华福证券 2025 年 10 月 12 日 金 融 工 程 科创板组合 9 月录得显著收益，10 月模型推荐调 低价值风格配置——策略化选股月报（2025/10） 投资要点： 多策略选股策略 金 融 工 程 定 策略在 2025 年 10 月对子策略的权重配置在质量选股策略权重占 比最高，约 35.71%，在价值股选股策略上的权重占比最小，约 15.16%。 9 月多策略选股策略绝对收益-0.38%，多策略选股策略相对中证全指超 额收益-2.95%。 极致风格高 BETA 选股策略 期 报 告 策略在 2025 年 10 月对子策略的权重配置在大盘价值策略权重占 比最高，为 50%，在小盘成长策略上的权重占比最小，为 17.29%。9 月极致风格高 BETA 策略绝对收益-3.28%，极致风格高 BETA 策略相 对中证全指超额收益低 5.77%。 "红利+"优选股票策略 2025 年 9 月，"红利+"优选股票策略绝对收益 0.83%，相对中证 全指指数超额收益-1.77%，相对红利收益指数超额收益 4.16%。策略持 仓合计选入 30 支股票，平均市值 1320.14 亿元，主要分布在银行和电 力及公共事 ...

Market Overview - In July, the overall A-share market experienced an increase, with the CSI 300 index rising by 3.54%, the CSI 1000 by 4.80%, the CSI 500 by 5.26%, and the ChiNext by 8.14% [16][17] - The top three performing sectors in July were steel, pharmaceuticals, and telecommunications, while the banking sector saw a decline [16] Multi-Strategy Stock Selection - The multi-strategy stock selection strategy achieved an absolute return of 6.04% in July, with a relative excess return of 1.64% compared to the CSI All Share Index [30] - The strategy's weight allocation for August shows the highest allocation to growth stocks at approximately 31.03%, while the lowest allocation is to value stocks at about 15.62% [21][22] - The strategy includes four sub-strategies: value stock strategy, growth stock strategy, quality stock strategy, and liquidation stock strategy, which are adjusted based on risk parity and momentum optimization [21][30] Extreme Style High BETA Stock Selection - The extreme style high BETA stock selection strategy recorded an absolute return of 3.05% in July, with a relative excess return of -1.23% compared to the CSI All Share Index [5][19] - The weight allocation for August indicates the highest allocation to large-cap value stocks at approximately 66.86%, while the smallest allocation is to small-cap value stocks at about 33.14% [53][54] "Dividend +" Preferred Stock Strategy - The "Dividend +" preferred stock strategy achieved an absolute return of 3.70% in July, with a relative excess return of -0.60% compared to the CSI All Share Index [6][19] - The strategy's portfolio consists of 30 selected stocks, with an average market capitalization of 1,095.78 million, primarily concentrated in the power and public utilities, machinery, and transportation sectors [6] Moving Average Trend Strategy - The moving average trend strategy recorded an absolute return of 5.07% in July, with a relative excess return of 0.71% compared to the CSI All Share Index [7][19] - The strategy's portfolio includes 30 stocks, mainly distributed across the non-ferrous metals, telecommunications, and steel industries [7] Sentiment Price-Volume Strategy - The sentiment price-volume strategy's top 50 combination achieved an absolute return of 7.68% in July, with a relative excess return of 3.21% compared to the CSI All Share Index [8][19] - The strategy's portfolio consists of 50 selected stocks, primarily in the electronics, machinery, and automotive sectors [8] Sci-Tech Innovation Board Strategy - The Sci-Tech Innovation Board strategy achieved an absolute return of 14.11% in July, with a relative excess return of 9.27% compared to the ChiNext 50 Index [8][19] - The strategy's portfolio includes 30 selected stocks, with nearly 40% concentrated in the pharmaceutical industry [8]