正文目錄TOC\o"1-2"\h\z\u公募量化選股基金概況 4量化選股產品規模持續增長，市場集中度較高 4量化選股產品在市場下跌階段表現較高的勝率 7不同業績基準量化選股產品適配市場情形 8滬深300類量化選股產品下跌以及小盤成長占優階段超額表現較好 9中證500類量化選股產品下跌以及小盤風格占優階段超額表現較好 12中證800類量化選股產品下跌以及成長風格占優階段超額表現較好 15中證1000類量化選股產品下跌以及成長風格占優階段超額表現較好 17風險提示 19圖表目錄圖1：量化選股基金發現量集中在2017-2018年，當前存續243只 4圖2：量化選股基金數量規模逐年攀升，整體業績與偏股基金指數接近 4圖3：公募量化選股基金市場集中度較高，前10大基金公司規模占比接近60% 6圖4：量化選股產品業績基準對應為滬深300的數量最多 6圖5：量化選股產品業績基準對應為中證500的規模最大 6圖6：量化選股基金長期來看具有較好的超額收益 7圖7：業績基準為滬深300的量化選股基金指數年化超額3.67%，超額季度勝率66.23% 9圖8：業績基準為中證500的量化選股基金指數年化超額6.8%，超額季度勝率74.07% 12圖9：業績基準為中證800的量化選股基金指數年化超額4.39%，超額季度勝率64.81% 15圖10：業績基準為中證1000的量化選股基金指數年化超額8.93%，超額季度勝率67.74% 17表1：規模排行前15的量化選股基金規模門檻是14.29億元 5表2：前20大基金公司量化選股規模817.61億元，市場占比近80% 5表3：市場上漲階段量化選股基金指數勝率為31.58%，日均超額-0.06% 7表4：市場下跌階段量化選股基金指數勝率為100%，日均超額0.07% 8表5：2016年以來以中小盤為代表的中證500、中證1000類量化選股產品超額收益更高 9表6：滬深300上漲階段基準為滬深300的量化選股基金指數勝率43.75%，日均超額-0.04% 9表7：滬深300上漲階段表現較好的以滬深300為基準的量化選股基金相對擴散 10表8：滬深300下跌階段基準為滬深300的量化選股基金指數勝率96.55%，日均超額0.06% 表9：滬深300下跌階段表現較好的以滬深300為基準的量化選股基金相對集中 表10：中證500上漲階段基準為中證500的量化選股基金指數勝率21.74%，日均超額-0.07% 12表中證500上漲階段表現較好的以中證500為基準的量化選股基金相對擴散 13表12：中證500下跌階段基準為中證500的量化選股基金指數勝率95%，日均超額0.08% 14表13：中證500下跌階段表現較好的以中證500為基準的量化選股基金相對集中 14表14：中證800上漲階段基準為中證800的量化選股基金指數勝率6.67%，日均超額-0.05% 15表15：中證800上漲階段表現較好的以中證800為基準的量化選股基金相對擴散 16表16：中證800下跌階段基準為中證800的量化選股基金指數勝率100%，日均超額0.08% 16表17：中證800下跌階段表現較好的以中證800為基準的量化選股基金相對集中 17表18：中證1000上漲階段基準為中證1000的量化選股基金指數勝率33.33%，日均超額-0.03% 18表19：中證1000上漲階段表現較好的以中證1000基準的量化選股基金 18表20：中證1000下跌階段基準為中證1000的量化選股基金指數勝率81.82%，日均超額0.05% 19表21：中證1000下跌階段表現較好的以中證1000基準的量化選股基金 19公募量化選股基金概況本文量化選股產品專門指采用量化策略管理的偏股公募基金，不包括指增產品。從投資策略底層邏輯上看，所有的公募偏股產品都可以分為量化類和主觀選股類。二者的區別主要在于量化類產品以多因子選股模型和概率取勝，往往持股分散；而主觀選股類產品以基本面個股精選為主要特點，持股相對集中。一般量化產品以指增策略形式出現，即在一80%80%量化選股產品也需要錨定一個業績基準，以追求超越業績基準的收益為目標，因而也可以認為是類指增產品。我們從全市場公募基金中，選取募集說明書明確提到量化選股策略或者組合持倉表現出一定量化策略特性的基金作為量化選股產品進行研究。量化選股產品規模持續增長，市場集中度較高最早發行的一只量化選股產品為2004年成立的光大量化核心（360001，直到2009年22009年開始每年都有新增量化選股產品發行，而2017-2018201761只，201854只。從2018年開始，到期基金數開始增加，當前新發量化選股產品數量趨緩，到期數量較多。30 302525201510530 30252520151050-5-10 20151050-15 00000成立數量 到期數量 存續數量資料來源：，WIND;截止日期20230928從總規模上看，量化選股產品規模持續增加，當前在1000億元左右，屬于市場重要配置資產。量化選股產品整體業績曲線與偏股基金指數比較接近，但是節奏有所差異。圖2：量化選股基金數量規模逐年攀升，整體業績與偏股基金指數接近1,200 2.51,0008004002000

