- The report tracks the performance of Guosen's active quantitative strategies, which include "Excellent Fund Performance Enhancement Portfolio," "Outperformance Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth and Stability Portfolio" [1][2][12] Quantitative Models and Construction Methods 1. **Model Name: Excellent Fund Performance Enhancement Portfolio** - **Construction Idea**: The model aims to outperform the median of active equity funds by leveraging the holdings of excellent funds and enhancing them using quantitative methods [3][16] - **Construction Process**: - The model benchmarks against the median of active equity funds, represented by the mixed equity fund index (885001.WI) [16] - It selects funds based on performance layers and neutralizes the return factors to avoid style concentration [48] - The selected fund holdings are optimized to control deviations in individual stocks, industries, and styles [49] - **Evaluation**: The model has shown good stability and can consistently outperform the median of active equity funds [49] 2. **Model Name: Outperformance Selection Portfolio** - **Construction Idea**: The model selects stocks with significant fundamental and technical support from a pool of stocks with unexpected positive events [4][22] - **Construction Process**: - Stocks are selected based on research report titles indicating unexpected positive events and analysts' upward revisions of net profits [4] - The selected stocks are further filtered based on fundamental and technical dimensions to construct the portfolio [54] - **Evaluation**: The model has demonstrated the ability to capture significant excess returns around unexpected positive events [54] 3. **Model Name: Brokerage Golden Stock Performance Enhancement Portfolio** - **Construction Idea**: The model uses the brokerage golden stock pool as the selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks and styles [5][30] - **Construction Process**: - The model benchmarks against the mixed equity fund index and uses the brokerage golden stock pool for stock selection [30] - The portfolio is optimized to control deviations in individual stocks, industries, and styles [59] - **Evaluation**: The model can effectively track the performance of the mixed equity fund index and achieve stable outperformance [59] 4. **Model Name: Growth and Stability Portfolio** - **Construction Idea**: The model constructs a two-dimensional evaluation system for growth stocks using a "time-series first, cross-section later" approach [6][35] - **Construction Process**: - Stocks are selected based on the proximity to the scheduled financial report disclosure date and are further filtered using multi-factor scoring [6] - Mechanisms such as weak balance, transition, buffer, and risk avoidance are introduced to reduce turnover and avoid risks [64] - **Evaluation**: The model efficiently captures the excess returns of growth stocks during the golden period of excess return release [64] Model Backtest Results 1. **Excellent Fund Performance Enhancement Portfolio** - Weekly absolute return: -0.25%, annual absolute return: 7.35%, annual excess return relative to mixed equity fund index: 6.77%, ranking in active equity funds: 13.33% percentile (496/3721) [1][21] 2. **Outperformance Selection Portfolio** - Weekly absolute return: 0.69%, annual absolute return: 7.60%, annual excess return relative to mixed equity fund index: 7.02%, ranking in active equity funds: 12.87% percentile (479/3721) [2][29] 3. **Brokerage Golden Stock Performance Enhancement Portfolio** - Weekly absolute return: 0.39%, annual absolute return: 8.41%, annual excess return relative to mixed equity fund index: 7.83%, ranking in active equity funds: 10.86% percentile (404/3721) [2][34] 4. **Growth and Stability Portfolio** - Weekly absolute return: 0.94%, annual absolute return: 13.41%, annual excess return relative to mixed equity fund index: 12.83%, ranking in active equity funds: 3.87% percentile (144/3721) [2][42]

