2025 年 08 月 26 日 证券研究报告 | 公募基金周报 市场情绪持续升温，策略指数再创新高 公募基金量化遴选类策略指数跟踪周报（2025.08.24） 分析师：程秉哲 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师：黄浩 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 销售服务电话： 021-20515355 1、《股债跷跷板效应显著，国内债市持 续承压—公募基金泛固收指数跟踪周报 （ 2025.08.18-2025.08.22 ）》 2025-08- 25 2、《科技行情扩散，市场继续上行—公 募基金权益指数跟踪周报（2025.08.18- 2025.08.22）》2025-08-25 2025/8/25》2025-08-25 新高—公募基金量化遴选类策略指数跟 踪周报（2025.08.17）》2025-08-19 5、《沪指突破前高，科技延续强势—公 募基金权益指数跟踪周报（2025.08.11- 2025.08.15 ...

分析师：程秉哲 登记编号：S0890522110001 分析师：黄浩 登记编号：S0890524110001 投资要点 A股权益市场全周表现强势，市场热度持续升温，本周上证指数收涨3.49%，录得较大涨幅，日内小幅调整后均可以快速反弹修复，资金 对于进入市场仍保持较高热度。境内权益的基金策略指数同样在本周录得不同程度的涨幅，低波策略保持低波动属性，在当前行情下势必 损失超额收益；股基增强策略录得更优收益，表现持续契合我们对于工具化组合的配置建议，增加进攻性和向上的弹性。 量化策略配置观点： 股基增强策略 > 海外权益策略> 常青低波策略 A股方面，上证指数表现强势，对于多个整百点位均在短期震荡调整后快速突破，强力突破去年的高点。综合当前市场情绪、市场风险偏 好以及内外部环境等多重因素，市场有望保持向上的趋势，即使短期有所阻力，回调空间也较为有限。在A股权益基金策略内部，更具弹 性的股基增强组合依旧在当前时点有相对更大空间。常青低波策略可作为打底配置，同时银行等防御风格板块在经历调整后性价比提升， 依旧具有较高长期配置价值。 海外方面，回顾近期动态，美股从计价关税预期缓解，再到与多数国家和地区达成贸易协议，市场 ...

Core Insights - The report indicates that the public fund quantitative selection strategy index continues to reach new highs, with equity fund enhancement strategies maintaining high elasticity [1][3] - The A-share equity market has shown strong performance, with the Shanghai Composite Index breaking through key resistance levels, supported by multiple favorable factors that enhance market sentiment [3][4] - The report highlights that various strategy indices have recorded positive returns, with the Evergreen Low Volatility Strategy and Equity Fund Enhancement Strategy yielding returns of 1.990% and 2.284% respectively, indicating the latter's stronger elasticity [3][5] Quantitative Strategy Allocation Views - The preferred strategy ranking is Equity Fund Enhancement Strategy > Evergreen Low Volatility Strategy > Overseas Equity Strategy [4] - The report notes that the A-share market is experiencing a positive upward trend, with the technology growth sector gaining more attention and funds shifting towards related low-position sectors [4][5] - The Evergreen Low Volatility Strategy has shown strong stability since its inception, effectively reducing portfolio volatility while maintaining decent returns [5][15] Performance Tracking of Fund Strategies - The Evergreen Low Volatility Fund Strategy has achieved a return of 1.990% this week, 4.909% over the past month, and 6.627% year-to-date, with a total return of 14.953% since its inception [13] - The Equity Fund Enhancement Strategy has recorded a return of 2.284% this week, 7.292% over the past month, and 11.397% year-to-date, with a total return of 19.794% since its inception [13] - The Cash Growth Fund Strategy has achieved a return of 0.028% this week, outperforming the benchmark, with cumulative excess returns exceeding 0.41% since its inception [18] Fund Strategy Construction Ideas - The report emphasizes the need for a quantitative approach to construct a fund selection pool that meets the diverse needs of investors in different market environments and risk preferences [22][29] - The Evergreen Low Volatility Fund Strategy aims to select funds with long-term stable return characteristics, focusing on funds with low volatility and drawdown levels [26] - The Equity Fund Enhancement Strategy seeks to identify funds with strong alpha generation capabilities, aiming for higher returns in improving market conditions [27]

