丨证券研究报告丨 战略数据研究丨专题报告 [Table_Title] 成长指数拥挤度突破今年三季度高点—— W134 市场观察 报告要点 [Table_Summary] 当周科技成长继续领涨，长江创业板成长动量周度涨幅靠前，长江动量指数周度涨幅超 4%， 成长整体拥挤度已经越过今年三季度成长拥挤度高点。当周 A 股市场成交活跃度显著提升，周 度日均成交额达 1.95 万亿，较前周明显放量，12 月 12 日单日成交额达 2.12 万亿元，创近期 新高。各类风格和行业拥挤度比较上看，红利风格拥挤度普遍边际变化不大，港股波动下，港 股通红利成交热度有所回暖。电信业务、纸类及包装等交易活跃度回暖相对较多。当周中盘行 情修复相对靠前。 分析师及联系人 [Table_Author] 陈洁敏 SAC：S0490518120005 SFC：BUT348 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 成长指数拥挤度 2] 突破今年三季度高点—— W134 市场观察 [Table_Summary2] 度量市场情绪：沪深 300 成交热度持续下滑，成长拥 ...

丨证券研究报告丨 战略数据研究丨专题报告 [Table_Title] 成长指数拥挤度重回今年三季度高点 —— W133 市场观察 报告要点 [Table_Summary] 当周大盘修复反弹，科技成长领涨，长江创业板成长动量周度涨幅超 9%，长江动量指数周度 涨幅近 10%，今年三季度成长热点板块周度回归。不过成长修复背后，周度全 A 的成交额相较 于今年三季度仍有一定程度回落。各类风格和行业拥挤度比较上看，红利风格拥挤度普遍边际 变化不大，社会服务、农产品、传媒互联网等交易活跃度回暖相对较多。当周小微盘表现优于 大盘，成交活跃度也呈现同步回升。 分析师及联系人 [Table_Author] 陈洁敏 SAC：S0490518120005 SFC：BUT348 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 成长指数拥挤度重回今年三季度高点 2] —— W133 市场观察 [Table_Summary2] 度量市场情绪：小微盘指数成交热度持续回暖，成长指数成交拥挤度边际修复 机构赚钱效应：成长回暖下，基金重仓悉数反弹 行业板块：通讯业务、信 ...

Quantitative Models and Construction Methods Dividend Enhancement Portfolio - **Model Name**: Dividend Enhancement Portfolio - **Model Construction Idea**: The model focuses on selecting high-quality dividend stocks and constructing portfolios that outperform the benchmark dividend index by leveraging dividend quality and growth factors[7][15][21] - **Model Construction Process**: - The portfolio is constructed by selecting stocks with high dividend yields and strong dividend growth potential - The selection process incorporates a combination of fundamental analysis and quantitative screening to identify stocks with stable and growing dividends - The portfolio is rebalanced periodically to ensure alignment with the dividend quality and growth criteria[13][14][15] - **Model Evaluation**: The model demonstrates strong performance in capturing excess returns over the benchmark dividend index, particularly in volatile market conditions[7][15][21] Electronic Balanced Allocation Enhancement Portfolio - **Model Name**: Electronic Balanced Allocation Enhancement Portfolio - **Model Construction Idea**: This model aims to achieve excess returns by balancing exposure across various sub-sectors within the electronics industry, focusing on growth and stability[7][24][29] - **Model Construction Process**: - The portfolio is constructed by allocating weights to sub-sectors such as LED chips and semiconductor distribution, which exhibit strong growth potential - Quantitative screening is applied to identify leading companies within these sub-sectors - The portfolio is periodically rebalanced to maintain a balanced exposure across the electronics industry[13][14][24] - **Model Evaluation**: The model effectively captures excess returns and ranks in the top 15% of active technology-themed products in terms of weekly performance[7][24][29] --- Model Backtesting Results Dividend Enhancement Portfolio - **Weekly Excess Return**: Approximately 0.23% for the "Central SOE High Dividend 30 Portfolio" and 1.45% for the "Balanced Dividend 50 Portfolio"[7][15][21] - **Year-to-Date Excess Return**: The "Balanced Dividend 50 Portfolio" achieved an excess return of approximately 7.91% relative to the benchmark dividend index, ranking in the top 35% of all dividend-themed funds[21] Electronic Balanced Allocation Enhancement Portfolio - **Weekly Excess Return**: Approximately 0.89%, ranking in the top 15% of active technology-themed products[7][24][29]

- The report highlights the launch of multiple active quantitative strategies since July 2023, including Dividend Selection Strategy and High Winning Rate Industry Strategy, aimed at tracking market trends and selecting industry-specific stocks [6][14][15] - Active quantitative strategies follow a top-down stock selection logic, leveraging industry and thematic insights to refine factor selection from a large fundamental factor pool, enabling precise identification of potential stocks within specific sectors [14] - The Dividend Series includes two products: "Central SOE High Dividend 30 Portfolio" and "Balanced Growth Dividend 50 Portfolio," focusing on stable and growth-oriented dividend strategies [15] - The Electronics Series includes two products: "Electronics Balanced Allocation Enhanced Portfolio" and "Electronics Sector Preferred Enhanced Portfolio," targeting mature sub-sector leaders within the electronics industry [15] - Weekly performance tracking shows that the Electronics Balanced Allocation Enhanced Portfolio and Electronics Sector Preferred Enhanced Portfolio achieved positive excess returns of approximately 1.86% and 1.62%, respectively, outperforming the benchmark [7][25][32] - The Dividend Series underperformed the benchmark this week, with the Central SOE High Dividend 30 Portfolio and Balanced Growth Dividend 50 Portfolio failing to exceed the returns of the CSI Dividend Total Return Index [7][16][22] - The CSI Dividend Index achieved a weekly return of 0.25%, while sub-indices like CSI Dividend Growth and CSI Dividend Low Volatility outperformed with average weekly returns of approximately 1.31% and 1.08%, respectively [7][16][19] - The Electronics Series portfolios ranked in the top 26%-28% among active technology-themed funds based on weekly returns [32] - The report emphasizes the differentiation of active quantitative strategies from traditional ones, highlighting their ability to integrate thematic and industry logic for enhanced stock selection and strategy validation [14]

