一、国信金工主动量化策略表现跟踪 本周， 优秀基金业绩增强组合 绝对收益-0.98%，相对偏股混合型基金指数超额收 益0.54%。本年，优秀基金业绩增强组合绝对收益29.30%，相对偏股混合型基金 指数超额收益-4.01%。 今年以来，优秀基金业绩增强组合在主动股基中排名 54.63%分位点（1895/3469）。 本周， 超预期精选组合 绝对收益0.22%，相对偏股混合型基金指数超额收益 1.74%。本年，超预期精选组合绝对收益47.41%，相对偏股混合型基金指数超额 收益14.10%。 今年以来，超预期精选组合在主动股基中排名21.71%分位点 （753/3469）。 本周， 券商金股业绩增强组合 绝对收益-1.51%，相对偏股混合型基金指数超额收 益0.01%。本年，券商金股业绩增强组合绝对收益34.07%，相对偏股混合型基金 指数超额收益0.76%。 今年以来，券商金股业绩增强组合在主动股基中排名 44.42%分位点（1541/3469）。 本周， 成长稳健组合 绝对收益-0.08%，相对偏股混合型基金指数超额收益 1.44%。本年，成长稳健组合绝对收益54.84%，相对偏股混合型基金指数超额收 益 ...

核心观点 金融工程周报 证券研究报告 | 2025年09月27日 主动量化策略周报 科创 50 领涨，超预期精选组合年内满仓上涨 52.03% 本周，超预期精选组合绝对收益 0.70%，相对偏股混合型基金指数超额收益 0.23%。本年，超预期精选组合绝对收益 46.54%，相对偏股混合型基金指 数超额收益 14.47%。今年以来，超预期精选组合在主动股基中排名 20.61% 分位点（715/3469）。 本周，券商金股业绩增强组合绝对收益-0.54%，相对偏股混合型基金指数超 额收益-1.01%。本年，券商金股业绩增强组合绝对收益 33.26%，相对偏股 混合型基金指数超额收益 1.19%。今年以来，券商金股业绩增强组合在主动 股基中排名 43.07%分位点（1494/3469）。 本周，成长稳健组合绝对收益 0.26%，相对偏股混合型基金指数超额收益 -0.22%。本年，成长稳健组合绝对收益 51.84%，相对偏股混合型基金指数 超额收益 19.77%。今年以来，成长稳健组合在主动股基中排名 15.31%分位 点（531/3469）。 本周，股票收益中位数-1.74%，31%的股票上涨，69%的股票下跌；主 ...

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Model Construction Idea**: Transition from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best" [4][19][52] **Model Construction Process**: 1. Benchmark against the median return of active equity funds, represented by the biased equity hybrid fund index (885001.WI) [19][52] 2. Use a layered neutralization process for return-related factors to address style concentration issues [52] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings [53] **Model Evaluation**: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds [53] - **Model Name**: Outperformance Selection Portfolio **Model Construction Idea**: Focus on stocks with significant outperformance events, selecting those with both fundamental support and technical resonance [5][58] **Model Construction Process**: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [5][58] 2. Conduct dual-layer screening on fundamentals and technicals to select stocks with both fundamental support and technical resonance [5][58] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, demonstrating strong performance [59] - **Model Name**: Securities Firms' Golden Stock Performance Enhancement Portfolio **Model Construction Idea**: Optimize the securities firms' golden stock pool to achieve stable outperformance relative to the biased equity hybrid fund index [6][63] **Model Construction Process**: 1. Use the securities firms' golden stock pool as the stock selection space and benchmark [6][33] 2. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the golden stock pool [6][33] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, reflecting stable performance [64] - **Model Name**: Growth and Stability Portfolio **Model Construction Idea**: Focus on the "golden period" of excess returns for growth stocks, using a two-dimensional evaluation system based on time series and cross-sectional analysis [7][68] **Model Construction Process**: 1. Use the "excess return release map" to identify the strongest excess return periods before and after positive events [68] 2. Prioritize stocks closer to their financial report disclosure dates, and use multi-factor scoring to select high-quality stocks when the sample size is large [7][68] 3. Introduce mechanisms such as weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [68] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with strong performance [69] --- Backtesting Results of Models - **Excellent Fund Performance Enhancement Portfolio**: - Annualized return: 20.31% - Excess return relative to biased equity hybrid fund index: 11.83% - Consistently ranks in the top 30% of active equity funds annually [54][57] - **Outperformance Selection Portfolio**: - Annualized return: 30.55% - Excess return relative to biased equity hybrid fund index: 24.68% - Consistently ranks in the top 30% of active equity funds annually [59][61] - **Securities Firms' Golden Stock Performance Enhancement Portfolio**: - Annualized return: 19.34% - Excess return relative to biased equity hybrid fund index: 14.38% - Consistently ranks in the top 30% of active equity funds annually [64][67] - **Growth and Stability Portfolio**: - Annualized return: 35.51% - Excess return relative to biased equity hybrid fund index: 26.88% - Consistently ranks in the top 30% of active equity funds annually [69][72]

