丨证券研究报告丨 金融工程丨专题报告 [Table_Title] 市场回调，央国企红利组合占优 报告要点 [Table_Summary] 本周 A 股市场回调，大盘相对稳健，微盘回撤较大，中证红利指数韧性较好；聚焦红利内细分 板块来看，红利增长和红利低波延续上周优势。从市场表现来看，本周 A 股通讯业务、必选消 费和金融板块韧性更好，而工业、原材料和医疗板块表现相对较弱；聚焦电子板块内部来看， 光学元件相对占优，跌幅小于其他子赛道。策略表现上，本周央国企高分红 30 组合跑赢中证 红利全收益，电子增强组合均未能战胜电子全收益。 分析师及联系人 [Table_Author] 冷旭晟 覃川桃 SAC：S0490524080001 SAC：S0490513030001 SFC：BUT353 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 主动量化产品周报（十六） cjzqdt11111 [Table_Title2] 市场回调，央国企红利组合占优 [Table_Summary2] 自 2023 年 7 月以来，长江金工团队先后推出红利精选策略、行业高胜率策略等多款主动量 ...

证券研究报告 | 2025年11月22日 优秀基金业绩增强组合： 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 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-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469 ...

证券研究报告 | 2025年11月22日 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469）。 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 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-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，成长稳健组合 ...

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-5.06%，相对偏股混合型基金指数超额收 益-0.07%。本年，优秀基金业绩增强组合绝对收益18.71%，相对偏股混合型基金 指数超额收益-6.33%。 今年以来，优秀基金业绩增强组合在主动股基中排名 59.18%分位点（2053/3469）。 本周， 超预期精选组合 绝对收益-5.67%，相对偏股混合型基金指数超额收 益-0.68%。本年，超预期精选组合绝对收益33.39%，相对偏股混合型基金指数超 额收益8.35%。 今年以来，超预期精选组合在主动股基中排名26.72%分位点 （927/3469）。 本周， 券商金股业绩增强组合 绝对收益-4.15%，相对偏股混合型基金指数超额收 益0.85%。本年，券商金股业绩增强组合绝对收益27.25%，相对偏股混合型基金 指数超额收益2.21%。 今年以来，券商金股业绩增强组合在主动股基中排名 38.69%分位点（1342/3469）。 本 周 ， 成 长 稳 健 组 合 绝 对 收 益 -7.33% ， 相 对 偏 股 混 合 型 基 金 指 数 超 额 收 益-2.33%。本年，成长稳健组 ...

- The report highlights the launch of multiple active quantitative strategies since July 2023, including Dividend Selection Strategy and High Winning Rate Industry Strategy, aimed at tracking market trends and selecting industry-specific stocks [6][14][15] - Active quantitative strategies follow a top-down stock selection logic, leveraging industry and thematic insights to refine factor selection from a large fundamental factor pool, enabling precise identification of potential stocks within specific sectors [14] - The Dividend Series includes two products: "Central SOE High Dividend 30 Portfolio" and "Balanced Growth Dividend 50 Portfolio," focusing on stable and growth-oriented dividend strategies [15] - The Electronics Series includes two products: "Electronics Balanced Allocation Enhanced Portfolio" and "Electronics Sector Preferred Enhanced Portfolio," targeting mature sub-sector leaders within the electronics industry [15] - Weekly performance tracking shows that the Electronics Balanced Allocation Enhanced Portfolio and Electronics Sector Preferred Enhanced Portfolio achieved positive excess returns of approximately 1.86% and 1.62%, respectively, outperforming the benchmark [7][25][32] - The Dividend Series underperformed the benchmark this week, with the Central SOE High Dividend 30 Portfolio and Balanced Growth Dividend 50 Portfolio failing to exceed the returns of the CSI Dividend Total Return Index [7][16][22] - The CSI Dividend Index achieved a weekly return of 0.25%, while sub-indices like CSI Dividend Growth and CSI Dividend Low Volatility outperformed with average weekly returns of approximately 1.31% and 1.08%, respectively [7][16][19] - The Electronics Series portfolios ranked in the top 26%-28% among active technology-themed funds based on weekly returns [32] - The report emphasizes the differentiation of active quantitative strategies from traditional ones, highlighting their ability to integrate thematic and industry logic for enhanced stock selection and strategy validation [14]

证券研究报告 | 2025年11月15日 主动量化策略周报 微盘红利领航，成长稳健组合年内相对股基指数超额 22.76% 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-1.80%，相对偏股混合型基金指数超 额收益-1.09%。本年，优秀基金业绩增强组合绝对收益 25.03%，相对偏股 混合型基金指数超额收益-6.58%。今年以来，优秀基金业绩增强组合在主动 股基中排名 58.46%分位点（2028/3469）。 本周，超预期精选组合绝对收益-2.36%，相对偏股混合型基金指数超额收益 -1.64%。本年，超预期精选组合绝对收益 41.40%，相对偏股混合型基金指 数超额收益 9.79%。今年以来，超预期精选组合在主动股基中排名 27.15% 分位点（942/3469）。 以研报标题超预期与分析师全线上调净利润为条件筛选超预期事件股票池， 接着对超预期股票池进行基本面和技术面两个维度的精选，挑选出同时具备 基本面支撑和技术面共振的超预期股票，构建超预期精选股票组合。 券商金股业绩增强组合： 以券商金股股票池为选股空间和约束基准，采用组合优化的方式控制组合与 券商金股 ...