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Construction Idea**: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund holdings for optimal selection [3][46][47] **Construction Process**: 1. Benchmark against active equity fund median returns, represented by the biased equity hybrid fund index (885001.WI) [16][46] 2. Select funds using performance-layered neutralization of return factors to mitigate style concentration risks [46] 3. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to selected fund holdings [47] **Evaluation**: Demonstrates stable performance, consistently outperforming active equity fund medians [47] - **Model Name**: Outperformance Selection Portfolio **Construction Idea**: Focus on stocks with significant outperformance events, combining fundamental and technical analysis for selection [4][52] **Construction Process**: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [4][52] 2. Conduct dual-layer screening on fundamentals and technicals to select stocks with both fundamental support and technical resonance [4][52] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually, showcasing strong performance [52] - **Model Name**: Brokerage Golden Stock Performance Enhancement Portfolio **Construction Idea**: Optimize the brokerage golden stock pool to control deviations in individual stocks, styles, and sectors, aiming to outperform active equity fund medians [5][57] **Construction Process**: 1. Use the brokerage golden stock pool as the stock selection space and constraint benchmark [5][57] 2. Optimize portfolio to minimize deviations in individual stocks, styles, and sectors relative to the golden stock pool [5][57] **Evaluation**: Demonstrates stable performance, consistently ranking in the top 30% of active equity funds annually [57] - **Model Name**: Growth Stability Portfolio **Construction Idea**: Prioritize stocks close to financial report release dates, leveraging time-series and cross-sectional evaluations for growth stock selection [6][62] **Construction Process**: 1. Filter growth stocks based on research report titles indicating outperformance and pre-announced earnings growth [6][62] 2. Segment stocks by proximity to financial report release dates, prioritizing closer dates [6][62] 3. Apply multi-factor scoring to select high-quality stocks when sample size is large [6][62] 4. Introduce mechanisms like weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [62] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually, showcasing strong performance [62] --- Model Backtesting Results - **Excellent Fund Performance Enhancement Portfolio**: - Annualized return: 21.40% - Excess return over biased equity hybrid fund index: 9.85% - Consistently ranks in the top 30% of active equity funds annually [48][51] - **Outperformance Selection Portfolio**: - Annualized return: 31.11% - Excess return over biased equity hybrid fund index: 23.98% - Consistently ranks in the top 30% of active equity funds annually [53][56] - **Brokerage Golden Stock Performance Enhancement Portfolio**: - Annualized return: 21.71% - Excess return over biased equity hybrid fund index: 14.18% - Consistently ranks in the top 30% of active equity funds annually [58][61] - **Growth Stability Portfolio**: - Annualized return: 36.34% - Excess return over biased equity hybrid fund index: 26.33% - Consistently ranks in the top 30% of active equity funds annually [63][66]

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 achieved an absolute return of -0.25% this week and a year-to-date return of 7.35%, outperforming the mixed equity fund index by 0.08% and 6.77% respectively [10][34]. - The Exceeding Expectations Selection strategy recorded an absolute return of 0.69% this week and 7.60% year-to-date, with an outperformance of 1.01% and 7.02% against the mixed equity fund index [18][34]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of 0.39% this week and 8.41% year-to-date, outperforming the mixed equity fund index by 0.71% and 7.83% respectively [19][34]. - The Growth Stability Combination strategy achieved an absolute return of 0.94% this week and 13.41% year-to-date, with an outperformance of 1.26% and 12.83% against the mixed equity fund index [27][34]. 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][31]. - The Exceeding Expectations Selection strategy filters stocks based on exceeding expectations and analyst profit upgrades, selecting stocks with both fundamental support and technical resonance [12][39]. - The Broker Golden Stocks Performance Enhancement strategy uses a stock pool from broker recommendations, optimizing the combination to minimize deviations from the stock pool while aiming for superior performance [15][44]. - The Growth Stability Combination strategy 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 [23][47].