一、国信金工主动量化策略表现跟踪 本周， 优秀基金业绩增强组合 绝对收益0.35%，相对偏股混合型基金指数超额收 益-0.12%。本年，优秀基金业绩增强组合绝对收益28.00%，相对偏股混合型基金 指数超额收益-4.08%。 今年以来，优秀基金业绩增强组合在主动股基中排名 54.37%分位点（1886/3469）。 本周， 超预期精选组合 绝对收益0.70%，相对偏股混合型基金指数超额收益 0.23%。本年，超预期精选组合绝对收益46.54%，相对偏股混合型基金指数超额 收益14.47%。 今年以来，超预期精选组合在主动股基中排名20.61%分位点 （715/3469）。 本周， 券商金股业绩增强组合 绝对收益-0.54%，相对偏股混合型基金指数超额收 益-1.01%。本年，券商金股业绩增强组合绝对收益33.26%，相对偏股混合型基金 指数超额收益1.19%。 今年以来，券商金股业绩增强组合在主动股基中排名 43.07%分位点（1494/3469）。 本 周 ， 成 长 稳 健 组 合 绝 对 收 益 0.26% ， 相 对 偏 股 混 合 型 基 金 指 数 超 额 收 益-0.22%。本年，成长稳健组合绝 ...

Core Viewpoint - The GuoXin Quantitative Team has made significant research contributions over the past year, focusing on various investment strategies and market trends, showcasing their effectiveness and potential for investment opportunities [1]. Team Overview - The GuoXin Quantitative Team consists of 7 members specializing in areas such as active quantitative stock selection, index enhancement, factor research, FOF investment, fund research, industry rotation, asset allocation, Hong Kong stock investment, and CTA strategies [1]. Research Highlights - The team has produced a selection of research reports that cover a wide range of investment strategies, including: - Active quantitative stock selection strategies - Factor-based stock selection and index enhancement strategies - Market trend analysis and research on hot sectors - FOF and fund research series [1][8][10]. Performance Metrics - The "Super Expectation Selected Portfolio" has achieved an annualized return of 36.04% since 2010, outperforming the CSI 500 Index by 32.90% [11][12]. - The "Growth Steady Portfolio" has maintained an annualized return of 41.15% since 2012, exceeding the CSI 500 Index by 34.84% [14][16]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" has delivered an annualized return of 21.78%, consistently ranking in the top 30% of active equity funds since 2018 [19][21]. Strategy Insights - The "Small Cap Selected Portfolio" has generated an annualized return of 39.22% since 2014, outperforming the CSI 2000 Index by 28.66% [25][27]. - The "Stable Selected Portfolio" has achieved an annualized return of 26.18% since 2012, with a lower maximum drawdown compared to the CSI Dividend Total Return Index [30][32]. - The "Multi-Strategy Enhanced Portfolio" has recorded an annualized return of 23.43% since 2013, with a significant information ratio of 2.60 [34]. Sector Rotation Strategies - The "Key Moment Leading Sheep Strategy" has identified strong momentum effects in the A-share market, achieving an annualized return of 25.29% since 2013, outperforming the CSI All Index by 19.65% [39][40].