Core Insights - The report highlights that the A-share market experienced fluctuations, with the micro盘 leading gains and the 科创综指 undergoing a pullback. The 中证红利指数 performed well, indicating a preference for defensive strategies in the current market environment [1][6][15] - The report emphasizes the strong performance of the semiconductor distribution sector within the electronic segment, which saw a weekly increase of over 14%, significantly outperforming other sub-sectors [6][27][32] - The 红利增强组合 underperformed compared to the 中证红利全收益, while the electronic sector's 优选增强组合 achieved positive excess returns of approximately 0.46% [6][32][24] Strategy Tracking Dividend Series - The A-share market showed a mixed performance, with the 万得微盘 leading with a weekly return of approximately 3.16%, while the 中证红利指数 recorded a weekly return of about 2.23%. The 红利价值 and 红利低波 segments outperformed, with average weekly increases of approximately 2.77% and 2.55% respectively [6][15][21] - The report notes that both the 央国企高分红 30组合 and 攻守兼备红利 50组合 failed to outperform the 中证红利全收益 this week [6][24][15] Electronic Series - The report indicates that the electronic sector's performance was diverse, with energy, public utilities, and industrial sectors recovering, achieving relative excess returns of over 1.6%. In contrast, the medical sector showed weakness with notable pullbacks [6][27][28] - The electronic sector's 优选增强组合 achieved a weekly excess return of approximately 0.46%, positioning it within the top 38% of active technology-themed fund products year-to-date [32][24][27]

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that various combinations have shown different levels of absolute and relative returns against benchmarks [1][12][13]. Summary by Sections Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median returns of actively managed equity funds, with a year-to-date absolute return of 27.32% and a relative underperformance of -5.23% against the mixed equity fund index [1][22]. - The portfolio's performance for the week was -1.15%, with a relative underperformance of -1.21% against the mixed equity fund index [1][22]. Expected Selection Portfolio - The expected selection portfolio achieved an absolute return of 44.80% year-to-date, outperforming the mixed equity fund index by 12.25% [1][30]. - For the week, the portfolio's absolute return was 0.42%, with a relative outperformance of 0.36% against the mixed equity fund index [1][30]. Broker's Golden Stock Performance Enhancement Portfolio - This portfolio has a year-to-date absolute return of 35.91%, with a relative outperformance of 3.35% against the mixed equity fund index [1][38]. - The weekly performance showed an absolute return of 0.62% and a relative outperformance of 0.55% against the mixed equity fund index [1][38]. Growth and Stability Portfolio - The growth and stability portfolio has a year-to-date absolute return of 53.93%, outperforming the mixed equity fund index by 21.38% [1][46]. - For the week, the portfolio's absolute return was -1.02%, with a relative underperformance of -1.08% against the mixed equity fund index [1][46]. Market Overview - The median stock return for the week was 0.58%, with 55% of stocks rising and 45% falling; for the year, the median stock return was 25.48%, with 85% of stocks rising and 15% falling [2][50]. - The report indicates that the active equity fund median return for the year was 30.19%, with 98% of funds rising [2][50].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.15% this week and a year-to-date return of 27.32%, underperforming the mixed equity fund index by 1.21% and 5.23% respectively [1][4][8]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.42% this week and 44.80% year-to-date, outperforming the mixed equity fund index by 0.36% and 12.25% respectively [1][4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.62% this week and 35.91% year-to-date, with excess returns of 0.55% and 3.35% compared to the mixed equity fund index [1][4][19]. - The "Growth and Stability Portfolio" had an absolute return of -1.02% this week and 53.93% year-to-date, underperforming the mixed equity fund index by 1.08% and outperforming it by 21.38% respectively [1][4][28]. 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 [5][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 [10][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the performance of the broader equity fund index [14][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation approach to identify growth stocks that are likely to release excess returns around earnings announcements, using a multi-factor scoring system for stock selection [23][45].

- The "Dividend 50 Combination" strategy is designed to outperform the CSI Dividend Total Return Index by focusing on a balanced approach between growth and stability. The strategy includes stocks with high dividend yields and stable financial performance, aiming to capture excess returns in volatile markets[6][13][20] - The "Electronic Sector Preferred Enhanced Combination" strategy targets leading companies in mature sub-sectors within the electronic industry. It emphasizes stocks with strong fundamentals and growth potential, aiming to achieve positive excess returns relative to technology-themed funds[13][23][30] - The "Dividend 50 Combination" strategy achieved a weekly excess return of approximately 0.85% relative to the CSI Dividend Total Return Index, and a cumulative excess return of 7.35% since the beginning of 2025, placing it in the top 32% of all dividend-related fund products[20][22] - The "Electronic Sector Preferred Enhanced Combination" strategy delivered a weekly excess return of approximately 0.42%, outperforming the median return of active technology-themed funds during the same period[30][31]