Core Viewpoint - The article discusses the performance and construction of four quantitative strategies: dividend, quality, growth, and value, highlighting their monthly and year-to-date performance metrics for February 2026. Group 1: Quantitative Strategy Monthly Performance Tracking - The dividend strategy achieved an absolute return of 0.16% in February 2026, underperforming the CSI Dividend Total Return Index by 2.18%. Year-to-date, it recorded a 9.46% absolute return, outperforming the index by 3.28% [5][8]. - The quality strategy had an absolute return of 2.12% in February 2026, exceeding the CSI Quality Total Return Index by 2.57%. For the year-to-date, it posted an 11.30% absolute return, outperforming the index by 9.20% [5][8]. - The growth strategy, with a 90% allocation, achieved an absolute return of 5.13% in February 2026, outperforming the Taibao Active Equity Growth Fund by 2.91%. Year-to-date, it recorded a 15.80% absolute return, exceeding the fund by 5.56% [5][8]. - The value strategy posted an absolute return of 2.02% in February 2026, slightly outperforming the Guoxin Value Total Return Index by 0.29%. However, year-to-date, it had a 6.55% absolute return, underperforming the index by 3.83% [6][8]. Group 2: Strategy Construction Methodology - The dividend strategy is constructed in two steps: first, selecting stocks expected to have increased dividends in the next year from various dimensions; second, applying multi-factor optimization to finalize the dividend portfolio [9]. - The quality strategy involves three steps: first, screening for stocks with a historical ROE of at least 10% over the past nine quarters; second, constructing stability factors based on profitability, growth, and leverage; third, scoring stocks based on growth, volatility, long-term momentum, and dividends to finalize the quality portfolio [11]. - The growth strategy is built in three steps: first, selecting the top 50 stocks based on analyst consensus profit growth; second, optimizing for stocks with the highest upward revisions in profit expectations; third, applying an industry rotation model to weight stocks in favorable sectors [14]. - The value strategy is constructed in two steps: first, selecting high ROE stocks with stable future expectations; second, optimizing for 50 stocks based on valuation factors to avoid value traps [18].

2026 年 03 月 04 日 成长组合相对太保主动偏股成长基 金 2 月超额收益 2.91% ——量化策略 2026 年 2 月月报 相关研究 - 证券分析师 杨俊文 A0230522070001 yangjw@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 研究支持 杨俊文 A0230522070001 yangjw@swsresearch.com 联系人 杨俊文 A0230522070001 yangjw@swsresearch.com 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 量 化 策 略 ⚫ 针对红利、质量、成长、价值四个量化组合，我们统计其 2026 年 2 月的单月业绩表现 以及今年以来的业绩表现。 ⚫ 单月（2026/2/1~2026/2/28），红利组合绝对收益为 0.16%，相对中证红利全收益指 数的超额收益为-2.18%；今年以来（2026/1/1 ...