Quantitative Models and Construction Methods Excellent Fund Performance Enhancement Portfolio - Model Name: Excellent Fund Performance Enhancement Portfolio - Model Construction Idea: The model aims to benchmark against active equity funds instead of broad-based indices, leveraging quantitative methods to enhance the selection of top-performing funds[4][19][50] - Model Construction Process: - Benchmark against active equity funds' median returns, using the equity hybrid fund index (885001.WI) as a proxy - Utilize quantitative methods to enhance the selection based on the holdings of top-performing funds - Consider fund performance factors and neutralize them to avoid style concentration issues - Optimize the portfolio to control deviations in individual stocks, industry, and style from the selected fund holdings[4][19][50] - Model Evaluation: The model shows good stability and can consistently outperform the median of active equity funds[50] - Model Testing Results: - Annualized return of 20.31% from 2012.1.4 to 2025.6.30, with an annualized excess return of 11.83% compared to the equity hybrid fund index[51][54] Exceeding Expectations Selection Portfolio - Model Name: Exceeding Expectations Selection Portfolio - Model Construction Idea: The model focuses on stocks with significant positive earnings surprises, selecting those with both fundamental support and technical resonance[5][24][55] - Model Construction Process: - Screen stocks based on research report titles indicating earnings surprises and analysts' upward revisions of net profit - Perform dual-layer selection on the stock pool based on fundamental and technical aspects - Construct a portfolio of stocks that meet both fundamental and technical criteria[5][24][55] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[55] - Model Testing Results: - Annualized return of 30.55% from 2010.1.4 to 2025.6.30, with an annualized excess return of 24.68% compared to the equity hybrid fund index[56][58] Broker Golden Stock Performance Enhancement Portfolio - Model Name: Broker Golden Stock Performance Enhancement Portfolio - Model Construction Idea: The model leverages the stock pool of broker golden stocks, optimizing the portfolio to control deviations from the stock pool in terms of individual stocks, industry, and style[6][32][60] - Model Construction Process: - Use the broker golden stock pool as the selection space and constraint benchmark - Optimize the portfolio to control deviations from the broker golden stock pool in terms of individual stocks, industry, and style[6][32][60] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[60] - Model Testing Results: - Annualized return of 19.34% from 2018.1.2 to 2025.6.30, with an annualized excess return of 14.38% compared to the equity hybrid fund index[61][64] Growth and Stability Portfolio - Model Name: Growth and Stability Portfolio - Model Construction Idea: The model adopts a "time-series first, cross-sectional later" approach to construct a two-dimensional evaluation system for growth stocks, focusing on the period before the official financial report release[7][38][65] - Model Construction Process: - Screen growth stocks based on research report titles indicating earnings surprises and significant earnings growth - Prioritize stocks closer to the financial report release date, and use multi-factor scoring to select high-quality stocks when the sample size is large - Introduce mechanisms to reduce portfolio turnover and avoid risks, such as weak balance, transition, buffer, and risk avoidance mechanisms[7][38][65] - Model Evaluation: The model can consistently rank in the top 30% of active equity funds each year[65] - Model Testing Results: - Annualized return of 35.51% from 2012.1.4 to 2025.6.30, with an annualized excess return of 26.88% compared to the equity hybrid fund index[66][69] Model Backtesting Results - Excellent Fund Performance Enhancement Portfolio: - Absolute return this week: -0.28%, annual absolute return: 27.54%, annual excess return: -3.91%[2][23] - Exceeding Expectations Selection Portfolio: - Absolute return this week: 1.29%, annual absolute return: 45.51%, annual excess return: 14.06%[2][31] - Broker Golden Stock Performance Enhancement Portfolio: - Absolute return this week: 0.39%, annual absolute return: 33.97%, annual excess return: 2.52%[2][37] - Growth and Stability Portfolio: - Absolute return this week: -1.23%, annual absolute return: 51.45%, annual excess return: 20.00%[3][44]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, aiming to outperform the median returns of actively managed equity funds, with a focus on four main strategies: Excellent Fund Performance Enhancement, Super Expected Selection, Broker Golden Stock Performance Enhancement, and Growth Stability Combination [2][3]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy had an absolute return of -0.28% this week and a year-to-date return of 27.54%, ranking in the 53.24 percentile among active equity funds [1][10]. - The Super Expected Selection strategy achieved an absolute return of 1.29% this week and 45.51% year-to-date, ranking in the 20.03 percentile among active equity funds [1][19]. - The Broker Golden Stock Performance Enhancement strategy reported an absolute return of 0.39% this week and 33.97% year-to-date, ranking in the 39.18 percentile among active equity funds [1][20]. - The Growth Stability Combination had an absolute return of -1.23% this week and 51.45% year-to-date, ranking in the 14.27 percentile among active equity funds [1][29]. Group 2: Excellent Fund Performance Enhancement - This strategy aims to benchmark against the median returns of actively managed equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [7][34]. - The strategy has shown a historical annualized return of 20.31% from 2012 to mid-2025, outperforming the benchmark by 11.83% [37]. Group 3: Super Expected Selection - The strategy focuses on stocks with super expected events, selecting based on fundamental and technical criteria to build a portfolio that captures significant excess returns [40][41]. - It has achieved an annualized return of 34.49% from 2010 to mid-2025, outperforming the benchmark by 32.62% [41]. Group 4: Broker Golden Stock Performance Enhancement - This strategy leverages the broker's stock pool, reflecting both top-down industry analysis and bottom-up stock selection, aiming to outperform the ordinary equity fund index [42]. - The strategy has recorded an annualized return of 19.34% from 2018 to mid-2025, exceeding the benchmark by 14.38% [43]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those closer to their earnings report dates to maximize excess returns [46]. - It has achieved an annualized return of 39.59% from 2012 to mid-2025, outperforming the benchmark by 34.73% [47].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin JinGong, focusing on their absolute and relative returns against benchmarks, specifically the active equity mixed fund index and the performance of individual stock pools [2][3][6]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.52% this week and a year-to-date return of 27.90%, underperforming the mixed fund index by 0.12% and 2.68% respectively [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.55% this week and 43.65% year-to-date, outperforming the mixed fund index by 13.07% [1][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 2.22% this week and 33.45% year-to-date, with a relative outperformance of 2.87% against the mixed fund index [1][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 2.83% this week and 53.34% year-to-date, outperforming the mixed fund index by 22.76% [1][28]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [7][33]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a robust stock selection [12][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the broader market while aiming for superior returns [16][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation method to identify growth stocks that are likely to outperform around earnings announcements, incorporating various risk management mechanisms [24][45].

