点击小程序查看报告原文 Abstract 摘要 策略配置1.0模型样本外跑 赢偏股基 金指数基准5个百分点 我们在《 基本面量化系列（21）：低频策略的超额密码，多策略配置思路 》报告中，首次尝试构建了多策略轮动模型（策略配置1.0模型），可提供月度 的策略配置建议。该模型2025年（样本外） 总体跑赢偏股混合型基金指数基准，超额5个百分点左右。 但2025年6月份以来相对波动较大，超额收益表现 弱于单一的景气成长策略和小盘掘金策略。虽然在强趋势的市场环境中，策略轮动配置的风险较大，但也一定程度说明模型还有进一步提升的空间。 本篇报告对策略核心风格因子的择时进行了四个层面的优化： 1）丰富风格择时指标体系，从估值、资金流、波动率、组合分化度、趋势动量等维度挖掘 核心风格的关键影响因素；2）提升观察指标频率至日度，以提高模型的及时性；3）增加对择时指标有效性的稳定性测试，以筛选出长期有效的风格择时 指标；4）允许不同风格的择时指标存在差异，结合风格收益逻辑对所筛选的指标进行把关。 哪些因素影响各个风格的未来收益表现？ 核心结论： 1） 市值（小盘）风格应关注资金流入的意愿， 追随资金主动流向进行配置，我们统计发 ...

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2.93%，相对偏股混合型基金指数超额收 益0.96%。本年，优秀基金业绩增强组合绝对收益10.94%，相对偏股混合型基金 指数超额收益2.50%。 今年以来，优秀基金业绩增强组合在主动股基中排名 33.59%分位点（1250/3721）。 本周， 超预期精选组合 绝对收益1.76%，相对偏股混合型基金指数超额收 益-0.21%。本年，超预期精选组合绝对收益14.92%，相对偏股混合型基金指数超 额收益6.48%。 今年以来，超预期精选组合在主动股基中排名17.31%分位点 （644/3721）。 本周， 券商金股业绩增强组合 绝对收益2.72%，相对偏股混合型基金指数超额收 益0.75%。本年，券商金股业绩增强组合绝对收益14.06%，相对偏股混合型基金 指数超额收益5.62%。 今年以来，券商金股业绩增强组合在主动股基中排名 19.91%分位点（741/3721）。 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 1.93%。本年，成长稳健组合绝对收益18.33%，相对偏股混合型基金指数超额收 益 9.90% ...

Group 1 - The report highlights the performance of various active quantitative strategies, with the "Excellent Fund Performance Enhancement Portfolio" achieving an absolute return of 10.94% year-to-date, ranking in the 33.59th percentile among active equity funds [1][12][23] - The "Super Expected Selection Portfolio" has a year-to-date absolute return of 14.92%, ranking in the 17.31st percentile among active equity funds [1][12][31] - The "Brokerage Golden Stock Performance Enhancement Portfolio" has a year-to-date absolute return of 14.06%, ranking in the 19.91st percentile among active equity funds [1][12][38] - The "Growth and Stability Portfolio" achieved a year-to-date absolute return of 18.33%, ranking in the 8.90th percentile among active equity funds [1][12][46] Group 2 - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against the median return of active equity funds, utilizing a quantitative approach to enhance performance [3][17][51] - The "Super Expected Selection Portfolio" is built by screening stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [4][24][57] - The "Brokerage Golden Stock Performance Enhancement Portfolio" is designed to optimize stock selection from a pool of recommended stocks by brokerages, aiming to outperform the median return of active equity funds [5][32][62] - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture excess returns [6][39][67]

