证券研究报告 | 2025年11月22日 优秀基金业绩增强组合： 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 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-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469 ...

证券研究报告 | 2025年11月22日 本周，券商金股业绩增强组合绝对收益-4.15%，相对偏股混合型基金指数超 额收益 0.85%。本年，券商金股业绩增强组合绝对收益 27.25%，相对偏股 混合型基金指数超额收益 2.21%。今年以来，券商金股业绩增强组合在主动 股基中排名 38.69%分位点（1342/3469）。 主动量化策略周报 小盘成长大幅调整，成长稳健组合年内满仓上涨 48.45% 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-5.06%，相对偏股混合型基金指数超 额收益-0.07%。本年，优秀基金业绩增强组合绝对收益 18.71%，相对偏股 混合型基金指数超额收益-6.33%。今年以来，优秀基金业绩增强组合在主动 股基中排名 59.18%分位点（2053/3469）。 本周，超预期精选组合绝对收益-5.67%，相对偏股混合型基金指数超额收益 -0.68%。本年，超预期精选组合绝对收益 33.39%，相对偏股混合型基金指 数超额收益 8.35%。今年以来，超预期精选组合在主动股基中排名 26.72% 分位点（927/3469）。 本周，成长稳健组合 ...

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-5.06%，相对偏股混合型基金指数超额收 益-0.07%。本年，优秀基金业绩增强组合绝对收益18.71%，相对偏股混合型基金 指数超额收益-6.33%。 今年以来，优秀基金业绩增强组合在主动股基中排名 59.18%分位点（2053/3469）。 本周， 超预期精选组合 绝对收益-5.67%，相对偏股混合型基金指数超额收 益-0.68%。本年，超预期精选组合绝对收益33.39%，相对偏股混合型基金指数超 额收益8.35%。 今年以来，超预期精选组合在主动股基中排名26.72%分位点 （927/3469）。 本周， 券商金股业绩增强组合 绝对收益-4.15%，相对偏股混合型基金指数超额收 益0.85%。本年，券商金股业绩增强组合绝对收益27.25%，相对偏股混合型基金 指数超额收益2.21%。 今年以来，券商金股业绩增强组合在主动股基中排名 38.69%分位点（1342/3469）。 本 周 ， 成 长 稳 健 组 合 绝 对 收 益 -7.33% ， 相 对 偏 股 混 合 型 基 金 指 数 超 额 收 益-2.33%。本年，成长稳健组 ...

证券研究报告 | 2025年11月15日 主动量化策略周报 微盘红利领航，成长稳健组合年内相对股基指数超额 22.76% 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-1.80%，相对偏股混合型基金指数超 额收益-1.09%。本年，优秀基金业绩增强组合绝对收益 25.03%，相对偏股 混合型基金指数超额收益-6.58%。今年以来，优秀基金业绩增强组合在主动 股基中排名 58.46%分位点（2028/3469）。 本周，超预期精选组合绝对收益-2.36%，相对偏股混合型基金指数超额收益 -1.64%。本年，超预期精选组合绝对收益 41.40%，相对偏股混合型基金指 数超额收益 9.79%。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）。 以研报标题超预期与分析师全线上调净利润为条件筛选超预期事件股票池， 接着对超预期股票池进行基本面和技术面两个维度的精选，挑选出同时具备 基本面支撑和技术面共振的超预期股票，构建超预期精选股票组合。 券商金股业绩增强组合： 以券商金股股票池为选股空间和约束基准，采用组合优化的方式控制组合与 券商金股 ...

Group 1 - The core viewpoint of the article is to track the performance of various active quantitative strategies developed by GuoXin Securities, focusing on their relative performance against the active equity fund median [2][3][6]. - The report includes four main strategies: Excellent Fund Performance Enhancement Portfolio, Super Expected Selection Portfolio, Broker Golden Stock Performance Enhancement Portfolio, and Growth Stability Portfolio [2][3][6]. Group 2 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 [7][36]. - As of this week, the portfolio's absolute return is -1.80%, with a year-to-date return of 25.03%, ranking in the 58.46 percentile among active equity funds [11][38]. Super Expected Selection Portfolio - This portfolio selects stocks based on the criteria of exceeding expectations and analyst upgrades, focusing on both fundamental and technical analysis [13][42]. - The portfolio's absolute return this week is -2.36%, with a year-to-date return of 41.40%, ranking in the 27.15 percentile among active equity funds [21][43]. Broker Golden Stock Performance Enhancement Portfolio - This strategy utilizes a stock pool from broker recommendations and aims to optimize the portfolio while controlling deviations in stock selection and style [19][44]. - The portfolio's absolute return this week is -2.34%, with a year-to-date return of 32.74%, ranking in the 42.32 percentile among active equity funds [22][45]. 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 [27][48]. - The portfolio's absolute return this week is 0.29%, with a year-to-date return of 54.37%, ranking in the 11.65 percentile among active equity funds [31][49].

