| 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0.09%，相对偏股混合型基金指数超额收 | | 益-0.52%。本年，优秀基金业绩增强组合绝对收益-0.99%，相对偏股混合型基金 | | 指数超额收益-3.28%。 今年以来，优秀基金业绩增强组合在主动股基中排名 | | 60.77%分位点（2108/3469）。 | | 本周， 超预期精选组合 绝对收益0.06%，相对偏股混合型基金指数超额收 | | 益-0.56%。本年，超预期精选组合绝对收益5.51%，相对偏股混合型基金指数超额 | | 收益3.23%。 今年以来，超预期精选组合在主动股基中排名22.77%分位点 | | （790/3469）。 | | 本周， 券商金股业绩增强组合 绝对收益-0.68%，相对偏股混合型基金指数超额收 | | 益-1.30%。本年，券商金股业绩增强组合绝对收益3.94%，相对偏股混合型基金指 | | 数超额收益1.66%。 今年以来，券商金股业绩增强组合在主动股基中排名29.49% | | 分位点（1023/3469）。 | | -0.38% 本 ...

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2.71%，相对偏股混合型基金指数超额收 益0.81%。本年，优秀基金业绩增强组合绝对收益-1.09%，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59.79% 分位点（2074/3469）。 本周， 超预期精选组合 绝对收益3.55%，相对偏股混合型基金指数超额收益 1.65%。本年，超预期精选组合绝对收益5.45%，相对偏股混合型基金指数超额收 益 3.79% 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 动 股 基 中 排 名 20.09% 分 位 点 （697/3469）。 本周， 券商金股业绩增强组合 绝对收益3.79%，相对偏股混合型基金指数超额收 益1.89%。本年，券商金股业绩增强组合绝对收益4.65%，相对偏股混合型基金指 数超额收益2.99%。 今年以来，券商金股业绩增强组合在主动股基中排名23.21% 分位点（805/3469）。 本周， 成长稳健组合 绝对收益3.90%，相对偏股混合型基金指数超额收益 2.00%。本年，成长稳健组合绝对收益10.73% ...

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 strategies including "Excellent Fund Performance Enhancement Portfolio," "Expected Surprises Selection Portfolio," "Brokerage Golden Stocks Performance Enhancement Portfolio," and "Growth Stability Portfolio" [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 0.08% this week and a relative excess return of 0.11% against the mixed equity fund index. Year-to-date, it has an absolute return of -3.71% and a relative excess return of -3.47%, ranking in the 69.93 percentile among active equity funds [1][13]. - The "Expected Surprises Selection Portfolio" recorded an absolute return of 0.58% this week and a relative excess return of 0.62%. Year-to-date, it has an absolute return of 1.82% and a relative excess return of 2.06%, ranking in the 27.93 percentile among active equity funds [1][14]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" had an absolute return of -1.13% this week and a relative excess return of -1.10%. Year-to-date, it has an absolute return of 0.82% and a relative excess return of 1.06%, ranking in the 33.99 percentile among active equity funds [1][25]. - The "Growth Stability Portfolio" achieved an absolute return of 1.57% this week and a relative excess return of 1.61%. Year-to-date, it has an absolute return of 6.58% and a relative excess return of 6.81%, ranking in the 10.75 percentile among active equity funds [1][34]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against actively managed equity funds rather than broad indices, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [4][45]. - 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][50]. - 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 [21][54]. - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements and utilizing multi-factor scoring to select high-quality stocks [29][60].

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that the market has experienced increased volatility, with various investment combinations showing differing absolute and relative returns against benchmarks [1][13][14]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement Portfolio reported an absolute return of -5.40% for the week and -3.79% year-to-date, ranking in the 71.12 percentile among active equity funds [1][25]. - The Outperformance Selection Portfolio had an absolute return of -5.84% for the week and a positive return of 1.23% year-to-date, ranking in the 31.71 percentile among active equity funds [1][30]. - The Broker's Golden Stock Performance Enhancement Portfolio showed an absolute return of -4.14% for the week and a year-to-date return of 1.97%, ranking in the 27.27 percentile among active equity funds [1][37]. - The Growth Stability Portfolio reported an absolute return of -5.97% for the week and a year-to-date return of 4.93%, ranking in the 15.28 percentile among active equity funds [2][42]. Group 2: Strategy Descriptions - 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 [3][48]. - The Outperformance Selection Portfolio is constructed by filtering stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [4][55]. - The Broker's Golden Stock Performance Enhancement Portfolio leverages a selection of stocks recommended by brokers, optimizing the portfolio to minimize deviations from the broker's stock pool [5][60]. - The Growth Stability Portfolio 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 JinGong, focusing on their ability to outperform the median returns of actively managed equity funds, with specific strategies including "Excellent Fund Performance Enhancement Portfolio," "Expected Surprises Selection Portfolio," "Brokerage Golden Stocks Performance Enhancement Portfolio," and "Growth Stability Portfolio" [2][3][41]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" recorded an absolute return of -5.40% this week and -3.79% year-to-date, ranking in the 71.12 percentile among active equity funds [1][14]. - The "Expected Surprises Selection Portfolio" had an absolute return of -5.84% this week and 1.23% year-to-date, ranking in the 31.71 percentile among active equity funds [1][15]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" reported an absolute return of -4.14% this week and 1.97% year-to-date, ranking in the 27.27 percentile among active equity funds [1][24]. - The "Growth Stability Portfolio" experienced an absolute return of -5.97% this week and 4.93% year-to-date, ranking in the 15.28 percentile among active equity funds [1][32]. 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 [4][41]. - The "Expected Surprises Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio [13][49]. - The "Brokerage Golden Stocks Performance Enhancement Portfolio" leverages a selection of stocks recommended by brokerage firms, optimizing the portfolio to minimize deviations from the brokerage stock pool [19][53]. - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [29][58].

