2026 年 01 月 06 日 证券研究报告 | 公募基金周报 策略指数持续表现稳健，积极布局 2026 公募基金量化遴选类策略指数跟踪周报（2026.01.04） 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 海外市场同样也有相似的表现特征，整体上录得较高收益，期间同样经历风 险事件带来的较大波动，2025 年海外权益配置策略录得 13.98%的收益。 量化策略配置观点： 股基增强策略> 常青低波策略> 海外权益策略 A 股方面，我们持续看好 A 股未来的投资机会，短期来看，上证指数已经上冲 至 4000 点上方，量能也在 2026 年开年后有所放大，市场整体有望在春季攻 势的预期下进一步向上突破，可积极布局短期的弹性机会，当前时点股基增强 策略的吸引力依旧更大。常青低波策略可作为底仓进行组合配置，根据账户的 风险偏好特征进行比例上的设置，优化组合波动特征。 021-20515 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The A-share market is expected to gradually return to an upward trend as the factors causing previous adjustments are digested and alleviated. It is a good time to make short-term low-level layouts. The stock fund enhancement strategy has more room for growth, and the evergreen low-volatility strategy can be used as a base configuration [3][4]. - The US stock market is in a high-level volatile pattern in the short term. In the long term, the main driving force of the technology development trend remains strong, and the long-term upward trend of the US stock market is still optimistic [5]. - Different fund strategies have different performance. The evergreen low-volatility fund strategy has shown strong stability, the stock fund enhancement fund strategy has high volatility, the cash gain fund strategy has continuously accumulated excess returns, and the overseas equity allocation fund strategy has high long-term allocation value [5][6]. Summary by Relevant Catalogs 1. Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: It has maintained low - volatility characteristics for a long time, with significantly better volatility and maximum drawdown than the CSI Active Stock Fund Index. Since the strategy started on July 31, 2023, it has continued its low - volatility and small - drawdown attributes, showing both defensive and offensive capabilities [12][14]. - **Stock Fund Enhancement Fund Portfolio**: The strategy has been running for a short time, and its performance is close to that of the CSI Active Stock Fund Index. It is expected to have stronger elasticity when the market environment improves [12][17]. - **Cash Gain Fund Portfolio**: After double screening of risk elimination and scoring optimization, it has continuously outperformed the benchmark. Since the strategy started in late July 2023, it has accumulated more than 0.41% excess return [12][18]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut channel and the drive of artificial intelligence technology, it has accumulated a high level of excess return, and global allocation can increase the return of the equity investment portfolio [12][22]. 2. Tool - based Fund Portfolio Construction Ideas - **Evergreen Low - Volatility Fund Portfolio**: The goal is to select funds with long - term stable returns from high - equity - position actively managed funds. By adding restrictions on fund valuation levels, a low - volatility active equity fund portfolio is constructed [24][27]. - **Stock Fund Enhancement Fund Portfolio**: The goal is to meet the needs of equity fund investors with different risk preferences. By analyzing the source of fund returns and constructing a portfolio based on the significant continuity of Alpha returns, it is expected to bring excess performance [25][28]. - **Cash Gain Fund Portfolio**: A currency fund selection system is constructed by comprehensively considering various currency fund factors, helping investors obtain higher returns and reduce return volatility risks [25][29]. - **Overseas Equity Allocation Fund Portfolio**: Based on overseas equity market indices, by using long - term momentum and short - term reversal factors, an overseas equity allocation fund portfolio is constructed to assist investors in global investment [26][30].