Market Performance - The weekly trading volume slightly decreased, with the Shanghai Composite Index showing a minor increase, while the ChiNext Index rose nearly 2% for the week[2] - Growth styles continued to recover, particularly mid-cap growth, high volatility, and high beta stocks, which performed well[2] Trading Activity - The trading activity of dividend and low-valuation styles continued to rebound, while growth styles saw a slight pullback before rising again[2] - The crowding degree of micro-cap stocks continued to decline, indicating reduced congestion in this segment[2] Sector Analysis - Among primary sectors, oil and gas, food and beverage, and insurance remain at low crowding levels, suggesting potential opportunities[2] - The information technology and hardware sectors led the weekly performance within industry segments[2] Fund Performance - The fund-heavy index significantly outperformed the CSI 300 Index since the beginning of 2025, indicating strong institutional support for these stocks[2] - The top 50 fund-heavy stocks led the fund-heavy series indices, showcasing a robust performance relative to the broader market[2] Thematic Trends - The new tobacco and specialized innovation indices were among the top performers in thematic trading for the week[2]

Quantitative Models and Construction Methods - **Model Name**: Dividend Growth Strategy **Model Construction Idea**: Focuses on identifying stocks with strong dividend growth potential, aiming to outperform pure dividend assets by leveraging growth-oriented metrics[5][14] **Model Construction Process**: The strategy selects stocks based on their historical dividend growth rates and projected growth potential. It emphasizes companies with consistent dividend increases and robust financial health. Specific metrics or formulas were not detailed in the report[5][14] **Model Evaluation**: Demonstrated superior performance compared to pure dividend assets, indicating its effectiveness in capturing growth opportunities within dividend-paying stocks[5][14] - **Model Name**: Dividend Quality Strategy **Model Construction Idea**: Targets high-quality dividend stocks by assessing financial stability and sustainability of dividend payouts[5][14] **Model Construction Process**: The strategy evaluates companies based on financial metrics such as return on equity (ROE), debt-to-equity ratio, and earnings stability. It prioritizes firms with strong balance sheets and consistent profitability. Specific formulas were not provided[5][14] **Model Evaluation**: Outperformed pure dividend assets, showcasing its ability to identify stable and reliable dividend-paying companies[5][14] - **Model Name**: Balanced Dividend 50 Portfolio **Model Construction Idea**: Combines defensive and growth-oriented dividend stocks to achieve a balanced risk-return profile[13][23] **Model Construction Process**: The portfolio is constructed by selecting 50 stocks that exhibit both high dividend yields and growth potential. It uses a combination of dividend yield, growth metrics, and financial stability indicators. Detailed formulas were not disclosed[13][23] **Model Evaluation**: Achieved significant excess returns relative to the benchmark, highlighting its balanced approach's effectiveness[13][23] - **Model Name**: High Dividend 30 Portfolio **Model Construction Idea**: Focuses on high-dividend-yielding stocks, particularly from central and state-owned enterprises, to provide stable income[13][23] **Model Construction Process**: The portfolio selects 30 stocks with the highest dividend yields among central and state-owned enterprises. It emphasizes income generation and stability. Specific formulas were not mentioned[13][23] **Model Evaluation**: Delivered consistent excess returns, demonstrating its suitability for income-focused investors[13][23] - **Model Name**: Electronic Balanced Allocation Enhanced Portfolio **Model Construction Idea**: Aims to achieve balanced exposure within the electronics sector by diversifying across sub-industries[13][31] **Model Construction Process**: The portfolio allocates investments across various electronics sub-industries, balancing growth and stability. It uses sector-specific metrics to identify leading companies. Detailed formulas were not provided[13][31] **Model Evaluation**: Achieved positive returns but underperformed the electronics sector index, indicating room for improvement in capturing sector-wide trends[13][31] - **Model Name**: Electronics Sector Select Enhanced Portfolio **Model Construction Idea**: Focuses on mature sub-industry leaders within the electronics sector to capture stable growth[13][31] **Model Construction Process**: The portfolio targets leading companies in mature electronics sub-industries, emphasizing financial stability and market leadership. Specific formulas were not disclosed[13][31] **Model Evaluation**: Delivered positive returns but failed to outperform the electronics sector index, suggesting limited effectiveness in capturing broader sector dynamics[13][31] --- Model Backtesting Results - **Dividend Growth Strategy**: Weekly average return exceeded 2%, outperforming pure dividend assets[5][14] - **Dividend Quality Strategy**: Weekly average return exceeded 2%, outperforming pure dividend assets[5][14] - **Balanced Dividend 50 Portfolio**: Weekly excess return of approximately 0.99% relative to the CSI Dividend Total Return Index; year-to-date excess return of 6.04%[13][23] - **High Dividend 30 Portfolio**: Weekly excess return of approximately 0.76% relative to the CSI Dividend Total Return Index[13][23] - **Electronic Balanced Allocation Enhanced Portfolio**: Weekly return of approximately 5.01%, underperforming the electronics sector index[13][31] - **Electronics Sector Select Enhanced Portfolio**: Weekly return of approximately 3.91%, underperforming the electronics sector index[13][31]