主动量化策略周报 年度收官，四大主动量化组合本年均战胜主动股基中位数 证券研究报告 | 2026年01月03日 核心观点 金融工程周报 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-0.14%，相对偏股混合型基金指数超 额收益 0.50%。本年，优秀基金业绩增强组合绝对收益 31.88%，相对偏股 混合型基金指数超额收益-1.31%。今年以来，优秀基金业绩增强组合在主动 股基中排名 47.33%分位点（1642/3469）。 本周，超预期精选组合绝对收益-1.52%，相对偏股混合型基金指数超额收益 -0.89%。本年，超预期精选组合绝对收益 42.21%，相对偏股混合型基金指 数超额收益 9.02%。今年以来，超预期精选组合在主动股基中排名 30.33% 分位点（1052/3469）。 本周，券商金股业绩增强组合绝对收益-0.67%，相对偏股混合型基金指数超 额收益-0.04%。本年，券商金股业绩增强组合绝对收益 40.66%，相对偏股 混合型基金指数超额收益 7.47%。今年以来，券商金股业绩增强组合在主动 股基中排名 32.60%分位点（1131/3469）。 本周，成长稳健组合绝对 ...

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-0.14%，相对偏股混合型基金指数超额收 益0.50%。本年，优秀基金业绩增强组合绝对收益31.88%，相对偏股混合型基金 指数超额收益-1.31%。 今年以来，优秀基金业绩增强组合在主动股基中排名 47.33%分位点（1642/3469）。 本周， 超预期精选组合 绝对收益-1.52%，相对偏股混合型基金指数超额收 益-0.89%。本年，超预期精选组合绝对收益42.21%，相对偏股混合型基金指数超 额收益9.02%。 今年以来，超预期精选组合在主动股基中排名30.33%分位点 （1052/3469）。 本周， 券商金股业绩增强组合 绝对收益-0.67%，相对偏股混合型基金指数超额收 益-0.04%。本年，券商金股业绩增强组合绝对收益40.66%，相对偏股混合型基金 指数超额收益7.47%。 今年以来，券商金股业绩增强组合在主动股基中排名 32.60%分位点（1131/3469）。 本周， 成长稳健组合 绝对收益0.09%，相对偏股混合型基金指数超额收益 0.73%。本年，成长稳健组合绝对收益55.66%，相对偏股混合型基金指数超额收 ...

证券研究报告 | 2025年12月27日 主动量化策略周报 科创板块领涨，四大主动量化组合本周均战胜股基指数 核心观点 金融工程周报 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 3.01%，相对偏股混合型基金指数超 额收益 0.33%。本年，优秀基金业绩增强组合绝对收益 32.05%，相对偏股 混合型基金指数超额收益-1.98%。今年以来，优秀基金业绩增强组合在主动 股基中排名 48.34%分位点（1677/3469）。 本周，超预期精选组合绝对收益 2.92%，相对偏股混合型基金指数超额收益 0.24%。本年，超预期精选组合绝对收益 44.40%，相对偏股混合型基金指 数超额收益 10.36%。今年以来，超预期精选组合在主动股基中排名 28.39% 分位点（985/3469）。 本周，券商金股业绩增强组合绝对收益 4.59%，相对偏股混合型基金指数超 额收益 1.91%。本年，券商金股业绩增强组合绝对收益 41.60%，相对偏股 混合型基金指数超额收益 7.57%。今年以来，券商金股业绩增强组合在主动 股基中排名 32.69%分位点（1134/3469）。 本周，成长稳健组合绝对收益 ...

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3.01%，相对偏股混合型基金指数超额收 益0.33%。本年，优秀基金业绩增强组合绝对收益32.05%，相对偏股混合型基金 指数超额收益-1.98%。 今年以来，优秀基金业绩增强组合在主动股基中排名 48.34%分位点（1677/3469）。 本周， 超预期精选组合 绝对收益2.92%，相对偏股混合型基金指数超额收益 0.24%。本年，超预期精选组合绝对收益44.40%，相对偏股混合型基金指数超额 收益10.36%。 今年以来，超预期精选组合在主动股基中排名28.39%分位点 （985/3469）。 本周， 券商金股业绩增强组合 绝对收益4.59%，相对偏股混合型基金指数超额收 益1.91%。本年，券商金股业绩增强组合绝对收益41.60%，相对偏股混合型基金 指数超额收益7.57%。 今年以来，券商金股业绩增强组合在主动股基中排名 32.69%分位点（1134/3469）。 本周， 成长稳健组合 绝对收益3.07%，相对偏股混合型基金指数超额收益 0.39%。本年，成长稳健组合绝对收益55.51%，相对偏股混合型基金指数超额收 益 21. ...