Core Insights - The report highlights the performance tracking of Guosen Securities' active quantitative strategies, indicating that various combinations have shown different levels of absolute and relative returns against benchmarks [1][12][13]. Summary by Sections Excellent Fund Performance Enhancement Portfolio - This portfolio aims to outperform the median returns of actively managed equity funds, with a year-to-date absolute return of 27.32% and a relative underperformance of -5.23% against the mixed equity fund index [1][22]. - The portfolio's performance for the week was -1.15%, with a relative underperformance of -1.21% against the mixed equity fund index [1][22]. Expected Selection Portfolio - The expected selection portfolio achieved an absolute return of 44.80% year-to-date, outperforming the mixed equity fund index by 12.25% [1][30]. - For the week, the portfolio's absolute return was 0.42%, with a relative outperformance of 0.36% against the mixed equity fund index [1][30]. Broker's Golden Stock Performance Enhancement Portfolio - This portfolio has a year-to-date absolute return of 35.91%, with a relative outperformance of 3.35% against the mixed equity fund index [1][38]. - The weekly performance showed an absolute return of 0.62% and a relative outperformance of 0.55% against the mixed equity fund index [1][38]. Growth and Stability Portfolio - The growth and stability portfolio has a year-to-date absolute return of 53.93%, outperforming the mixed equity fund index by 21.38% [1][46]. - For the week, the portfolio's absolute return was -1.02%, with a relative underperformance of -1.08% against the mixed equity fund index [1][46]. Market Overview - The median stock return for the week was 0.58%, with 55% of stocks rising and 45% falling; for the year, the median stock return was 25.48%, with 85% of stocks rising and 15% falling [2][50]. - The report indicates that the active equity fund median return for the year was 30.19%, with 98% of funds rising [2][50].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -1.15% this week and a year-to-date return of 27.32%, underperforming the mixed equity fund index by 1.21% and 5.23% respectively [1][4][8]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.42% this week and 44.80% year-to-date, outperforming the mixed equity fund index by 0.36% and 12.25% respectively [1][4][18]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.62% this week and 35.91% year-to-date, with excess returns of 0.55% and 3.35% compared to the mixed equity fund index [1][4][19]. - The "Growth and Stability Portfolio" had an absolute return of -1.02% this week and 53.93% year-to-date, underperforming the mixed equity fund index by 1.08% and outperforming it by 21.38% respectively [1][4][28]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement Portfolio" aims to outperform the median returns of actively managed equity funds by utilizing a quantitative approach based on the holdings of top-performing funds [5][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 [10][39]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" leverages the stock pool identified by brokerage analysts, optimizing the selection to maintain alignment with the performance of the broader equity fund index [14][41]. - The "Growth and Stability Portfolio" employs a time-series evaluation approach to identify growth stocks that are likely to release excess returns around earnings announcements, using a multi-factor scoring system for stock selection [23][45].

Core Viewpoint - The report tracks the performance of various active quantitative strategies by Guosen Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with a comparison to the mixed equity fund index as a benchmark [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" had an absolute return of -0.57% this week and a year-to-date return of 28.80%, underperforming the mixed equity fund index by 0.63% and 3.67% respectively [1][12]. - The "Super Expected Selection Portfolio" achieved an absolute return of 0.22% this week and 44.19% year-to-date, outperforming the mixed equity fund index by 0.16% and 11.72% respectively [1][20]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" recorded an absolute return of 0.31% this week and 35.08% year-to-date, with a relative outperformance of 0.24% and 2.61% against the mixed equity fund index [1][21]. - The "Growth and Stability Portfolio" had an absolute return of 0.56% this week and 55.51% year-to-date, outperforming the mixed equity fund index by 0.50% and 23.04% respectively [1][26]. Group 2: Strategy Summaries - The "Excellent Fund Performance Enhancement 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 [8][32]. - 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 portfolio of stocks with strong support [14][38]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage's recommended list, optimizing the portfolio to minimize deviation from this stock pool while aiming for superior returns [17][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 [25][44].

