Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - In February 2026, among the equity indices tracked by ETFs, the high - dividend - yield index and the low - volatility index had better returns, with the average monthly price changes of the top 5 indices in terms of style being 2.54% and 0.80% respectively [3]. - As of the end of February 2026, the multi - strategy ETF portfolio constructed using the risk - parity method based on the style ETF portfolio had a monthly return of approximately - 0.82%, with an excess return of approximately - 5.71% relative to the CSI 800 Total Return Index [13]. 3. Summary by Relevant Catalogs ETF Market Style Observation - In February 2026, the average monthly price changes of the top 5 high - dividend - yield indices and low - volatility indices were 2.54% and 0.80% respectively. The average monthly price change of the low - price - to - book ratio index was - 1.31%, the average monthly price change of the expected improvement index was - 1.63%, the average monthly price change of the high - expected - growth index was 0.38%, and the average monthly price change of the high - expected - ROE index was - 0.58%. The benchmark CSI 800 Total Return Index had a price change of 1.13% [3][4]. ETF Style Scoring Model Update - As of March 2026, two groups of equity ETF portfolios with complementary styles were constructed using the multi - factor scoring method, with equal weights assigned to the ETFs within the portfolios. The risk - parity algorithm was used to allocate weights between the two style portfolios. The high - quality growth ETF portfolio and the high - safety - margin ETF portfolio, along with their style scores, are presented in the report [7]. ETF Style Allocation Strategy Tracking - In February 2026, the cumulative return of the high - quality growth ETF portfolio constructed using the multi - factor scoring method was approximately - 0.45%, and the cumulative return of the high - safety - margin ETF portfolio was approximately - 0.40%. During the same period, the price change of the CSI 800 Total Return Index was approximately 0.30% [10].

Core Insights - The participant "Riyue" achieved the eighth place in the quantitative group of a trading competition, with a net profit of 26.463 million yuan, marking a significant accomplishment in his trading journey [1] - "Riyue" emphasizes a focus on stable growth rather than high-risk, high-reward strategies, indicating a preference for risk management and steady returns [3][4] Group 1: Trading Strategy - "Riyue" primarily employs arbitrage and intraday trading strategies in the competition [2] - His trading approach integrates fundamental factors and unique indicators, enhancing adaptability and competitiveness in volatile market conditions [3] Group 2: Personal Development and Philosophy - The trading journey of "Riyue" faced challenges, particularly in 2018 when a singular strategy led to significant drawdowns, prompting a shift towards diversified investment and risk management [3] - "Riyue" believes that discipline is more important than intelligence in trading, advocating for a solid understanding of programming and market mechanisms for aspiring quantitative traders [4] Group 3: Future Outlook - "Riyue" sees potential in medium to low-frequency strategies that incorporate fundamental factors, expressing optimism about the future performance of CTA strategies [4]

文 ｜ 上官鹏 王兆宇 赵文荣 2）单策略之间相关性不高，说明不同策略在不同市场环境中的适应性差异大，有利于形成收益互补。以预期改善组合来看， 其与均衡弹性、高质量经营、科技TMT和新能源组合相关性分别为0 . 2 9、0 . 1 3、0 . 3 7和0 . 5 3； 3）综合三大类全市场选股策略和两大类产业选股策略构建多策略组合，回测发现，相比单策略组合，多策略组合具有更加稳 健的收益表现。2 0 1 4年以来截至2 0 2 5年3月3 1日，多策略组合相对中证全指的年化超额收益分别为1 3 . 8%，信息比率为1 . 5。 ▍ 战胜宽基指数多策略框架历史收益稳健，相对基准偏离度低。 1）基于多策略组合历史持仓战胜沪深 3 0 0、中证 5 0 0 和中证 1 0 0 0 指数框架在指数权重方面的分配比例， 8 0%配置在指数成 分内， 2 0%配置在其他公司，并且超配多策略股票组合权重。 单一策略具有一定的风格倾向性，难以适应不同市场环境的变化，而多策略能够通过分散化利用不同策略在不同市场环境中的 适应性差异，提升整体投资组合收益的稳健性。因此，我们尝试从多策略角度战胜宽基指数，基于已经发布报告中的三大类 ...