21.510.520071228200804142007122820080414200807222008110320090216200905252009083120091211201003252010070620101020201101252011051120110816201111282012031220120621201209262013011020130425201308072013112020140304201406122014091720141229201504142015072120151103201602152016052320160829201612122017032420170705201710162018011920180508201808132018112320190308201906192019092420200106202004202020073020201111202102232021060320210908202112222022040720220718202210282023020920230522基金規模(元,左軸） 量化選基金 偏股基金指數資料來源：，WIND;截止日期20230928目前大部分量化選股產品規模都不大，規模排行前15的量化選股基金規模門檻是14.29億元，規模50億以上的產品只有2只。表1：規模排行前15的量化選股基金規模門檻是14.29億元基金規模基金代碼 基金簡稱 成立日期 基金經理(合計,億元)006195國金量化多因子A20181031馬芳,姚加紅62.29014805國金量化精選A20220318馬芳50.28501219華夏智勝先鋒A20211215孫蒙38.34000006西部利得量化成長A20190319盛豐衍36.38001980中歐量化驅動20180516曲徑35.52001917招商量化精選A20160315王平34.14013641博道成長智航A20211026楊夢26.45005865浦銀安盛量化多策略A20180905羅雯24.46001734廣發百發大數據策略成長A20151118葉帥21.55005443國金量化多策略A20180201馬芳,姚加紅20.84018823國金智享量化選股混合A20230822馬芳19.92001637嘉實量化精選20151207劉斌,龍昌倫15.23018728華夏智勝新銳A20230707孫蒙15.00002983長信國防軍工A20170105宋海岸14.48004685金元順安元啟20171114繆瑋彬14.29資料來源：，WIND;截止日期20230928表2：前20大基金公司量化選股規模817.61億元，市場占比近80%基金公司基金數量基金規模代表產品代表基金代碼今年收益基金經理國金基金4153.34國金量化多因子A00619511.75%馬芳,姚加紅華夏基金691.52華夏智勝先鋒A50121912.69%孫蒙中歐基金869.55中歐量化驅動001980-7.77%曲徑博道基金662.80博道成長智航A01364111.24%楊夢西部利得344.04西部利得量化成長A0000068.56%盛豐衍嘉實基金640.73嘉實量化精選001637-1.50%劉斌,龍昌倫華泰柏瑞1040.36華泰柏瑞量化增強A000172-2.15%田漢卿,徐帥宇長信基金938.86長信國防軍工A002983-16.61%宋海岸招商基金134.14招商量化精選A00191711.30%王平景順長城832.16景順長城專精特新量化優選A014062-1.28%徐喻軍,曾理浙商基金630.03浙商智多興穩健回報一年持有A009181-1.68%陳亞芳,胡羿浦銀安盛224.98浦銀安盛量化多策略A0058650.10%羅雯廣發基金424.08廣發百發大數據策略成長A00173410.95%葉帥銀華基金823.97銀華新能源新材料量化A005037-22.45%李宜璇,張凱,楊騰華商基金823.08華商電子行業量化007685-1.71%艾定飛萬家基金522.92萬家量化睿選A004641-4.13%喬亮光大保德信316.03光大核心A3600014.62%韓羽辰,王衛林宏利基金515.59宏利波控回報12個月持有0108452.58%劉欣,寧霄,曾薏桐博時基金615.14博時智選量化多因子A0134650.59%劉釗金元順安114.29金元順安元啟00468517.29%繆瑋彬資料來源：，WIND;截止日期20230928從基金公司維度統計可以看出，量化選股基金規模排行前20的基金公司規模差異較大，并呈現規模高度集中的現象。前20大基金公司量化選股規模817.61億元，市場占比近80%，前10大基金公司規模占比接近60%，而管理規模30億以上的基金公司只有111001101家，8只以上的還有中歐基金、長信基金、景順長城、銀華基金和華商基金，其他基金公司管理數量比較少。圖3：公募量化選股基金市場集中度較高，前10大基金公司規模占比接近60%國金基金14.67其他21.77華夏基金8.76金元順安博時基金1.45宏利基金1.49光大保德信萬家基金2.19華商基金2.21銀華基金2.29廣發基金2.30浦銀安盛2.39浙商基金2.87景順長城

中歐基金6.65博道基金6.01西部利得4.21嘉實基金3.90華泰柏瑞3.86招商基金3.27長信基金3.72資料來源：，WIND;截止日期20230928從業績基準來看，絕大多數產品業績基準股票對應股票指數都是滬深300和中證500，其中數量最多的是滬深300指數，有83只，其次是中證500、中證800、中證10008只。按照規模統計，業績基50040%30020%左右。圖4：量化選股產品業績基準對應為滬深300的數量最多圖5：量化選股產品業績基準對應為中證500的規模最大其他,55