证券研究报告 | 2025年12月20日 主动量化策略周报 股强基弱，优基增强组合近期超额持续攀升 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-0.12%，相对偏股混合型基金指数超 额收益 0.49%。本年，优秀基金业绩增强组合绝对收益 28.19%，相对偏股 混合型基金指数超额收益-2.35%。今年以来，优秀基金业绩增强组合在主动 股基中排名 48.46%分位点（1681/3469）。 本周，超预期精选组合绝对收益-1.06%，相对偏股混合型基金指数超额收益 -0.45%。本年，超预期精选组合绝对收益 40.29%，相对偏股混合型基金指 数超额收益 9.76%。今年以来，超预期精选组合在主动股基中排名 27.15% 分位点（942/3469）。 本周，券商金股业绩增强组合绝对收益-0.99%，相对偏股混合型基金指数超 额收益-0.38%。本年，券商金股业绩增强组合绝对收益 35.38%，相对偏股 混合型基金指数超额收益 4.85%。今年以来，券商金股业绩增强组合在主动 股基中排名 34.56%分位点（1199/3469）。 本周，成长稳健组合绝对收益 0.73%，相对偏股混合型基金指 ...

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-0.12%，相对偏股混合型基金指数超额收 益0.49%。本年，优秀基金业绩增强组合绝对收益28.19%，相对偏股混合型基金 指数超额收益-2.35%。 今年以来，优秀基金业绩增强组合在主动股基中排名 48.46%分位点（1681/3469）。 本周， 超预期精选组合 绝对收益-1.06%，相对偏股混合型基金指数超额收 益-0.45%。本年，超预期精选组合绝对收益40.29%，相对偏股混合型基金指数超 额收益9.76%。 今年以来，超预期精选组合在主动股基中排名27.15%分位点 （942/3469）。 本周， 券商金股业绩增强组合 绝对收益-0.99%，相对偏股混合型基金指数超额收 益-0.38%。本年，券商金股业绩增强组合绝对收益35.38%，相对偏股混合型基金 指数超额收益4.85%。 今年以来，券商金股业绩增强组合在主动股基中排名 34.56%分位点（1199/3469）。 本周， 成长稳健组合 绝对收益0.73%，相对偏股混合型基金指数超额收益 1.34%。本年，成长稳健组合绝对收益50.88%，相对偏股混合型基金指数超额收 益 ...

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, 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 Expectation 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][32] - As of this week, the portfolio achieved an absolute return of 2.14% and a relative excess return of 1.44% against the mixed equity fund index [11][19] - Year-to-date, the portfolio has an absolute return of 28.34%, with a relative excess return of -3.00%, ranking in the 49.90th percentile among 3,469 active equity funds [11][19] Super Expectation Selection Portfolio - This portfolio selects stocks based on super expectation events and analyst upgrades, focusing on both fundamental and technical criteria to identify stocks with strong support [13][39] - For the week, the portfolio recorded an absolute return of 0.72% and a relative excess return of 0.01% against the mixed equity fund index [19][40] - Year-to-date, it has achieved an absolute return of 41.78% and a relative excess return of 10.44%, ranking in the 26.58th percentile among active equity funds [19][40] Broker Golden Stock Performance Enhancement Portfolio - This strategy utilizes a stock pool from broker recommendations, optimizing the portfolio to minimize deviations from the stock pool while aiming to outperform the ordinary equity fund index [16][41] - This week, the portfolio achieved an absolute return of 1.62% and a relative excess return of 0.91% against the mixed equity fund index [20][44] - Year-to-date, it has an absolute return of 36.74% and a relative excess return of 5.40%, ranking in the 34.33rd percentile among active equity funds [20][44] Growth 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 [25][45] - For the week, it recorded an absolute return of 0.09% and a relative excess return of -0.62% against the mixed equity fund index [28][46] - Year-to-date, the portfolio has achieved an absolute return of 49.78% and a relative excess return of 18.45%, ranking in the 17.50th percentile among active equity funds [28][46]

