2026 年 03 月 04 日 金 融 工 程 科创策略、情绪价量策略收益显著，3 月推荐电 子机械股——策略化选股月报（2026/03） 投资要点： 多策略选股策略 金 融 工 程 定 策略在 2026 年 3 月对子策略的权重配置在价值股策略权重占比最 高，约 45.35%，在成长股选股策略上的权重占比最小，约 7.63%。2026 年 2 月多策略选股策略绝对收益 1.25%，多策略选股策略相对中证全 指超额收益-0.96%。 极致风格高 BETA 选股策略 期 报 告 策略在大盘价值策略权重占比最高，为 50.00%，在小盘成长策略 上的权重占比最小，为 14.48%，在小盘价值策略上的权重占比为 0。2 月极致风格高 Beta 策略绝对收益-0.44%，极致风格高 Beta 策略相对中 证全指超额收益-2.61%。 2026 年 2 月，"红利+"优选股票策略绝对收益 0.90%，相对中证 全指指数超额收益-1.30%，相对红利收益指数超额收益-2.04%。策略 持仓合计选入 30 支股票，平均市值 1619.34 亿元，主要分布在银行和 商贸零售，权重占比为 60.00%。 均线趋势策略 202 ...

Group 1 - The report indicates that in October, the multi-strategy stock selection strategy had an absolute return of -0.82% and a relative excess return of -0.67% compared to the CSI All Share Index [2][30] - In November, the weight allocation for the quality stock selection strategy is the highest at approximately 43.37%, while the weight for the value stock selection strategy is the lowest at about 16.86% [2][19] - The report highlights that the absolute return for the "Dividend+" preferred stock strategy in October was 3.56%, with a relative excess return of 3.72% compared to the CSI All Share Index [5][18] Group 2 - The "Dividend+" preferred stock strategy included a total of 30 stocks with an average market capitalization of 140.19 billion, primarily concentrated in the banking and utilities sectors, accounting for 50% of the weight [5][24] - The moving average trend strategy achieved an absolute return of 5.41% in October, with a relative excess return of 5.57% compared to the CSI All Share Index [6][18] - The report notes that the absolute return for the extreme style high BETA stock selection strategy in October was 2.55%, with a relative excess return of -2.71% compared to the CSI All Share Index [4][18] Group 3 - The report states that the Sci-Tech Innovation Board strategy had an absolute return of -2.6% in October, but a strong performance year-to-date with an absolute return of 76.61% and a relative excess return of 23.39% compared to the CSI All Share Index [7][18] - The multi-strategy stock selection strategy's historical performance shows a significant relative excess return of 16.07% annualized compared to the CSI All Share Index from January 2017 to October 2025 [42][49] - The report emphasizes that the extreme style high BETA strategy's weight allocation for large-cap value stocks is the highest at 50%, while the weight for small-cap growth stocks is the lowest at 11.87% [4][53]