Quantitative Models and Construction Methods 1. Model Name: Excellent Fund Performance Enhancement Portfolio - **Model Construction Idea**: Transition from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best"[4][19][49] - **Model Construction Process**: - Benchmark against the median return of active equity funds, represented by the biased equity hybrid fund index (885001.WI)[19][49] - Use performance stratification to select superior funds, neutralizing return-related factors to avoid style concentration[49] - Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings[50] - Incorporate transaction costs and fund positions (90% in this period) into return calculations[19][49] - **Model Evaluation**: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds[50] 2. Model Name: Outperformance Stock Selection Portfolio - **Model Construction Idea**: Focus on stocks with significant outperformance events, leveraging both fundamental and technical dimensions for selection[5][55] - **Model Construction Process**: - Screen stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit[5][55] - Select stocks with both fundamental support and technical resonance from the outperformance stock pool[5][55] - Construct the portfolio by combining these selected stocks[55] - **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, showcasing strong performance[56] 3. Model Name: Brokerage Golden Stock Performance Enhancement Portfolio - **Model Construction Idea**: Use the brokerage golden stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks and styles[6][33][60] - **Model Construction Process**: - Benchmark against the biased equity hybrid fund index[33][60] - Optimize the portfolio to further refine the brokerage golden stock pool, aiming for stable outperformance of the benchmark[60] - Incorporate transaction costs and fund positions (90% in this period) into return calculations[33][60] - **Model Evaluation**: Demonstrates strong performance, consistently ranking in the top 30% of active equity funds annually[61] 4. Model Name: Growth and Stability Portfolio - **Model Construction Idea**: Focus on the timing of excess returns for growth stocks, using a "time-series first, cross-section later" approach to construct a two-dimensional evaluation system[7][38][65] - **Model Construction Process**: - Introduce an "excess return release map" to identify the strongest phases of excess return before and after positive events, such as earnings pre-announcements[65] - Prioritize stocks closer to the formal financial report disclosure date, and use multi-factor scoring to select high-quality stocks when the sample size is large[7][65] - Incorporate mechanisms like weak balance, transition, buffering, and risk avoidance to reduce turnover and manage risks[65] - **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with strong performance in capturing excess returns[66] --- Model Backtesting Results 1. Excellent Fund Performance Enhancement Portfolio - Annualized return (2012-2025): 21.40%[51] - Annualized excess return over biased equity hybrid fund index: 9.85%[51] - Consistently ranks in the top 30% of active equity funds annually[51] 2. Outperformance Stock Selection Portfolio - Annualized return (2010-2025): 31.11%[56] - Annualized excess return over biased equity hybrid fund index: 23.98%[56] - Consistently ranks in the top 30% of active equity funds annually[56] 3. Brokerage Golden Stock Performance Enhancement Portfolio - Annualized return (2018-2025): 21.71%[61] - Annualized excess return over biased equity hybrid fund index: 14.18%[61] - Consistently ranks in the top 30% of active equity funds annually[61] 4. Growth and Stability Portfolio - Annualized return (2012-2025): 36.34%[66] - Annualized excess return over biased equity hybrid fund index: 26.33%[66] - Consistently ranks in the top 30% of active equity funds annually[66]

Group 1 - The report highlights that the four active quantitative strategies have performed well, ranking in the top 25% of active equity funds this year [1][12][13] - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 9.06% this year, outperforming the mixed equity fund index by 4.53% [1][25] - The "Super Expected Selection Portfolio" recorded an absolute return of 11.91% this year, with a relative outperformance of 7.38% against the mixed equity fund index [1][33] Group 2 - The "Brokerage Golden Stock Performance Enhancement Portfolio" has an absolute return of 11.08% this year, outperforming the mixed equity fund index by 6.55% [1][38] - The "Growth Stability Portfolio" achieved an absolute return of 15.54% this year, with a relative outperformance of 11.01% against the mixed equity fund index [1][45] - The report indicates that the median return for stocks this year is 3.94%, with 62% of stocks rising and 38% falling [2][51] Group 3 - The "Excellent Fund Performance Enhancement Portfolio" is constructed by benchmarking against active equity funds, utilizing quantitative methods to enhance performance [3][18] - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [4][58] - The "Brokerage Golden Stock Performance Enhancement Portfolio" is based on a selection of stocks from the brokerage's top picks, aiming to optimize performance against the mixed equity fund index [5][63] Group 4 - The "Growth Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to capture potential excess returns [6][68] - The report emphasizes that the active quantitative strategies aim to outperform the median of active equity funds, with a focus on stability and consistent performance [12][54]

