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].

| 报 告 摘 要 | | | --- | --- | | 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-0.63%，相对偏股混合型基金指数超额收 | | | 益-0.26%。本年，优秀基金业绩增强组合绝对收益0.73%，相对偏股混合型基金指 | | | 数超额收益-2.63%。 今年以来，优秀基金业绩增强组合在主动股基中排名54.34% | | | 分位点（1885/3469）。 | | | 本周， 超预期精选组合 绝对收益0.12%，相对偏股混合型基金指数超额收益 | | | 0.49%。本年，超预期精选组合绝对收益9.36%，相对偏股混合型基金指数超额收 | | | 益 6.00% 。 今 年 以 来 ， 超 预 期 精 选 组 合 在 主 动 股 基 中 排 名 15.71% 分 | 位 点 | | （545/3469）。 | | | 本周， 券商金股业绩增强组合 绝对收益-0.28%，相对偏股混合型基金指数超额收 益0.09%。本年，券商金股业绩增强组合绝对收益4.97%，相对偏股混合型基金指 | | | 数超额收益1.61%。 今年以来，券商金股业绩增强组合 ...

目前市场上主流的量化产品均以沪深300、中证500等宽基指数为业绩基准。国信金工主动量化策略 以公募主动股基为业绩基准，以战胜主动股基中位数为目标，目 前包含"优秀基金业绩增强组合"、"超预期精选组合"、"券商金股业绩增强组合"和"成长稳健组合"。 本报告旨在对这些策略的业绩表现进行跟踪，供投资者参考。 一 国信金工主动量化策略跟踪 1 组合近期表现一览 图1和图2分别展示了优秀基金业绩增强组合、超预期精选组合、券商金股业绩增强组合及成长稳健组合在本周及2024年的收益表现情况。 我们以偏股混合型基金指 数（885001.WI）为比较基准 ，以主动股基仓位中位数作为组合仓位计算组合净值。组合近期表现如下： 优秀基金业绩增强组合：本周超额收益0.19%，本年超额收益-1.99%。 超预期精选组合：本周超额收益0.46%，本年超额收益5.32%。 券商金股业绩增强组合：本周超额收益0.23%，本年超额收益2.31%。 成长稳健组合：本周超额收益1.50%，本年超额收益12.68%。 2 优秀基金业绩增强组合 国信金工 优秀基金业绩增强组合 ，旨在对标公募主动股基收益中位数（本文以偏股混合型基金指数885001.W ...

目前市场上主流的量化产品均以沪深300、中证500等宽基指数为业绩基准。国信金工主动量化策略 以公募主动股基为业绩基准，以战胜主动股基中位数为目标，目 前包含"优秀基金业绩增强组合"、"超预期精选组合"、"券商金股业绩增强组合"和"成长稳健组合"。 本报告旨在对这些策略的业绩表现进行跟踪，供投资者参考。 一 国信金工主动量化策略跟踪 1 组合近期表现一览 图1和图2分别展示了优秀基金业绩增强组合、超预期精选组合、券商金股业绩增强组合及成长稳健组合在本周及2024年的收益表现情况。 我们以偏股混合型基金指 数（885001.WI）为比较基准 ，以主动股基仓位中位数作为组合仓位计算组合净值。组合近期表现如下： 优秀基金业绩增强组合：本周超额收益-0.24%，本年超额收益-2.39%。 超预期精选组合：本周超额收益1.14%，本年超额收益2.30%。 券商金股业绩增强组合：本周超额收益1.09%，本年超额收益-0.33%。 成长稳健组合：本周超额收益0.79%，本年超额收益2.66%。 2 优秀基金业绩增强组合 国信金工 优秀基金业绩增强组合 ，旨在对标公募主动股基收益中位数（本文以偏股混合型基金指数885001. ...