证券研究报告 2025 年 12 月 14 日 湘财证券研究所 金融工程研究 跟踪周报 超预期股票精选策略跟踪周报 相关研究： 1. 《湘财证券-金融工程-超预期股 票精选策略》 2024.08.19 2. 《湘财证券-金融工程-超预期股 票 精 选 策 略 改 进 》 2024.11.19 分析师：别璐莎 证书编号：S0500524010001 Tel：(021) 50293663 Email：bls06644 @xcsc.com 地址：上海市浦东新区银城路88号 中国人寿金融中心10楼 核心要点： ❑ 主动型量化基金市场表现 本周（2025.12.08-2025.12.12），根据 Wind，主动型量化基金中位数收益为 -0.10%，沪深 300 指数收益为-0.08%，Wind 全 A 指数收益为 0.26%；本年， 主动型量化基金中位数收益为 26.41%，沪深 300 指数收益为 16.42%，Wind 全 A 指数收益为 24.80%。 本周，根据 Wind，收益排名靠前的主动型量化基金的收益率在 6%至 11% 之间，基金的重仓行业集中在电子行业；收益排名靠后的主动型量化基金 的收益率在-5%至 ...

Group 1 - The median return of active quantitative funds for the week of November 24-28, 2025, was 3.02%, outperforming the CSI 300 index at 1.64% and the Wind All A index at 2.90% [3][8] - For the year, the median return of active quantitative funds was 24.89%, compared to 15.04% for the CSI 300 index and 23.57% for the Wind All A index [3][8] - The top-performing active quantitative funds this week had returns between 6% and 8%, with a focus on the computer and electronics sectors [3][8] Group 2 - The "Super Expected Stock Selection Strategy" constructs a stock pool based on net profit exceeding expectations and analyst expectations, using the Wind All A index as the base stock pool [5][14] - For the week of November 24-28, 2025, the selected strategy yielded a return of 3.00%, exceeding the benchmark index by 0.09% [5][16] - For the year, the selected strategy achieved a return of 43.91%, significantly outperforming the benchmark index by 20.34% [5][19] Group 3 - The top 30 selected stocks for November 2025 were concentrated in the machinery sector, with the highest return from Joyoung Co., Ltd. (002242.SZ) at 8.63% [6][20] - The highest-performing active quantitative funds for the year had returns ranging from 58% to 119%, primarily focused on the electronics and machinery sectors [11][12] - The lowest-performing active quantitative funds for the year had returns between -11% and 0%, with a concentration in the food and beverage sector [11][13]

Group 1 - The core viewpoint of the report highlights the performance of active quantitative funds, with a median return of 0.17% for the week of November 10-14, 2025, compared to -1.08% for the CSI 300 Index and -0.47% for the Wind All A Index. Year-to-date, the median return for active quantitative funds stands at 27.63%, outperforming the CSI 300 Index at 17.62% and the Wind All A Index at 26.58% [3][8][6] - The report indicates that the top-performing active quantitative funds for the year have returns ranging from 61% to 120%, with a concentration in the electronics and machinery sectors. Conversely, the bottom-performing funds have returns between 1% and 3%, primarily concentrated in the food and beverage sector [11][12][6] - The "Exceeding Expectations Stock Selection Strategy" is constructed based on two indicators: net profit exceeding expectations and analyst expectations. The strategy combines the top 50 stocks based on analyst expectations and the top 50-100 stocks based on year-on-year net profit exceeding expectations to form a final stock pool [5][15][16] Group 2 - The report details that the selected stocks for November 2025 include 30 stocks, with a significant concentration in the machinery sector. The highest return for the month was achieved by Joyoung Co., Ltd. (002242.SZ), with a return of 26.51% in the household appliances sector [21][26] - The performance of the selected strategy for the week of November 10-14, 2025, was 0.75%, exceeding the benchmark index (Wind All A Index) by 1.22%. For the month, the strategy's return was 0.89%, outperforming the benchmark by 0.74%. Year-to-date, the strategy has achieved a return of 47.42%, surpassing the benchmark by 20.84% [17][18][20]

Financial Engineering - The report highlights the tracking of an outperforming stock selection strategy, indicating a focus on stocks with net profit growth exceeding expectations and analyst forecasts [1] Active Quantitative Fund Performance - For the week of October 24 to October 31, 2025, the median return of active quantitative funds was 0.09%, while the CSI 300 Index returned -0.43% and the Wind All A Index returned 0.41% [2] - Year-to-date, the median return of active quantitative funds stands at 28.88%, compared to 17.94% for the CSI 300 Index and 26.38% for the Wind All A Index [2] - Top-performing active quantitative funds this week had returns between 3% and 6%, primarily concentrated in the power equipment sector, while underperforming funds had returns between -2% and -5%, mainly focused on the electronics sector [2] Outperforming Stock Selection Strategy - The outperforming stock selection strategy is constructed based on two indicators: year-on-year net profit exceeding expectations and analyst forecasts exceeding expectations [3] - The strategy utilizes the Wind All A index as the underlying stock pool, combining the top 50 stocks based on analyst forecasts and the top 50 stocks based on net profit growth to form the final stock pool [4] - For the week of October 24 to October 31, 2025, the strategy yielded a return of -0.98%, underperforming the Wind All A Index, which returned 0.41% [4] - In the previous month, the strategy achieved a return of 1.34%, outperforming the Wind All A Index, which returned -0.04% [4] - Year-to-date, the strategy's return is 46.11%, significantly higher than the Wind All A Index's return of 26.38%, resulting in an excess return of 19.73% [4] Summary and Investment Recommendations - The report notes that top-performing active quantitative funds are concentrated in the power equipment sector, while high-return funds this year are focused on the electronics sector [5] - The outperforming stock selection strategy's return for the week was -0.98%, while its year-to-date return is 46.11% [5] - In November 2025, the strategy selected 30 stocks, primarily from the machinery and equipment sector [5] - The highest return this year was from Cangge Mining (000408.SZ), with a return of 116.30%, categorized under non-ferrous metals and energy metals [5]

Group 1 - The core viewpoint of the report highlights the performance of active quantitative funds, with a median return of 0.09% for the week of October 24-31, 2025, compared to a -0.43% return for the CSI 300 Index and a 0.41% return for the Wind All A Index [4][9]. - For the year, the median return of active quantitative funds stands at 28.88%, outperforming the CSI 300 Index at 17.94% and the Wind All A Index at 26.38% [4][9]. - The report indicates that the top-performing active quantitative funds for the week had returns between 3% and 6%, primarily concentrated in the electric equipment sector, while the underperforming funds had returns between -2% and -5%, mainly focused on the electronics sector [4][10]. Group 2 - The report details the performance of the "Super Expectation Stock Selection Strategy," which constructs a stock pool based on net profit exceeding expectations and analyst expectations [6][15]. - For the week of October 24-31, 2025, the strategy yielded a return of -0.98%, underperforming the benchmark Wind All A Index, which returned 0.41%, resulting in an excess return of -1.39% [6][17]. - Year-to-date, the strategy has achieved a return of 46.11%, significantly outperforming the benchmark index's return of 26.38%, leading to an excess return of 19.73% [6][21]. Group 3 - The report identifies that the top 30 selected stocks for November 2025 are concentrated in the machinery and equipment sector, with the highest return for the year being 116.30% from Cangge Mining (000408.SZ), categorized under non-ferrous metals [6][22][27]. - The report emphasizes the importance of the "Post-Earnings-Announcement Drift" phenomenon, which indicates that stock prices continue to drift in the direction of earnings surprises for some time after the announcement [6][15].