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 main strategies: Excellent Fund Performance Enhancement, Exceeding Expectations Selection, Broker Golden Stocks Performance Enhancement, and Growth Stability Combination [2][3]. Group 1: Excellent Fund Performance Enhancement - The Excellent Fund Performance Enhancement strategy aims to benchmark against the median returns of active equity funds, achieving an absolute return of -0.16% for the week and 9.06% year-to-date, with a relative excess return of 0.77% and 4.53% respectively [12][48]. - This strategy ranks in the 23.25 percentile among active equity funds, indicating a strong performance relative to peers [12][48]. Group 2: Exceeding Expectations Selection - The Exceeding Expectations Selection strategy focuses on stocks that have exceeded earnings expectations, achieving an absolute return of -0.17% for the week and 11.91% year-to-date, with a relative excess return of 0.75% and 7.38% respectively [21][53]. - This strategy ranks in the 12.42 percentile among active equity funds, showcasing its effectiveness in selecting high-performing stocks [21][53]. Group 3: Broker Golden Stocks Performance Enhancement - The Broker Golden Stocks Performance Enhancement strategy utilizes a stock pool from broker recommendations, achieving an absolute return of -1.18% for the week and 11.08% year-to-date, with a relative excess return of -0.26% and 6.55% respectively [34][58]. - This strategy ranks in the 14.59 percentile among active equity funds, reflecting its competitive positioning [34][58]. Group 4: Growth Stability Combination - The Growth Stability Combination strategy aims to capture excess returns from growth stocks, achieving an absolute return of -1.06% for the week and 15.54% year-to-date, with a relative excess return of -0.14% and 11.01% respectively [43][65]. - This strategy ranks in the 6.21 percentile among active equity funds, indicating a strong performance in the growth segment [43][65].

Core Insights - The report highlights that the active quantitative strategies have outperformed the stock-based index across four major combinations, with a focus on absolute and relative returns [1][12][13]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement Combination achieved an absolute return of -1.55% this week and a year-to-date return of 9.22%, outperforming the stock-based mixed fund index by 1.16% and 3.72% respectively [1][21]. - The Exceeding Expectations Selected Combination recorded an absolute return of -2.47% this week and a year-to-date return of 12.09%, with a relative outperformance of 0.24% and 6.59% against the stock-based mixed fund index [1][28]. - The Broker Golden Stock Performance Enhancement Combination had an absolute return of -1.45% this week and a year-to-date return of 12.40%, outperforming the stock-based mixed fund index by 1.25% and 6.90% respectively [1][33]. - The Growth Stability Combination reported an absolute return of -1.31% this week and a year-to-date return of 16.78%, with a relative outperformance of 1.39% and 11.28% against the stock-based mixed fund index [1][41]. Group 2: Strategy Descriptions - The Excellent Fund Performance Enhancement Combination is constructed by benchmarking against active stock funds rather than broad indices, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [3][17]. - The Exceeding Expectations Selected Combination focuses on stocks that meet specific criteria for exceeding expectations, selecting stocks based on both fundamental and technical analysis to create a robust portfolio [4][22]. - The Broker Golden Stock Performance Enhancement Combination is built using a stock pool from broker recommendations, optimizing the combination to minimize deviations from the stock pool while aiming for superior performance [5][29]. - The Growth Stability Combination 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 [6][34].