Core Viewpoint - The A-share market continues to show a slight decline under the influence of international geopolitical risks, but overall support remains strong, with opportunities for low-cost positioning in quality dividend sectors [2][3] Market Overview - The A-share market has experienced a slight pullback, with the Shanghai Composite Index reaching a low near 3350, but the decline is limited, indicating some support [2] - The overseas US stock market shows similar characteristics, with slight declines due to geopolitical influences and resistance at previous highs [2] - Increased risk aversion and a preference for quality dividend sectors have led to strong performance in low-volatility strategies [2] Quantitative Strategy Allocation - The recommended strategy allocation is: Enhanced Equity Strategy > Evergreen Low-Volatility Strategy > Overseas Equity Strategy [3] - The A-share market is showing signs of stabilization in technology growth sectors after adjustments, leading to a relatively optimistic outlook [3] - The performance of dividend and low-volatility sectors remains strong, but there may be a potential reduction in upward momentum due to the risk of declining dividend yields [3] Overseas Market Insights - The easing of US tariff attitudes has led to a rebound in the US stock market and other regions, with economic data exceeding expectations [4] - Short-term opportunities in overseas markets may arise from further easing of tariff risks and progress in trade negotiations [4] - The Nasdaq is approaching its early-year highs, and while upward momentum is expected, caution is advised due to high index levels [4] Fund Strategy Performance - The Evergreen Low-Volatility Fund Strategy recorded a return of -1.042% this week, with a cumulative excess return of 0.631% [5] - The Enhanced Equity Fund Strategy also saw a decline of -1.235%, with a cumulative excess return of 0.438% [5] - The Cash Growth Fund Strategy achieved a return of 0.031%, outperforming the benchmark [6] Fund Composition Insights - The Evergreen Low-Volatility Fund has maintained low volatility and drawdown characteristics, providing stable returns [12] - The Enhanced Equity Fund is still in its early stages, with performance closely aligned with the benchmark, but potential for stronger returns as market conditions improve [14] - The Cash Growth Fund has consistently outperformed its benchmark since its strategy launch, providing effective cash management options [15] - The Overseas Equity Allocation Fund has accumulated significant excess returns, benefiting from the global technology sector's growth [17]

Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - Amid escalating global political and economic uncertainties and significant asset price fluctuations due to tariff tensions, the Evergreen Low-Volatility Strategy maintained its low-volatility defensive nature, serving as a stabilizer in the portfolio. This week, the active equity fund index dropped 3.9%, while the Evergreen Low-Volatility Strategy only fell 2.7%, achieving an excess return of 1.2% [3]. - The preference for quantitative strategies is: Evergreen Low-Volatility Strategy > Overseas Equity Strategy > Equity Fund Enhancement Strategy. For A-shares, the short- to medium-term view is upgraded to neutral. The Evergreen Low-Volatility Strategy is expected to offer better cost-effectiveness and is suitable for a balanced offensive and defensive strategy. As the tense situation eases, a shift to more aggressive strategies can be considered [4]. - Overseas markets have experienced a significant short-term decline. The US stock market may be approaching a short-term bottom. Investors with low overseas positions can consider appropriate bottom - fishing. In the long run, the US stock market is still expected to reverse and rise, and global investment has strong diversification value [5]. - The Evergreen Low-Volatility Fund Strategy is still worth allocating due to its stability and the potential attention from long - term funds with low - risk preferences. The Equity Fund Enhancement Strategy's excess performance awaits a market turnaround. The Cash Enhancement Fund Strategy has achieved continuous excess returns, and the Overseas Equity Allocation Fund Strategy has long - term investment value despite short - term setbacks [5][6][7]. Summary by Directory 1. Tool - based Fund Portfolio Performance Tracking 1.1 Evergreen Low - Volatility Fund Portfolio - The Evergreen Low - Volatility Fund Portfolio has long maintained low - volatility characteristics, with significantly better portfolio volatility and maximum drawdown than the CSI Active Equity Fund Index. Since the strategy's launch on July 31, 2023, it has continued to show low drawdowns during market fluctuations and achieved good returns during rebounds, demonstrating both defensive and offensive capabilities [14]. 1.2 Equity Fund Enhancement Fund Portfolio - The Equity Fund Enhancement Fund Portfolio has been in operation for a short time. Its performance is close to the CSI Active Equity Fund Index. It is expected to have stronger elasticity after the market environment improves and can maintain a similar trend to the benchmark in a weak market [17]. 1.3 Cash Enhancement Fund Portfolio - After double - screening of risk elimination and scoring optimization, the Cash Enhancement Fund Portfolio has consistently outperformed its benchmark. Since the strategy's launch at the end of July 2023, it has accumulated an excess return of over 0.29%, providing a reference for investors in cash management [18]. 1.4 Overseas Equity Allocation Fund Portfolio - As a supplementary investment tool in the A - share equity market, since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of global technology stocks by artificial intelligence, the Overseas Equity Allocation Selected Fund Portfolio has accumulated high - level excess returns. Global allocation can enhance the returns of equity investment portfolios [21]. 2. Tool - based Fund Portfolio Construction Ideas 2.1 Evergreen Low - Volatility Fund Portfolio - The Evergreen Low - Volatility Fund Portfolio Strategy aims to select funds with long - term stable returns from actively managed high - equity - position funds. By considering factors such as historical drawdown, volatility, and valuation, a low - volatility active equity fund portfolio is constructed [26]. 2.2 Equity Fund Enhancement Fund Portfolio - The Equity Fund Enhancement Fund Portfolio Strategy aims to meet the needs of investors with higher risk preferences. It selects fund managers with strong Alpha - mining capabilities from actively managed equity funds. Based on the analysis of fund return sources, a portfolio strategy is constructed, which shows a high holding - period win rate in back - testing [27]. 2.3 Cash Enhancement Fund Portfolio - A currency fund selection system is constructed by considering various factors such as management fees, duration, leverage, institutional holding ratio, and deviation. This system helps investors select currency funds with higher returns and lower return volatility [28]. 2.4 Overseas Equity Allocation Fund Portfolio - In QDII funds, based on long - and short - term technical indicators, index momentum, and reversal effects, equity indices of multiple countries or regions are screened. QDII equity funds corresponding to the selected indices are used to construct an overseas market selected portfolio, meeting investors' needs for global allocation [25].