证券研究报告 | 2025年08月23日 主动量化策略周报 双创板块大涨，优基增强组合本周上涨 4.17% 本年，股票收益中位数 23.19%，87%的股票上涨，13%的股票下跌；主动 股基中位数 22.06%，99%的基金上涨，1%的基金下跌。 优秀基金业绩增强组合： 在构建量化组合时，从传统地对标宽基指数，转变为对标主动股基。在借鉴 优秀基金持仓的基础上，采用量化方法进行增强，达到优中选优的目的。 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 4.17%，相对偏股混合型基金指数超 额收益 0.65%。本年，优秀基金业绩增强组合绝对收益 22.11%，相对偏股 混合型基金指数超额收益-2.61%。今年以来，优秀基金业绩增强组合在主动 股基中排名 49.21%分位点（1707/3469）。 本周，超预期精选组合绝对收益 3.71%，相对偏股混合型基金指数超额收益 0.19%。本年，超预期精选组合绝对收益 39.73%，相对偏股混合型基金指 数超额收益 15.01%。今年以来，超预期精选组合在主动股基中排名 14.36% 分位点（498/3469）。 本周，券商金股业绩增强组合绝对收益 3 ...

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4.17%，相对偏股混合型基金指数超额收 益0.65%。本年，优秀基金业绩增强组合绝对收益22.11%，相对偏股混合型基金 指数超额收益-2.61%。 今年以来，优秀基金业绩增强组合在主动股基中排名 49.21%分位点（1707/3469）。 本周， 超预期精选组合 绝对收益3.71%，相对偏股混合型基金指数超额收益 0.19%。本年，超预期精选组合绝对收益39.73%，相对偏股混合型基金指数超额 收益15.01%。 今年以来，超预期精选组合在主动股基中排名14.36%分位点 （498/3469）。 本周， 券商金股业绩增强组合 绝对收益3.94%，相对偏股混合型基金指数超额收 益0.42%。本年，券商金股业绩增强组合绝对收益27.90%，相对偏股混合型基金 指数超额收益3.18%。 今年以来，券商金股业绩增强组合在主动股基中排名 33.90%分位点（1176/3469）。 本 周 ， 成 长 稳 健 组 合 绝 对 收 益 3.38% ， 相 对 偏 股 混 合 型 基 金 指 数 超 额 收 益-0.14%。本年，成长稳健组合绝对收益 ...

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that the excellent fund performance enhancement portfolio achieved an absolute return of 3.70% this week and 17.22% year-to-date, ranking in the 49.35th percentile among active equity funds [1][12][23] - The report emphasizes the strong performance of the expected selection portfolio, which recorded an absolute return of 3.78% this week and 34.72% year-to-date, ranking in the 12.68th percentile among active equity funds [1][12][33] - The brokerage gold stock performance enhancement portfolio achieved an absolute return of 4.00% this week and 23.05% year-to-date, ranking in the 33.58th percentile among active equity funds [1][12][39] - The growth and stability portfolio reported an absolute return of 3.65% this week and 40.87% year-to-date, ranking in the 8.30th percentile among active equity funds [1][12][46] Excellent Fund Performance Enhancement Portfolio - The strategy aims to benchmark against the median return of active equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [3][17][52] - The portfolio's year-to-date performance shows a relative underperformance of -3.26% compared to the mixed equity fund index [16][23] Expected Selection Portfolio - This strategy selects stocks based on expected performance and analyst profit upgrades, focusing on both fundamental and technical criteria to build a robust portfolio [4][24][58] - The portfolio has outperformed the mixed equity fund index by 14.24% year-to-date [16][33] Brokerage Gold Stock Performance Enhancement Portfolio - The strategy utilizes a selection from the brokerage gold stock pool, optimizing the portfolio to minimize deviations from the benchmark [5][34][63] - Year-to-date, this portfolio has outperformed the mixed equity fund index by 2.57% [16][39] Growth and Stability Portfolio - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [6][40][68] - The portfolio has achieved a year-to-date return of 40.87%, significantly outperforming the mixed equity fund index by 20.39% [16][46]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median [2][4]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 3.70% this week and 17.22% year-to-date, ranking in the 49.35th percentile among active equity funds [4][9]. - The "Super Expected Selection Portfolio" recorded an absolute return of 3.78% this week and 34.72% year-to-date, ranking in the 12.68th percentile among active equity funds [4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 4.00% this week and 23.05% year-to-date, ranking in the 33.58th percentile among active equity funds [4][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 3.65% this week and 40.87% year-to-date, ranking in the 8.30th percentile among active equity funds [4][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][34]. - The "Super Expected Selection Portfolio" selects stocks based on positive earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria [12][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a stock pool from brokerage recommendations, optimizing for performance while controlling for deviations in stock selection and style [15][41]. - The "Growth and Stability Portfolio" employs a time-series approach to identify growth stocks that are likely to outperform around earnings announcements, incorporating various risk management mechanisms [24][45].