| 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-2.48%，相对偏股混合型基金指数超额收 | | | 益-1.03%。本年，优秀基金业绩增强组合绝对收益1.70%，相对偏股混合型基金指 | | | 数超额收益-2.10%。 今年以来，优秀基金业绩增强组合在主动股基中排名56.53% | | | 分位点（1961/3469）。 | | | 本周， 超预期精选组合 绝对收益-2.48%，相对偏股混合型基金指数超额收 | | | 益-1.04%。本年，超预期精选组合绝对收益7.50%，相对偏股混合型基金指数超额 | | | 收益3.70%。 今年以来，超预期精选组合在主动股基中排名19.80%分位点 | | | （687/3469）。 | | | 本周， 券商金股业绩增强组合 绝对收益-1.56%，相对偏股混合型基金指数超额收 | | | 益-0.11%。本年，券商金股业绩增强组合绝对收益6.36%，相对偏股混合型基金指 | | | 数超额收益2.56%。 今年以来，券商金股业绩增强组合在主动股基中排名24.53% | ...

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, Exceeding Expectations Selection, Broker Golden Stocks Performance Enhancement, and Growth Stability Combination [2][3]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy achieved an absolute return of -0.10% this week and a year-to-date return of 4.28%, ranking in the 49.21 percentile among active equity funds [1][12]. - The Exceeding Expectations Selection strategy recorded an absolute return of 0.30% this week and 10.23% year-to-date, ranking in the 15.39 percentile among active equity funds [1][13]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of 0.72% this week and 8.04% year-to-date, ranking in the 24.04 percentile among active equity funds [1][21]. - The Growth Stability Combination strategy reported an absolute return of -0.64% this week and 12.31% year-to-date, ranking in the 9.83 percentile among active equity funds [1][22]. Group 2: Excellent Fund Performance Enhancement - This strategy shifts from benchmarking against broad indices to actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [4][32]. - The strategy has shown a historical annualized return of 20.50% from January 2012 to December 2024, outperforming the mixed equity fund index by 12.36% [34][37]. Group 3: Exceeding Expectations Selection - This strategy selects stocks based on exceeding expectations events and analyst profit upgrades, focusing on both fundamental and technical criteria to build a portfolio [9][38]. - The strategy has achieved an annualized return of 32.78% from January 2010 to December 2024, exceeding the performance of the CSI 500 index by 31.07% [39]. Group 4: Broker Golden Stocks Performance Enhancement - This strategy leverages the broker's stock pool, reflecting both top-down industry analysis and bottom-up stock selection, aiming to outperform the ordinary equity fund index [42]. - The strategy has delivered an annualized return of 19.01% from January 2018 to December 2024, outperforming the mixed equity fund index by 14.87% [43][46]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates to capture excess returns [47][48]. - The strategy has achieved an annualized return of 38.71% from January 2012 to December 2024, exceeding the CSI 500 index by 33.94% [49].