Core Insights - The report highlights the performance of various active quantitative strategies, with a focus on the "Excellent Fund Performance Enhancement Portfolio," "Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [12][13][16] Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of actively managed equity funds, achieving an absolute return of 7.77% year-to-date, ranking in the 34.32 percentile among 3,721 active equity funds [21][17] - The portfolio's performance for the week was an absolute return of 1.50%, with a relative underperformance of -0.02% compared to the mixed equity fund index [21][16] Expected Selection Portfolio - The Expected Selection Portfolio achieved an absolute return of 12.92% year-to-date, ranking in the 10.91 percentile among active equity funds [29][26] - For the week, the portfolio's absolute return was 2.10%, with a relative outperformance of 0.58% against the mixed equity fund index [29][16] Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio has delivered an absolute return of 11.02% year-to-date, ranking in the 17.28 percentile among active equity funds [34][32] - The weekly performance showed an absolute return of 1.90%, with a relative outperformance of 0.38% compared to the mixed equity fund index [34][16] Growth Stability Portfolio - The Growth Stability Portfolio achieved an absolute return of 13.89% year-to-date, ranking in the 8.65 percentile among active equity funds [38][36] - For the week, the portfolio's absolute return was 2.72%, with a relative outperformance of 1.20% against the mixed equity fund index [38][16] Market Overview - The median stock return for the week was -0.16%, with 48% of stocks rising and 52% falling; in contrast, the median return for active equity funds was 1.35%, with 76% of funds rising [42][39] - Year-to-date, the median stock return was 4.75%, with 71% of stocks rising, while the median return for active equity funds was 5.61%, with 91% of funds rising [42][39]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, aiming to outperform the median returns of active equity funds, with a focus on four specific 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 had an absolute return of -2.39% this week and a year-to-date return of 6.17%, outperforming the mixed equity fund index by 0.00% and 1.42% respectively [1][10]. - The Exceeding Expectations Selection strategy reported an absolute return of -1.29% this week and a year-to-date return of 10.59%, with an outperformance of 1.10% and 5.84% against the mixed equity fund index [1][18]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of -2.27% this week and a year-to-date return of 8.94%, outperforming the mixed equity fund index by 0.12% and 4.19% respectively [1][19]. - The Growth Stability Combination strategy reported an absolute return of -1.79% this week and a year-to-date return of 10.88%, with an outperformance of 0.60% and 6.12% against the mixed equity fund index [1][27]. Group 2: Strategy Details - The Excellent Fund Performance Enhancement strategy benchmarks against the median returns of active equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [5][32]. - The Exceeding Expectations Selection strategy selects stocks based on exceeding expectations events and analyst profit upgrades, focusing on both fundamental and technical criteria to build a portfolio [12][39]. - The Broker Golden Stocks Performance Enhancement strategy uses a stock pool from broker recommendations, optimizing the portfolio to minimize deviations from the stock pool while aiming to outperform the ordinary equity fund index [15][44]. - The Growth Stability Combination strategy employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings announcement dates and using multi-factor scoring to select high-quality stocks [21][47].

Core Insights - The report highlights the performance of various active quantitative strategies, indicating that all four major active quantitative portfolios outperformed the stock index this week, despite a general market downturn [1][12][13]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement Portfolio had an absolute return of -2.39% this week and a year-to-date return of 6.17%, ranking in the 32.03 percentile among active equity funds [1][21]. - The Exceeding Expectations Selected Portfolio reported an absolute return of -1.29% this week and a year-to-date return of 10.59%, ranking in the 9.41 percentile among active equity funds [1][29]. - The Broker's Golden Stock Performance Enhancement Portfolio had an absolute return of -2.27% this week and a year-to-date return of 8.94%, ranking in the 15.59 percentile among active equity funds [1][34]. - The Growth and Stability Portfolio recorded an absolute return of -1.79% this week and a year-to-date return of 10.88%, ranking in the 8.73 percentile among active equity funds [1][38]. Group 2: Strategy Summaries - The Excellent Fund Performance Enhancement Portfolio aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][43]. - The Exceeding Expectations Selected Portfolio is constructed by filtering stocks based on exceeding expectations and analyst profit upgrades, focusing on both fundamental and technical strengths [4][49]. - The Broker's Golden Stock Performance Enhancement Portfolio is designed to optimize stock selection from a pool of broker-recommended stocks, aiming to maintain alignment with the performance of active equity funds [5][54]. - The Growth and Stability Portfolio employs a time-series evaluation framework to identify growth stocks that are likely to yield excess returns, particularly around earnings announcements [6][59].

证券研究报告 | 2026年01月31日 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-0.66%，相对偏股混合型基金指数超 额收益 0.10%。本年，优秀基金业绩增强组合绝对收益 8.77%，相对偏股混 合型基金指数超额收益 1.45%。今年以来，优秀基金业绩增强组合在主动股 基中排名 32.95%分位点（1226/3721）。 本周，超预期精选组合绝对收益-1.26%，相对偏股混合型基金指数超额收益 -0.50%。本年，超预期精选组合绝对收益 12.03%，相对偏股混合型基金指 数超额收益 4.72%。今年以来，超预期精选组合在主动股基中排名 14.65% 分位点（545/3721）。 本周，券商金股业绩增强组合绝对收益 1.29%，相对偏股混合型基金指数超 额收益 2.05%。本年，券商金股业绩增强组合绝对收益 11.47%，相对偏股 混合型基金指数超额收益 4.15%。今年以来，券商金股业绩增强组合在主动 股基中排名 16.69%分位点（621/3721）。 本周，成长稳健组合绝对收益-1.73%，相对偏股混合型基金指数超额收益 -0.97%。本年，成长稳健组合绝对收益 12.8 ...