Group 1 - The core viewpoint of the article indicates that the A-share market is showing signs of stabilization and potential upward movement after a period of adjustment, influenced by both internal and external factors [3][4] - The overseas market is experiencing similar trends, with the U.S. stock market recovering from previous adjustments due to the resolution of government shutdown concerns and renewed interest in interest rate cuts [3][4] Group 2 - The quantitative strategy allocation suggests prioritizing stock enhancement strategies over overseas equity strategies and low-volatility strategies, indicating a preference for more flexible investment approaches in the current market environment [4] - The A-share market is expected to maintain an upward trend in the medium to long term, despite short-term resistance, as the market shows signs of stabilization after adjustments [4][5] Group 3 - The performance of various fund strategies shows that the low-volatility fund strategy achieved a return of 1.585% this week, while the stock enhancement strategy returned 2.072%, indicating varying levels of performance among different strategies [5][8] - The overseas equity allocation fund strategy recorded a return of 3.244%, reflecting a positive outlook for U.S. equities driven by technological advancements and economic stability [6][8] Group 4 - The low-volatility fund strategy has demonstrated strong stability and lower volatility compared to the benchmark, effectively reducing portfolio fluctuations while maintaining decent returns [9][20] - The stock enhancement fund strategy aims to identify funds with strong alpha generation capabilities, which may perform better as market conditions improve [11][21] Group 5 - The cash-enhancing fund strategy has consistently outperformed its benchmark, providing a reliable option for cash management with accumulated excess returns since its inception [13][22] - The overseas equity allocation fund strategy has accumulated significant excess returns, benefiting from the global technology sector's growth and the easing of short-term risks [15][24]

Core Viewpoints - The market has shown signs of recovery from previous disturbances, with the Shanghai Composite Index rising above 3950 points, driven by increased confidence in industries and technology following the 20th Central Committee's Fourth Plenary Session [3] - The A-share market is expected to maintain an upward trend despite short-term resistance, with limited pullback space, suggesting a strategy of gradually accumulating positions [4][5] - The overseas market has seen reduced sensitivity to risks, with a positive outlook for U.S. stocks driven by strong technology trends and AI capital expenditures [5] Quantitative Strategy Allocation Views - The preferred strategy ranking is: Stock-based enhancement strategy > Overseas equity strategy > Evergreen low-volatility strategy [4] - The stock-based enhancement strategy has shown better performance compared to the evergreen low-volatility strategy, which serves as a foundational allocation to optimize portfolio volatility [4][5] Fund Strategy Performance - The Evergreen low-volatility fund strategy recorded a weekly return of 2.256%, while the stock-based enhancement strategy achieved 2.441% [9] - The cash-enhanced fund strategy yielded 0.026%, outperforming the benchmark [6] - The overseas equity allocation fund strategy recorded a return of 0.929%, indicating a strong long-term outlook for U.S. stocks amid technological advancements [6][9] Fund Composition Insights - The Evergreen low-volatility fund has maintained low volatility and drawdown characteristics, providing stable returns even during market fluctuations [10] - The stock-based enhancement fund strategy aims to identify funds with strong alpha generation capabilities, showing potential for better performance in improved market conditions [11] - The cash-enhanced fund strategy has consistently outperformed benchmarks, providing effective cash management solutions [13] - The overseas equity allocation fund has accumulated significant excess returns, benefiting from global technology trends and the Fed's monetary policy [16] Fund Construction Philosophy - The company employs quantitative methods to create a fund selection pool that meets diverse investor needs in varying market conditions [18] - The Evergreen low-volatility fund aims to provide stable returns in high-risk environments, appealing to conservative investors [20] - The stock-based enhancement fund focuses on identifying funds with strong stock-picking abilities to deliver excess returns [21] - The cash-enhanced fund strategy emphasizes selecting high-yield funds while minimizing volatility [22] - The overseas equity allocation fund strategy utilizes momentum and reversal factors to select high-performing international indices for investment [23]