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 Stock Performance Enhancement, and Growth Stability Combination [2][3]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy had an absolute return of -1.55% this week and a year-to-date return of 9.22%, outperforming the mixed equity fund index by 1.16% and 3.72% respectively [10][34]. - The Exceeding Expectations Selection strategy reported an absolute return of -2.47% this week and a year-to-date return of 12.09%, with an outperformance of 0.24% and 6.59% against the mixed equity fund index [18][34]. - The Broker Golden Stock Performance Enhancement strategy achieved an absolute return of -1.45% this week and a year-to-date return of 12.40%, outperforming the mixed equity fund index by 1.25% and 6.90% respectively [19][34]. - The Growth Stability Combination strategy had an absolute return of -1.31% this week and a year-to-date return of 16.78%, outperforming the mixed equity fund index by 1.39% and 11.28% respectively [27][34]. 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 [7][31]. - The Exceeding Expectations Selection strategy selects stocks based on exceeding expectations events and analyst profit upgrades, focusing on both fundamental and technical analysis to create a portfolio [12][39]. - The Broker Golden Stock 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 [23][47].

Core Insights - The multi-strategy rotation model (Strategy Configuration 1.0) has outperformed the benchmark of equity mixed funds by approximately 5 percentage points in 2025, although it has shown significant volatility since June 2025, underperforming compared to single strategies like growth and small-cap strategies [1][7][31] - The model has been optimized across four levels, including enhancing the timing indicators, increasing observation frequency to daily, and conducting stability tests on the effectiveness of timing indicators [1][8][14] Strategy Configuration 1.0 Model Performance - The model has demonstrated a total annualized return of 40.2% since 2015, with an annualized excess return of 30.0% compared to the equity mixed fund index, and a monthly win rate of 68.7% [3][31] - The model's performance in the validation set for 2024 and 2025 showed annualized returns of 13.4% and 78.9%, respectively, significantly outperforming the benchmark [3][31] Factors Influencing Future Style Returns - For small-cap style, attention should be paid to the willingness of capital inflows, as the active inflow rate is significantly positively correlated with future returns [2][30] - For growth style, the valuation deviation from the market is crucial, as significant deviations indicate a strong mean-reversion characteristic [2][24] - The internal differentiation degree of styles can monitor the crowding level in small-cap and growth styles, with low differentiation indicating potential systemic risk [2][30] Strategy Configuration 2.0 Model - The new model aims for an annualized return of 40%, focusing on the rotation of small-cap, growth, value, and dividend strategies based on the insights from the timing models [3][26] - The model has shown strong performance in both the training and validation sets, confirming its robustness and transferability [31] Performance of Active Quantitative Strategies - The small-cap strategy has shown exceptional performance, with an annualized return of 90.5% in 2025, while the growth strategy also performed well with a return of 48.5% [4][31] - The model's annualized returns and risk control have been validated through backtesting, demonstrating its effectiveness in various market conditions [3][31] Style Timing Model - The style timing model has effectively improved the Sharpe ratio across various styles, with the small-cap style achieving an annualized return of 16.7% and a Sharpe ratio increase from 1.66 to 2.28 [2][28]

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin JinGong, which aim to outperform the median returns of actively managed equity funds [2][3][30] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expected Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][30] Group 2 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [5][30] - As of this week, the portfolio achieved an absolute return of 2.93% and a relative excess return of 0.96% against the mixed equity fund index [10][34] - Year-to-date, the portfolio has an absolute return of 10.94% and ranks in the 33.59th percentile among active equity funds [10][34] 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][38] - This week, the portfolio recorded an absolute return of 1.76% and a relative excess return of -0.21% against the mixed equity fund index [18][39] - Year-to-date, it has an absolute return of 14.92% and ranks in the 17.31st percentile among active equity funds [18][39] Broker Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks from the broker golden stock pool, optimizing the combination to minimize deviation from the pool while aiming for superior performance [16][43] - This week, the portfolio achieved an absolute return of 2.72% and a relative excess return of 0.75% against the mixed equity fund index [19][45] - Year-to-date, it has an absolute return of 14.06% and ranks in the 19.91st percentile among active equity funds [19][45] Growth Stability Portfolio - This portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings announcement dates to capture excess returns [23][46] - This week, the portfolio recorded an absolute return of 3.90% and a relative excess return of 1.93% against the mixed equity fund index [26][49] - Year-to-date, it has an absolute return of 18.33% and ranks in the 8.90th percentile among active equity funds [26][49]