Core Insights - The report highlights the performance of various active quantitative strategies, with the Growth and Stability Portfolio achieving a year-to-date return of 40.33%, ranking in the top 7.12% among active equity funds [1][2][12] - The report tracks the absolute and relative performance of several enhanced portfolios, including the Excellent Fund Performance Enhancement Portfolio, the Exceeding Expectations Selection Portfolio, and the Broker's Golden Stock Performance Enhancement Portfolio [1][12][13] Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][16] - Year-to-date, the portfolio has achieved an absolute return of 13.04%, with a relative underperformance of -2.98% compared to the mixed equity fund index [20][21] Exceeding Expectations Selection Portfolio - The strategy involves selecting stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria [4][21] - The portfolio has delivered a year-to-date absolute return of 29.80%, outperforming the mixed equity fund index by 13.79% [30][58] Broker's Golden Stock Performance Enhancement Portfolio - This portfolio is constructed using a selection of stocks identified by brokers, aiming to optimize performance while maintaining alignment with the broker's stock pool [5][62] - Year-to-date, it has achieved an absolute return of 18.31%, with a relative outperformance of 2.29% compared to the mixed equity fund index [37][63] Growth and Stability Portfolio - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements [6][38] - It has achieved a year-to-date absolute return of 35.91%, outperforming the mixed equity fund index by 19.89% [45][68]

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their absolute and relative returns against benchmarks, particularly the active equity fund median [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 1.20% this week and 13.04% year-to-date, with a relative underperformance of -0.53% and -2.98% against the mixed equity fund index respectively [1][10]. - The "Super Expected Selection Portfolio" recorded an absolute return of 1.66% this week and 29.80% year-to-date, outperforming the mixed equity fund index by 13.79% this year [1][19]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 2.51% this week and 18.31% year-to-date, with a relative outperformance of 2.29% against the mixed equity fund index [1][20]. - The "Growth and Stability Portfolio" achieved an absolute return of 3.30% this week and 35.91% year-to-date, outperforming the mixed equity fund index by 19.89% this year [1][27]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns 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 [13][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing for minimal deviation from the benchmark [16][43]. - 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 [25][47].

Core Insights - The report highlights the performance of various active quantitative strategies, with a focus on the "Excellent Fund Performance Enhancement Portfolio," "Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [1][12][30][37] Group 1: Excellent Fund Performance Enhancement Portfolio - The portfolio achieved an absolute return of -1.03% for the week and 11.69% year-to-date, ranking in the 46.32 percentile among active equity funds [20][16] - The strategy aims to outperform the median return of active equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [3][50] Group 2: Expected Selection Portfolio - This portfolio recorded an absolute return of 2.16% for the week and 27.67% year-to-date, ranking in the 11.53 percentile among active equity funds [29][25] - The strategy selects stocks based on expected performance and analyst upgrades, focusing on both fundamental and technical criteria [4][56] Group 3: Brokerage Golden Stock Performance Enhancement Portfolio - The portfolio had an absolute return of -0.62% for the week and 15.41% year-to-date, ranking in the 33.73 percentile among active equity funds [36][32] - The strategy is based on a selection of stocks from the brokerage's top picks, aiming to optimize the portfolio while minimizing deviation from the benchmark [5][61] Group 4: Growth Stability Portfolio - This portfolio achieved an absolute return of 1.23% for the week and 31.57% year-to-date, ranking in the 8.19 percentile among active equity funds [45][40] - The strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [6][67]