Group 1 - The article highlights the increasing market volatility due to various factors, including China's special port fees on US vessels and renewed tariff discussions, which have dampened market sentiment and risk appetite [3] - The "Changqing Low Volatility" strategy has shown resilience, with a drawdown of only 2.35% since October 1, 2025, outperforming the benchmark index's drawdown of 6.97% and the CSI All Share's drawdown of 5.05% [3] - The A-share market is expected to maintain an upward trend in the medium to long term, despite short-term resistance, with strategies suggesting gradual accumulation of positions during market corrections [4] Group 2 - The "Changqing Low Volatility Fund" has consistently maintained low volatility and drawdown levels, outperforming the CSI Active Equity Fund Index since its strategy launch on July 31, 2023 [10] - The "Stock Enhancement Fund" strategy has shown performance close to the CSI Active Equity Fund Index, with potential for greater elasticity as market conditions improve [11] - The "Cash Growth Fund" has achieved a return of 0.027%, outperforming the benchmark, with cumulative excess returns exceeding 0.39% since its strategy launch [13] - The "Overseas Equity Allocation Fund" has accumulated high excess returns, benefiting from the backdrop of the Federal Reserve's easing policies and the growth of AI technology [17] Group 3 - The article discusses the construction of a new fund selection pool using quantitative methods to meet the diverse needs of investors in different market environments [19] - The "Changqing Low Volatility Fund" aims to select funds with long-term stable return characteristics, reflecting the investment style and risk control capabilities of fund managers [21][22] - The "Stock Enhancement Fund" strategy focuses on identifying funds with strong alpha generation capabilities, aiming for superior performance in favorable market conditions [23] - The "Cash Growth Fund" selection system is designed to optimize returns while minimizing risk for investors managing cash [24] - The "Overseas Equity Allocation Fund" utilizes momentum and reversal factors to select international equity indices for investment, enhancing global asset allocation [25]

Group 1 - The A-share market experienced a brief adjustment after approaching the high point of August 2025, but rebounded to create a new high for the year after falling to the 20-day moving average [2] - The overall market remains active and on an upward trend, with strong capital inflow intentions after the adjustment, indicating limited space for further decline [2][3] - The market is expected to maintain an upward trend despite short-term resistance, with strategies suggesting gradual accumulation of positions during dips [3] Group 2 - The quantitative strategy configuration suggests prioritizing stock enhancement strategies over overseas equity strategies and evergreen low-volatility strategies [3] - The evergreen low-volatility strategy has shown strong stability and has effectively reduced portfolio volatility, making it suitable for long-term allocation [5][13] - The stock enhancement strategy has the potential to accumulate excess returns as the market environment improves, with a focus on undervalued companies [5][16] Group 3 - The overseas equity allocation strategy has benefited from easing tariff expectations and strong earnings reports from tech companies, indicating a positive long-term outlook for US stocks [4][21] - The cash-enhancing fund strategy has consistently outperformed its benchmark, providing effective cash management solutions for investors [6][17] - The overseas equity configuration fund strategy has accumulated high levels of excess returns, highlighting the importance of global asset allocation [21][30]

Core Viewpoint - The A-share equity market is experiencing high-level fluctuations, with the Shanghai Composite Index showing a 0.84% increase this week, indicating a resilient market despite short-term adjustments [3][4]. Group 1: Market Performance - The A-share market remains strong, with the Shanghai Composite Index quickly rebounding after a brief correction near the 3900-point mark [3]. - The domestic equity fund strategy index also recorded gains this week, with low-volatility strategies underperforming in terms of excess returns [3][4]. Group 2: Fund Strategy Insights - The preferred fund strategies are ranked as follows: stock-enhanced strategies > overseas equity strategies > evergreen low-volatility strategies [4]. - The stock-enhanced fund strategy achieved a return of 1.389% this week, while the evergreen low-volatility strategy recorded a return of 1.249% [5]. - The cash-enhanced fund strategy outperformed the benchmark with a return of 0.027%, accumulating a total excess return of 0.481% since its inception [5]. Group 3: Overseas Market Dynamics - The overseas equity allocation fund strategy recorded a return of 0.329% this week, with a focus on the recovery of the U.S. stock market following tariff negotiations and strong earnings reports from tech companies [6]. - The U.S. economy shows no significant signs of recession, and the ongoing technological advancements are expected to drive future growth in the U.S. stock market [6]. Group 4: Fund Composition and Strategy - The evergreen low-volatility fund strategy has demonstrated strong stability and lower volatility compared to the benchmark, making it suitable for risk-averse investors [9]. - The stock-enhanced fund strategy aims to identify funds with strong alpha generation capabilities, which may yield excess returns as market conditions improve [10][21]. - The cash-enhanced fund strategy focuses on selecting high-yield money market funds to optimize short-term cash management [12][22]. - The overseas equity allocation fund strategy utilizes momentum and reversal indicators to select international equity indices for investment, enhancing global diversification [15][23].

