "Super Expected Selection Portfolio" recorded an absolute return of 0.76% this week and 9.01% year-to-date, ranking in the 16.23 percentile among active equity funds [1][13]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 0.53% this week and 6.00% year-to-date, ranking in the 26.78 percentile among active equity funds [1][23]. - The "Growth and Stability Portfolio" achieved an absolute return of 1.80% this week and 16.36% year-to-date, ranking in the 4.81 percentile among active equity funds [1][24]. Group 2: Strategy Descriptions - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [4][35]. - The "Super Expected Selection Portfolio" selects stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [9][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is based on a selection of stocks from brokerage recommendations, optimizing the portfolio to minimize deviations from the brokerage stock pool [18][44]. - 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 [22][49]. Group 3: Year-to-Date Performance Comparisons - The "Excellent Fund Performance Enhancement Portfolio" has a year-to-date return of 1.70%, while the benchmark index has a return of 3.68% [6][36]. - The "Super Expected Selection Portfolio" has a year-to-date return of 9.01%, outperforming the benchmark index by 5.32% [14][40]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has a year-to-date return of 6.00%, exceeding the benchmark index by 2.31% [20][48]. - The "Growth and Stability Portfolio" has a year-to-date return of 16.36%, significantly outperforming the benchmark index by 12.68% [25][50].

| 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2.21%，相对偏股混合型基金指数超额收 | | 益1.14%。本年，优秀基金业绩增强组合绝对收益1.19%，相对偏股混合型基金指 | | 数超额收益-2.18%。 今年以来，优秀基金业绩增强组合在主动股基中排名53.24% | | 分位点（1847/3469）。 | | 本周， 超预期精选组合 绝对收益2.53%，相对偏股混合型基金指数超额收益 | | 1.46%。本年，超预期精选组合绝对收益8.18%，相对偏股混合型基金指数超额收 | | 益 4.81% 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 动 股 基 中 排 名 17.79% 分 位 点 | | （617/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益1.43%，相对偏股混合型基金指数超额收 | | 益0.37%。本年，券商金股业绩增强组合绝对收益5.43%，相对偏股混合型基金指 | | 数超额收益2.06%。 今年以来，券商金股业绩增强组合在主动股基中排名27.88% | | 分位点（967/ ...