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on their relative performance against benchmarks such as the active equity fund median and the mixed equity fund index [2][3][6]. Group 2 Active Quantitative Strategy Performance Tracking - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.31% this week and a year-to-date return of 24.74%, ranking in the 48.80 percentile among active equity funds [1][14]. - The "Super Expected Selection Portfolio" reported an absolute return of -1.63% this week and a year-to-date return of 41.45%, ranking in the 17.96 percentile among active equity funds [1][25]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of -2.58% this week and a year-to-date return of 30.55%, ranking in the 36.12 percentile among active equity funds [1][36]. - The "Growth and Stability Portfolio" showed an absolute return of -0.07% this week and a year-to-date return of 49.12%, ranking in the 10.90 percentile among active equity funds [1][44]. Group 3 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of public active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [7][49]. - The portfolio's construction considers the median position of active equity funds, with a current position of 90% [7][49]. Group 4 Super Expected Selection Portfolio - This portfolio selects stocks based on the occurrence of super expected events and analyst profit upgrades, focusing on both fundamental and technical criteria [19][56]. - The portfolio's construction also considers a 90% position based on the mixed equity fund index [19][56]. Group 5 Brokerage Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks from the brokerage golden stock pool, aiming to optimize performance while controlling deviations from the pool's characteristics [28][60]. - The portfolio also maintains a 90% position based on the ordinary equity fund index [28][60]. Group 6 Growth and Stability Portfolio - This portfolio employs a two-dimensional evaluation system for growth stocks, prioritizing stocks closer to their earnings report dates to capture potential excess returns [37][64]. - The portfolio also maintains a 90% position based on the mixed equity fund index [37][64].

Group 1 - The core viewpoint of the article emphasizes the performance tracking of GuoXin's active quantitative strategies, which aim to outperform the median returns of actively managed equity funds [2][3][5] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expected Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][5] Group 2 Excellent Fund Performance Enhancement Portfolio - This portfolio aims to benchmark against the median returns of actively managed equity funds, utilizing quantitative methods to enhance performance based on the holdings of top-performing funds [6][50] - As of this week, the portfolio achieved an absolute return of 3.51% and a relative excess return of 0.65% against the mixed equity fund index [11][12] Super Expected Selection Portfolio - This strategy selects stocks based on super expected events and analyst profit upgrades, focusing on both fundamental and technical criteria to build a portfolio [16][57] - The portfolio reported an absolute return of 2.90% this week and a year-to-date return of 43.79%, outperforming the mixed equity fund index by 15.51% [22][21] Broker Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks recommended by brokers, aiming to optimize performance while controlling deviations from the broker stock pool [25][61] - The portfolio achieved an absolute return of 4.77% this week and a year-to-date return of 34.01%, with a relative excess return of 5.72% against the mixed equity fund index [34][27] Growth Stability Portfolio - This strategy focuses on growth stocks, utilizing a two-dimensional evaluation system to prioritize stocks close to their earnings announcement dates, aiming to capture excess returns during favorable events [35][65] - The portfolio reported an absolute return of 2.47% this week and a year-to-date return of 49.23%, outperforming the mixed equity fund index by 20.94% [44][39]