1. Report Industry Investment Rating No relevant information found in the given content. 2. Core Views of the Report - The A-share equity market showed high-level volatility this week. The Shanghai Composite Index rose by 0.84%. The domestic equity fund strategy index also recorded varying degrees of gains. The low-volatility strategy maintained its low-volatility attribute but lost excess returns, while the stock fund enhancement strategy achieved better returns [2]. - The allocation view of quantitative strategies is: stock fund enhancement strategy > overseas equity strategy > Evergreen low-volatility strategy. The A-share market is expected to maintain an upward trend, and the stock fund enhancement portfolio has more room. The Evergreen low-volatility strategy can be used as a base allocation, and defensive sectors such as banks still have high long-term allocation value [3]. - Overseas, the US stock market is expected to pick up its upward trend. In the long term, the US economy has not shown a significant recession, and the US stock market is expected to start a new round of market under the combined effect of rapid technological growth and the digestion of short-term risk events [4][8]. 3. Summary by Related Catalogs 3.1 Quantitative Strategy Allocation View - The stock fund enhancement strategy has more room in the current A-share market, and the Evergreen low-volatility strategy can be used as a base allocation. Defensive sectors such as banks have high long-term allocation value after adjustment [3]. - Overseas, the US stock market is expected to pick up its upward trend, and global investment still has strong diversification allocation value [4][8]. 3.2 Performance of Toolized Fund Combinations - **Evergreen Low-Volatility Fund Combination**: It maintained low volatility and small drawdowns, with a weekly return of 1.249% and an excess return of -1.841%. Since the strategy started on July 31, 2023, it has achieved significant excess returns and has both defensive and offensive characteristics [5][13][15]. - **Stock Fund Enhancement Fund Combination**: The strategy has been running for a short time. It is expected to have stronger elasticity after the market environment improves. It had a weekly return of 1.389% and an excess return of -1.701% [5][13][18]. - **Cash Enhancement Fund Combination**: It continuously outperformed the benchmark, with a weekly return of 0.027% and a cumulative excess return of over 0.41% since the strategy started in late July 2023 [6][13][19]. - **Overseas Equity Allocation Fund Combination**: It has accumulated a high level of excess returns since July 31, 2023. Global allocation can increase the returns of the equity investment portfolio. It had a weekly return of 0.329% and an excess return of -1.513% [6][13][22]. 3.3 Construction Ideas of Toolized Fund Combinations - **Evergreen Low-Volatility Fund Combination**: Select funds with long-term stable returns from high-equity position actively managed funds, and construct an actively managed equity fund combination with low volatility characteristics from the two dimensions of net value performance and position characteristics [27]. - **Stock Fund Enhancement Fund Combination**: Allocate funds managed by fund managers with stronger Alpha mining capabilities in actively managed equity funds, and construct a stock fund enhancement fund combination strategy based on the significant continuity of Alpha returns [28]. - **Cash Enhancement Fund Combination**: Construct a money fund selection system by comprehensively considering various money fund factors to help investors obtain higher returns and reduce return volatility risks [29]. - **Overseas Equity Allocation Fund Combination**: Select QDII equity funds corresponding to the equity market indexes of different countries or regions according to long-term and short-term technical indicators, and construct an overseas market selection combination to meet the needs of global asset allocation [30].

Core Viewpoint - The A-share equity market has shown strong performance, with the Shanghai Composite Index rising by 3.49% this week, indicating sustained market enthusiasm and a high level of capital inflow into the market [3][4]. Quantitative Strategy Configuration Viewpoints - The ranking of fund strategies is as follows: Stock Enhancement Strategy > Overseas Equity Strategy > Evergreen Low Volatility Strategy, with the stock enhancement strategy showing greater potential in the current market environment [4]. - The A-share market is expected to maintain an upward trend despite potential short-term resistance, with limited room for pullbacks [4]. - The U.S. stock market has been buoyed by easing tariff expectations and strong earnings reports from tech companies, with a potential new round of interest rate cuts expected to provide further momentum [4][6]. Fund Strategy Performance - The Evergreen Low Volatility Fund Strategy recorded a weekly gain of 1.679%, but an excess return of -1.990%, indicating that while it has been stable, it may struggle to capture excess returns in a strong market [5][9]. - The Stock Enhancement Fund Strategy achieved a weekly return of 2.719% with an excess return of -0.949%, suggesting that it is well-positioned to capture alpha as the market evolves [5][9]. - The Cash Growth Fund Strategy yielded a return of 0.028%, outperforming the benchmark, with cumulative excess returns of 0.476% since its inception [5][9]. Overseas Equity Fund Strategy - The Overseas Equity Fund Strategy experienced a decline of -1.171% this week, with an excess return of -5.022%, reflecting the impact of tariff