本周，成长稳健组合绝对收益 0.09%，相对偏股混合型基金指数超额收益 -0.62%。本年，成长稳健组合绝对收益 49.78%，相对偏股混合型基金指数 超额收益 18.45%。今年以来，成长稳健组合在主动股基中排名 17.50%分位 点（607/3469）。 证券研究报告 | 2025年12月13日 主动量化策略周报 基金强股票弱，优基增强组合本周相对股基指数超额 1.44% 核心观点 金融工程周报 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 2.14%，相对偏股混合型基金指数超 额收益 1.44%。本年，优秀基金业绩增强组合绝对收益 28.34%，相对偏股 混合型基金指数超额收益-3.00%。今年以来，优秀基金业绩增强组合在主动 股基中排名 49.90%分位点（1731/3469）。 本周，超预期精选组合绝对收益 0.72%，相对偏股混合型基金指数超额收益 0.01%。本年，超预期精选组合绝对收益 41.78%，相对偏股混合型基金指 数超额收益 10.44%。今年以来，超预期精选组合在主动股基中排名 26.58% 分位点（922/3469）。 本周，券商金股业绩增强组合绝对收益 1. ...

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their returns relative to the active equity fund median, with the aim of providing insights for investors [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 1.75% this week and a year-to-date return of 25.64%, underperforming the relative benchmark by 4.78% [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.56% this week and a year-to-date return of 40.76%, outperforming the benchmark by 10.35% [1][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 0.67% this week and a year-to-date return of 34.55%, outperforming the benchmark by 4.14% [1][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 0.21% this week and a year-to-date return of 49.66%, outperforming the benchmark by 19.24% [1][27]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [6][32]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [12][38]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing for individual stock and style deviations [15][40]. - The "Growth and Stability Portfolio" employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [24][44].

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Model Construction Idea**: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund selection and achieve "best of the best" [4][18][50] **Model Construction Process**: 1. Benchmark against the median performance of active equity funds, represented by the mixed equity fund index (885001.WI) [18][50] 2. Use a performance-layered perspective to select funds, neutralizing return factors to avoid style concentration issues [50] 3. Optimize the portfolio to control deviations in individual stocks, industries, and styles relative to the selected fund holdings [51] **Model Evaluation**: Demonstrates strong stability and the ability to consistently outperform the median of active equity funds [50][51] - **Model Name**: Outperformance Stock Selection Portfolio **Model Construction Idea**: Focus on stocks with significant outperformance events, combining fundamental and technical analysis to select stocks with both fundamental support and technical resonance [5][56] **Model Construction Process**: 1. Filter stocks based on "outperformance" in research report titles and analysts' upward revisions of net profit [5][56] 2. Conduct dual-layer screening on the outperformance stock pool using fundamental and technical dimensions [56] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with significant excess returns [56][57] - **Model Name**: Broker Gold Stock Performance Enhancement Portfolio **Model Construction Idea**: Use the broker gold stock pool as the stock selection space and constraint benchmark, optimizing the portfolio to control deviations in individual stocks and styles [6][31][61] **Model Construction Process**: 1. Benchmark against the mixed equity fund index and use the broker gold stock pool as the selection space [31][61] 2. Further refine the stock pool to achieve stable outperformance of the benchmark [61] **Model Evaluation**: Demonstrates strong alpha potential and consistently ranks in the top 30% of active equity funds annually [61][62] - **Model Name**: Growth and Stability Portfolio **Model Construction Idea**: Focus on the "time variable" in growth stock investments, constructing a two-dimensional evaluation system for growth stocks using a "time-series first, cross-section later" approach [7][66] **Model Construction Process**: 1. Introduce an "excess return release map" to identify the strongest excess return periods before and after positive events [66] 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][66] 3. Incorporate mechanisms such as weak balancing, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [66] **Model Evaluation**: Consistently ranks in the top 30% of active equity funds annually, with high excess returns [66][67] Model Backtesting Results - **Excellent Fund Performance Enhancement Portfolio**: - Annualized return (2012.1.4-2025.6.30): 20.31% - Annualized excess return relative to mixed equity fund index: 11.83% - Most years ranked in the top 30% of active equity funds [52][55] - **Outperformance Stock Selection Portfolio**: - Annualized return (2010.1.4-2025.6.30): 30.55% - Annualized excess return relative to mixed equity fund index: 24.68% - Consistently ranked in the top 30% of active equity funds annually [57][59] - **Broker Gold Stock Performance Enhancement Portfolio**: - Annualized return (2018.1.2-2025.6.30): 19.34% - Annualized excess return relative to mixed equity fund index: 14.38% - Consistently ranked in the top 30% of active equity funds annually [62][65] - **Growth and Stability Portfolio**: - Annualized return (2012.1.4-2025.6.30): 35.51% - Annualized excess return relative to mixed equity fund index: 26.88% - Consistently ranked in the top 30% of active equity funds annually [67][70]