来源：中金点睛 主动 VS 指数：震荡期与新规下的双重考验 今年以来，权益市场回暖向好，主动权益基金整体迎来规模抬升，相对指数产品的超额显著。据我们统 计，2025年1-11月，主动（+29.2%）相对指数（+17.0%）实现超过12个百分点的超额回报。不过随着 当下市场进入震荡平台期，后续主动产品是否能够持续跑赢指数仍然是较多投资者非常关心的问题。本 篇我们以主动权益超额收益为主题，从"纵"（时序预测：主动何时跑赢指数）与"横"（截面预测：如何 应用超额信息进行基金优选）两个维度进行深度拆解与投资应用实践。 "纵"：时序维度下如何预测主动权益超额水平？ 我们依据三大逻辑主线，挖掘出6个能够预测主动权益超额水平的指标：1）"投资主线与机构定价权强 弱"逻辑下，主动权益跟踪误差分化度（TE-S）、主动权益持仓集中度（HHI）指标具有长期预测能 力，即主动权益基金持仓集中或观点分歧较少时，其对于相关资产的定价主导权提升，超额收益存在提 升预期；2）"主动放大风险对应更强信心"逻辑下，主动权益跟踪误差环比变化（TE-MDQ）具有短期 预测能力，即当主动权益基金主动放大跟踪误差时，往往意味着基金管理人对于市场未来环境 ...

Quantitative Models and Construction Methods 1. Model Name: 博道远航 (Bodao Yuanhang) - **Model Construction Idea**: The product employs an enhanced model based on the average performance index of偏股混合型基金 (partial equity hybrid funds). The fund manager uses quantitative methods to replicate the underlying stock holdings of the 885001 index and then enhances it further [43][43]. - **Model Construction Process**: - The model first replicates the stock holdings of the 885001 index using quantitative techniques. - Enhancements are applied to the replicated portfolio to achieve superior performance while maintaining a controlled deviation from the benchmark [43][43]. - **Model Evaluation**: The model demonstrates significant and stable excess returns over the 885001 index, with a high information ratio and low relative drawdowns [43][43]. 2. Model Name: 兴业聚利 (Xingye Juli) - **Model Construction Idea**: The product adopts a "process-to-result management" approach, setting偏股基准 (partial equity benchmark) and enhancing it while keeping deviations under control [57][57]. - **Model Construction Process**: - The benchmark is first established based on the偏股基准. - Enhancements are applied to the benchmark portfolio, with a focus on maintaining a relatively low deviation and incorporating moderate timing strategies [57][57]. - **Model Evaluation**: The model achieves stable excess returns over the 885001 index, though its lower average position results in occasional underperformance during strong market uptrends [57][57]. 3. Model Name: 信澳宁隽智选 (Xinao Ningjun Zhixuan) - **Model Construction Idea**: This product belongs to the "Index Plus" series, aiming to achieve higher excess returns with relatively loose deviation constraints. It targets the 885001 index as its benchmark [70][70]. - **Model Construction Process**: - The model allows for a certain degree of deviation from the benchmark to capture higher excess returns. - It incorporates港股 (Hong Kong stocks) allocation, which is particularly relevant in the current environment where active equity funds are increasing their exposure to Hong Kong stocks [70][70]. - **Model Evaluation**: The model demonstrates high and stable excess returns over the 885001 index, though it experiences relatively higher maximum relative drawdowns during sharp market uptrends [70][70]. --- Model Backtesting Results 1. 博道远航 (Bodao Yuanhang) - **Excess Return**: 12.65% over the 885001 index [43][43] - **Information Ratio (IR)**: 1.46 [43][43] - **Maximum Relative Drawdown**: -3.41% [43][43] 2. 兴业聚利 (Xingye Juli) - **Excess Return**: 9.24% over the 885001 index [57][57] - **Information Ratio (IR)**: 0.95 [57][57] - **Maximum Relative Drawdown**: -4.84% [57][57] 3. 信澳宁隽智选 (Xinao Ningjun Zhixuan) - **Excess Return**: 11.26% over the 885001 index [70][70] - **Information Ratio (IR)**: 1.07 [70][70] - **Maximum Relative Drawdown**: -7.29% [70][70]