tensions and subsequent market adjustments [6][9]. - Despite recent volatility, the U.S. economy shows no significant signs of recession, and the ongoing technological advancements are expected to drive future growth in the U.S. stock market [6][9]. Fund Combination Construction Ideas - The company emphasizes the need for a quantitative approach to fund selection to meet the diverse needs of investors in different market environments and risk preferences [19][20]. - The Evergreen Low Volatility Fund aims to provide stable returns while minimizing volatility, making it suitable for risk-averse investors [21]. - The Stock Enhancement Fund focuses on identifying funds with strong alpha generation capabilities, aiming to deliver superior performance in favorable market conditions [22]. - The Cash Growth Fund is designed to optimize returns on cash management, ensuring investors can achieve higher yields with reduced risk [23]. - The Overseas Equity Fund seeks to provide global diversification by selecting high-potential international equity indices for investment [24].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The A-share equity market showed strong performance throughout the week, with major fund strategy indices hitting new highs. Overseas equities also resumed their upward trend after an early - month shock, and the market was less sensitive to risk factors [2]. - The recommended order of quantitative strategy allocation is: stock fund enhancement strategy > evergreen low - volatility strategy > overseas equity strategy. The A - share market is expected to maintain an upward trend, and the stock fund enhancement portfolio has more room. The evergreen low - volatility strategy can be used as a base configuration, and defensive sectors like banks still have high long - term allocation value. Overseas, the US stock market has been rising, but it's not advisable to chase high in the short term, while maintaining a long - term optimistic view [3][4]. 3. Summary by Related Catalogs 3.1 Quantified Strategy Allocation View - **A - share Market**: The Shanghai Composite Index is strong, breaking through multiple round - number points and last year's high. The market is expected to keep rising, with limited callback space. The stock fund enhancement portfolio has more room, and the evergreen low - volatility strategy and defensive sectors have long - term value [3]. - **Overseas Market**: The US stock market has been rising due to various factors. It's not advisable to chase high in the short term, but the long - term upward trend is still optimistic, and attention should be paid to potential dips for layout [4]. - **Equity Fund Strategies**: The evergreen low - volatility fund strategy rose this week with a return of 1.897% and an excess return of - 2.355%. It can reduce portfolio volatility and is still worth being a base - position configuration. The stock fund enhancement fund strategy rose with a return of 1.922% and an excess return of - 2.330%. The cash - enhancing fund strategy had a return of 0.028%, outperforming the benchmark. The overseas equity allocation fund strategy rose with a return of 1.868% and an excess return of - 1.045% [4][5]. 3.2 Tool - based Fund Portfolio Performance Tracking - **Evergreen Low - Volatility Fund Portfolio**: It has low - volatility characteristics, with significantly better volatility and maximum drawdown than the CSI Active Stock Fund Index. It has achieved significant excess returns since the strategy started in July 31, 2023, and has both defensive and offensive capabilities [11][13]. - **Stock Fund Enhancement Fund Portfolio**: Since the strategy started recently, its performance is close to the CSI Active Stock Fund Index. It is expected to have more elasticity when the market environment improves and can maintain a similar trend to the benchmark in a weak market [11][16]. - **Cash - Enhancing Fund Portfolio**: After double - screening, it continuously outperforms the benchmark, and has accumulated an excess return of over 0.41% since July 2023, providing a reference for cash management [11][17]. - **Overseas Equity Allocation Fund Portfolio**: Since July 31, 2023, in the context of the Fed's interest - rate cut cycle and the boost of AI technology, it has accumulated high - level excess returns, and global allocation can increase portfolio returns [11][20]. 3.3 Tool - based Fund Portfolio Construction Ideas - **General Idea**: Use quantitative methods to build a new - style fund selection pool for different market environments and risk - preference investors. For money funds and bond funds, also use quantitative methods to develop relevant tool - based portfolios [23]. - **Evergreen Low - Volatility Fund Portfolio**: Select funds with long - term stable returns from high - equity - position actively managed funds. Consider factors such as maximum drawdown, volatility, and valuation to build a low - volatility active equity fund portfolio [26]. - **Stock Fund Enhancement Fund Portfolio**: Aims to meet the needs of high - risk - preference investors. Select fund managers with strong alpha - mining ability, and build a portfolio based on the continuation of alpha returns [27]. - **Cash - Enhancing Fund Portfolio**: Build a money - fund selection system considering multiple factors to help investors obtain higher returns and reduce return volatility [28]. - **Overseas Equity Allocation Fund Portfolio**: Select QDII equity funds corresponding to overseas equity indices based on long - and short - term technical indicators, momentum, and reversal effects to meet the needs of global allocation [25][29].