Quantitative Models and Construction Methods - **Model Name**: Excellent Fund Performance Enhancement Portfolio **Construction Idea**: Shift from benchmarking broad-based indices to benchmarking active equity funds, leveraging quantitative methods to enhance fund holdings for optimal selection [3][19][51] **Construction Process**: 1. Benchmark against active equity fund median returns, represented by the mixed equity fund index (885001.WI) [19][51] 2. Select funds based on performance layering, neutralizing return factors to mitigate style concentration risks [51] 3. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to selected fund holdings [52] **Evaluation**: Demonstrates stability and consistent outperformance against active equity fund medians [51][52] - **Model Name**: Outperformance Selection Portfolio **Construction Idea**: Focus on stocks with significant pre- and post-event excess returns triggered by outperformance events [4][57] **Construction Process**: 1. Filter stocks based on research report titles indicating outperformance and analysts' upward revisions of net profit [4][57] 2. Conduct dual-layer selection using fundamental and technical analysis to identify stocks with both fundamental support and technical resonance [4][57] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually [57] - **Model Name**: Brokerage Golden Stock Performance Enhancement Portfolio **Construction Idea**: Optimize the brokerage golden stock pool to achieve stable outperformance against the mixed equity fund index [5][62] **Construction Process**: 1. Use the brokerage golden stock pool as the stock selection space and benchmark [5][33] 2. Optimize portfolio to control deviations in individual stocks, industries, and styles relative to the golden stock pool [33][62] **Evaluation**: Reflects strong research capabilities and consistently ranks in the top 30% of active equity funds annually [62][63] - **Model Name**: Growth Stability Portfolio **Construction Idea**: Prioritize stocks with strong excess returns during the golden period of growth stock performance [6][67] **Construction Process**: 1. Segment growth stock pools based on the number of days until the scheduled financial report disclosure date, prioritizing stocks closer to the disclosure date [6][67] 2. Use multi-factor scoring to select high-quality stocks when sample size is large [6][67] 3. Introduce mechanisms such as weak balance, transition, buffering, and risk avoidance to reduce turnover and mitigate risks [67] **Evaluation**: Consistently ranks in the top 30% of active equity funds annually [67][68] --- Model Backtesting Results - **Excellent Fund Performance Enhancement Portfolio** - Annualized return: 20.31% (2012.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 11.83% - Consistently ranks in the top 30% of active equity funds annually [53][56] - **Outperformance Selection Portfolio** - Annualized return: 30.55% (2010.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 24.68% - Consistently ranks in the top 30% of active equity funds annually [58][60] - **Brokerage Golden Stock Performance Enhancement Portfolio** - Annualized return: 19.34% (2018.1.2-2025.6.30) - Excess return vs. mixed equity fund index: 14.38% - Consistently ranks in the top 30% of active equity funds annually [63][66] - **Growth Stability Portfolio** - Annualized return: 35.51% (2012.1.4-2025.6.30) - Excess return vs. mixed equity fund index: 26.88% - Consistently ranks in the top 30% of active equity funds annually [68][71]

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 and the mixed equity fund index [2][3]. Group 1: Performance Overview - The "Excellent Fund Performance Enhancement Portfolio" achieved an absolute return of 4.27% this week and a year-to-date return of 29.53%, underperforming the mixed equity fund index by 0.45% and 2.86% respectively [1][9]. - The "Super Expected Selection Portfolio" recorded an absolute return of 3.90% this week and 43.86% year-to-date, outperforming the mixed equity fund index by 0.08% and 11.47% respectively [1][20]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" had an absolute return of 5.82% this week and 34.66% year-to-date, exceeding the mixed equity fund index by 2.00% and 2.27% respectively [1][21]. - The "Growth and Stability Portfolio" posted an absolute return of 4.31% this week and 54.64% year-to-date, outperforming the mixed equity fund index by 0.49% and 22.26% respectively [1][30]. 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 [6][34]. - 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][41]. - The "Brokerage Golden Stock Performance Enhancement Portfolio" is constructed using a selection of stocks from the brokerage golden stock pool, optimizing the portfolio to minimize deviations from this benchmark [17][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 [27][47].