Core Insights - The report highlights the performance of four active quantitative strategies, all of which outperformed the stock index this week, with the micro-cap stocks leading the gains [1][11]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement Portfolio achieved an absolute return of 1.50% this week, with a relative excess return of 1.05% over the mixed equity fund index. Year-to-date, it has an absolute return of 5.84% and a relative excess return of -2.53% [1][18]. - The Outperformance Selection Portfolio recorded an absolute return of 0.64% this week, with a relative excess return of 0.19%. Year-to-date, it has an absolute return of 11.42% and a relative excess return of 3.06% [1][23]. - The Broker Golden Stock Performance Enhancement Portfolio achieved an absolute return of 1.14% this week, with a relative excess return of 0.69%. Year-to-date, it has an absolute return of 8.59% and a relative excess return of 0.22% [1][28]. - The Growth Stability Portfolio recorded an absolute return of 1.31% this week, with a relative excess return of 0.86%. Year-to-date, it has an absolute return of 13.33% and a relative excess return of 4.97% [1][33]. Group 2: Strategy Descriptions - The Excellent Fund Performance Enhancement Portfolio is constructed by benchmarking against active equity funds rather than broad indices, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [3][14]. - The Outperformance Selection Portfolio is built by screening stocks based on positive earnings surprises and analyst upgrades, selecting those with both fundamental support and technical resonance [4][19]. - The Broker Golden Stock Performance Enhancement Portfolio uses a stock pool from broker recommendations, optimizing the selection to minimize deviation from the pool while aiming to outperform the mixed equity fund index [5][49]. - The Growth Stability Portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates and using multi-factor scoring to select high-quality stocks [6][29]. Group 3: Year-to-Date Rankings - The Excellent Fund Performance Enhancement Portfolio ranks in the 60.48th percentile among active equity funds [1][18]. - The Outperformance Selection Portfolio ranks in the 24.39th percentile among active equity funds [1][23]. - The Broker Golden Stock Performance Enhancement Portfolio ranks in the 40.56th percentile among active equity funds [1][28]. - The Growth Stability Portfolio ranks in the 17.27th percentile among active equity funds [1][33].

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 strategies including "Excellent Fund Performance Enhancement Portfolio," "Expected Surprises Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [2][3][18]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.17% this week and 4.27% year-to-date, ranking in the 64.54th percentile among active equity funds [1][7]. - The "Expected Surprises Selection Portfolio" recorded an absolute return of 3.70% this week and 10.71% year-to-date, ranking in the 27.99th percentile among active equity funds [1][6]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 3.11% this week and 7.36% year-to-date, ranking in the 45.26th percentile among active equity funds [1][12]. - The "Growth Stability Portfolio" achieved an absolute return of 4.44% this week and 11.86% year-to-date, ranking in the 22.63rd percentile among active equity funds [1][13]. Group 2: Strategy Summaries - 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][19]. - 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 [6][22]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is based on a selection of stocks from brokerage recommendations, optimizing the portfolio to minimize deviation from the brokerage stock pool while aiming to outperform the ordinary equity fund index [9][25]. - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates and using multi-factor scoring to select high-quality stocks [11][28]. Group 3: Historical Performance - The "Excellent Fund Performance Enhancement Portfolio" has achieved an annualized return of 20.50% from January 2012 to December 2024, outperforming the benchmark by 12.36% [20][21]. - The "Expected Surprises Selection Portfolio" has an annualized return of 28.53% since January 2010, exceeding the benchmark by 23.02% [23][24]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has an annualized return of 19.01% from January 2018 to December 2024, outperforming the benchmark by 14.87% [26][27]. - The "Growth Stability Portfolio" has achieved an annualized return of 34.74% since January 2012, exceeding the benchmark by 26.43% [29].

Core Viewpoint - The article emphasizes the importance of a multi-strategy dynamic allocation approach to capture style rotation opportunities in the market, utilizing quantitative indicators to assess the allocation value of different styles or strategies [1][6]. Summary by Sections Style Timing Framework to Strategy Rotation Model - The style timing model can effectively avoid high-risk phases but may miss some upward opportunities in styles. Historical data is used to identify similar past indicators to predict future performance [3][26]. - A voting method is employed to integrate multiple indicators, resulting in a comprehensive style timing model that has shown to reduce risk while maintaining a lower annualized return compared to holding styles directly [3][31]. Performance Metrics - The style timing model achieved an annualized return of 16.5% during the backtest period from January 1, 2015, to January 31, 2025, with an excess return of 12.7% over the benchmark [3][39]. - The active quantitative strategy rotation model yielded an annualized return of 36.2% during the backtest period from January 1, 2015, to February 28, 2025, outperforming the benchmark by 28.5% [4][39]. Key Indicators for Style Allocation - The article identifies key indicators for measuring style allocation value, including valuation difference, active inflow rate difference, and combination temporal correlation [2][17]. - Historical data shows that a larger valuation difference correlates with better future excess returns, while a significant active inflow rate difference indicates potential overreaction risks [2][10]. Latest Insights and Recommendations - As of March 2025, the recommendation is to favor small-cap and growth styles while maintaining a neutral stance on value and dividend styles [4][35]. - The report suggests holding indices like the CSI 2000 for small-cap and the National Growth Index for growth styles, along with specific active quantitative strategies [4][35]. Multi-Dimensional Timing Indicators - The article discusses the construction of a multi-dimensional timing indicator system that includes valuation difference, market participation, and combination consistency to assess future style performance [18][22]. - The effectiveness of these indicators is tested, showing that they can provide valuable insights into future excess returns across different styles [22][23]. Strategy Rotation and Dynamic Allocation - The article outlines a strategy for dynamic allocation and rotation among styles based on multi-dimensional timing indicators, aiming to optimize returns while managing risks [37][39]. - The dynamic allocation strategy is designed to adjust holdings based on the prevailing market conditions and style performance indicators [37][39].