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on outperforming the median returns of actively managed equity funds [2][3][31] - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expectation Selected Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][31] Group 2 Excellent Fund Performance Enhancement Portfolio - This strategy 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][31] - As of this week, the portfolio has an absolute return of -1.03% and a relative excess return of -0.65% compared to the mixed equity fund index [10][34] - Year-to-date, the portfolio has achieved an absolute return of 11.69% and ranks in the 46.32 percentile among active equity funds [10][35] Super Expectation Selected Portfolio - This strategy selects stocks based on exceeding expectations and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio [13][38] - This week, the portfolio has an absolute return of 2.16% and a relative excess return of 2.55% compared to the mixed equity fund index [18][34] - Year-to-date, it has achieved an absolute return of 27.67% and ranks in the 11.53 percentile among active equity funds [18][39] 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 average performance of ordinary equity funds [16][40] - This week, the portfolio has an absolute return of -0.62% and a relative excess return of -0.24% compared to the mixed equity fund index [19][34] - Year-to-date, it has achieved an absolute return of 15.41% and ranks in the 33.73 percentile among active equity funds [19][41] Growth Stability Portfolio - This strategy focuses on growth stocks, prioritizing those with upcoming earnings announcements to capture excess returns during favorable periods [24][44] - This week, the portfolio has an absolute return of 1.23% and a relative excess return of 1.61% compared to the mixed equity fund index [27][34] - Year-to-date, it has achieved an absolute return of 31.57% and ranks in the 8.19 percentile among active equity funds [27][45]

Core Insights - The report highlights the performance of various quantitative investment strategies, with a focus on the "Excellent Fund Performance Enhancement Portfolio," "Expected Selection Portfolio," "Brokerage Golden Stock Performance Enhancement Portfolio," and "Growth Stability Portfolio" [12][13][16][38]. Group 1: Excellent Fund Performance Enhancement Portfolio - The portfolio achieved an absolute return of 2.29% this week, with a relative excess return of 0.48% compared to the mixed equity fund index [21][37]. - Year-to-date, the portfolio has an absolute return of 12.86%, but a relative excess return of -1.63% against the mixed equity fund index [21][37]. - The portfolio ranks in the 44.05 percentile among active equity funds, with a ranking of 1528 out of 3469 [21][37]. Group 2: Expected Selection Portfolio - This portfolio recorded an absolute return of 0.45% this week, with a relative excess return of -1.36% compared to the mixed equity fund index [30][37]. - Year-to-date, it has an absolute return of 24.97% and a relative excess return of 10.48% against the mixed equity fund index [30][37]. - The portfolio ranks in the 13.64 percentile among active equity funds, with a ranking of 473 out of 3469 [30][37]. Group 3: Brokerage Golden Stock Performance Enhancement Portfolio - The portfolio achieved an absolute return of 1.75% this week, with a relative excess return of -0.06% compared to the mixed equity fund index [37][38]. - Year-to-date, it has an absolute return of 16.12% and a relative excess return of 1.64% against the mixed equity fund index [37][38]. - The portfolio ranks in the 32.52 percentile among active equity funds, with a ranking of 1128 out of 3469 [37][38]. Group 4: Growth Stability Portfolio - This portfolio recorded an absolute return of 0.28% this week, with a relative excess return of -1.52% compared to the mixed equity fund index [48][38]. - Year-to-date, it has an absolute return of 29.97% and a relative excess return of 15.49% against the mixed equity fund index [48][38]. - The portfolio ranks in the 8.27 percentile among active equity funds, with a ranking of 287 out of 3469 [48][38]. Group 5: Market Overview - The median stock return this week was 1.72%, with 73% of stocks rising and 27% falling; the median return for active equity funds was 1.81%, with 88% of funds rising and 12% falling [52]. - Year-to-date, the median stock return is 15.73%, with 81% of stocks rising and 19% falling; the median return for active equity funds is 11.54%, with 94% of funds rising and 6% falling [52].

Core Viewpoint - The article provides a comprehensive performance tracking of various active quantitative strategies by GuoXin JinGong, highlighting their absolute and relative returns against the benchmark of active equity funds, with a focus on identifying investment opportunities and risks in the current market environment [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 2.29% this week and 12.86% year-to-date, ranking in the 44.05 percentile among active equity funds [12][6]. - The "Super Expected Selection Portfolio" had an absolute return of 0.45% this week and 24.97% year-to-date, ranking in the 13.64 percentile among active equity funds [9][13]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 1.75% this week and 16.12% year-to-date, ranking in the 32.52 percentile among active equity funds [22][19]. - The "Growth and Stability Portfolio" achieved an absolute return of 0.28% this week and 29.97% year-to-date, ranking in the 8.27 percentile among active equity funds [23][24]. Group 2: Strategy Descriptions - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median return of active equity funds by utilizing quantitative methods to enhance the selection of top-performing funds [4][33]. - The "Super Expected Selection Portfolio" focuses on stocks with upward revisions in earnings forecasts, selecting those with strong fundamentals and technical support to construct a high-potential stock portfolio [37][9]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is built on a selection of stocks recommended by brokerage analysts, optimizing the portfolio to align closely with the performance of the brokerage stock pool [41][17]. - 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 [46][47].