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies, including "Excellent Fund Performance Enhancement Portfolio," "Super Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth and Stability Portfolio," with the aim of outperforming the median of active equity funds [2][3][10]. Group 2 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median return of active equity funds, utilizing a quantitative approach to enhance performance based on the holdings of outstanding funds [7][33]. - As of this week, the portfolio achieved an absolute return of -0.66% and a relative excess return of 0.10% against the mixed equity fund index [10]. - Year-to-date, the portfolio has an absolute return of 8.77% and ranks in the 32.95 percentile among active equity funds [10][36]. Super Expected Selection Portfolio - This portfolio selects stocks based on super expected events and analyst profit upgrades, focusing on both fundamental and technical criteria to build a selection of stocks [12][40]. - For the week, the portfolio recorded an absolute return of -1.26% and a relative excess return of -0.50% against the mixed equity fund index [19]. - Year-to-date, it has achieved an absolute return of 12.03% and ranks in the 14.65 percentile among active equity funds [19][41]. Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks from the brokerage golden stock pool, aiming to optimize performance while controlling deviations from the pool [15][45]. - This week, the portfolio achieved an absolute return of 1.29% and a relative excess return of 2.05% against the mixed equity fund index [20]. - Year-to-date, it has an absolute return of 11.47% and ranks in the 16.69 percentile among active equity funds [20][46]. Growth and Stability Portfolio - This portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates to capture excess returns [24][48]. - For the week, the portfolio recorded an absolute return of -1.73% and a relative excess return of -0.97% against the mixed equity fund index [28]. - Year-to-date, it has achieved an absolute return of 12.89% and ranks in the 11.99 percentile among active equity funds [28][51].

证券研究报告 | 2026年01月24日 主动量化策略周报 微盘股领涨，四大主动量化组合本周均战胜股基指数 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 1.95%，相对偏股混合型基金指数超 额收益 0.30%。本年，优秀基金业绩增强组合绝对收益 9.49%，相对偏股混 合型基金指数超额收益 1.35%。今年以来，优秀基金业绩增强组合在主动股 基中排名 35.77%分位点（1331/3721）。 本周，超预期精选组合绝对收益 4.65%，相对偏股混合型基金指数超额收益 3.00%。本年，超预期精选组合绝对收益 13.46%，相对偏股混合型基金指 数超额收益 5.33%。今年以来，超预期精选组合在主动股基中排名 14.97% 分位点（557/3721）。 本周，券商金股业绩增强组合绝对收益 2.96%，相对偏股混合型基金指数超 额收益 1.31%。本年，券商金股业绩增强组合绝对收益 10.04%，相对偏股 混合型基金指数超额收益 1.91%。今年以来，券商金股业绩增强组合在主动 股基中排名 31.77%分位点（1182/3721）。 本周，成长稳健组合绝对收益 5. ...

| 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1.95%，相对偏股混合型基金指数超额收 | | 益0.30%。本年，优秀基金业绩增强组合绝对收益9.49%，相对偏股混合型基金指 | | 数超额收益1.35%。 今年以来，优秀基金业绩增强组合在主动股基中排名35.77% | | 分位点（1331/3721）。 | | 本周， 超预期精选组合 绝对收益4.65%，相对偏股混合型基金指数超额收益 | | 3.00%。本年，超预期精选组合绝对收益13.46%，相对偏股混合型基金指数超额 | | 收益5.33%。 今年以来，超预期精选组合在主动股基中排名14.97%分位点 | | （557/3721）。 | | 本周， 券商金股业绩增强组合 绝对收益2.96%，相对偏股混合型基金指数超额收 | | 益1.31%。本年，券商金股业绩增强组合绝对收益10.04%，相对偏股混合型基金 | | 指数超额收益1.91%。 今年以来，券商金股业绩增强组合在主动股基中排名 | | 31.77%分位点（1182/3721）。 | | 绝对收益5.41%，相对 ...