其他18滬深300,83

中證10004

中證50039中證全指,8中證1000,9

中證全指6中證800,34

中證80011中證500,54

滬深30022資料來源：，WIND;截止日期20230928 資料來源：，WIND;截止日期20230928其中某些量化產品可能實際運作上不一定會按照業績基準對應的股票指數來跟蹤運重要的資產配置對象。1.2量化選股產品在市場下跌階段表現較高的勝率由于中證800指數成分股具有較高的覆蓋度和市場代表性，我們采用中證800指數作為基準，測算全部量化選股類產品規模加權指數的相對業績表現。從圖6可以看出，量化選股基金指數明顯跑贏基準指數，這說明量化選股類產品具有相對不錯的業績表現。圖6：量化選股基金長期來看具有較好的超額收益1.81.61.41.210.80.60.420071228200804032007122820080403200807042008100820090106200904102009071020091014201001112010041520100716201010222011011920110426201107252011102720120201201205042012080120121102201302012013051420130813201311182014022020140522201408192014112120150226201505272015082420151127201603022016053120160829201612022017030820170609201709052017120720180313201806132018091020181213201903202019062120190918201912202020032620200630202009242020122920210402202107062021101120220106202204132022071420221018202301132023041920230721階段底部 階段頂部 量化選股基金指數 中證800指數 超額曲線資料來源：，WIND;起止日期20071228-20230928將中證800指數連續上漲超過12%的階段看作市場上漲階段，統計2008年以來量化選股類產品的超額業績表現，可以看出在上漲階段，量化選股基金指數跑贏指數難度比較大，日均超額只有-0.06%，但依然有不錯的正收益。在2008年12月到2009年8月以及2014520156800指數大幅上漲，但是量化選股基金指數并大漲階段相對收益會少一些，但還是可以獲得正收益。日均超額超額收益基金加權收益基準收益持續天數結束日期開始日期日均超額超額收益基金加權收益基準收益持續天數結束日期開始日期20080421200805051423.63%20.28%-3.35%-0.24%20081104200812103631.93%26.55%-5.39%-0.15%2008123120090804216108.63%76.75%-31.88%-0.18%20090831200912079831.79%27.27%-4.52%-0.05%201007052010110812644.03%39.67%-4.36%-0.04%20110125201104137815.83%11.93%-3.90%-0.05%20120105201203136820.02%15.21%-4.80%-0.07%20121203201302086731.39%23.74%-7.65%-0.12%201306272013101410917.27%18.99%1.72%0.02%2014051920150612389168.63%137.28%-31.35%-0.10%201508262015122211827.47%30.72%3.26%0.03%20160128201604147716.69%19.90%3.22%0.04%201705102017112219621.71%10.15%-11.56%-0.06%201901032019041910639.54%32.11%-7.43%-0.07%20200203202003053115.05%15.12%0.07%0.00%202003232020071311237.60%39.40%1.80%0.02%202009242021021914821.94%19.20%-2.74%-0.02%20220426202207046920.12%23.51%3.38%0.05%20221031202302019316.93%8.34%-8.59%-0.10%資料來源：，WIND;起止日期20080421-20230928；基準指數為中證800指數80012%的階段看作市場下跌階段，2008年以來量化選股基100%0.07%化選股類產品表現出相對不錯的超額業績。表4：市場下跌階段量化選股基金指數勝率為100%，日均超額0.07%開始日期結束日期持續天數基準收益基金加權收益超額收益日均超額2007122820080421115-37.66%-32.36%5.30%0.04%2008050520081104183-60.40%-55.36%5.04%0.03%200812102008123121-12.95%-9.23%3.72%0.17%200908042009083127-24.08%-22.43%1.65%0.06%201004142010070582-26.75%-20.95%5.80%0.07%201011082011012578-17.95%-16.92%1.03%0.01%201104132011062068-15.38%-12.42%2.97%0.04%201107152011102198-21.22%-17.26%3.96%0.04%201111042012010562-19.67%-16.40%3.27%0.05%2012050720120926142-19.42%-13.04%6.38%0.04%201305292013062729-17.72%-10.74%6.98%0.23%201506122015082675-44.13%-36.71%7.41%0.10%201512222016012837-28.37%-25.28%3.09%0.08%201801242018042692-12.97%-8.90%4.07%0.04%2018052120181018150-25.33%-23.59%1.74%0.01%201904192019060648-14.96%-13.11%1.86%0.04%202001132020020321-12.12%-8.92%3.20%0.15%202003052020032318-15.52%-13.99%1.52%0.08%202102192021032433-13.35%-12.33%1.02%0.03%2021121320220426134-26.33%-26.10%0.23%0.00%2022070420221031119-19.32%-12.36%6.96%0.06%資料來源：，WIND;起止日期20071228-20230928；基準指數為中證800指數12%行情下的表現，歷史數據展示出該類型產品在市場下跌行情過程中更容易跑贏市場，但并不意味著上漲過程中業績不行，而是市場大漲階段跑贏基準的難度相對較大，但上漲階段依然可以獲取相對不錯的正收益。不同業績基準量化選股產品適配市場情形3005008001000指數為股票業績基準的量3005008001000類量化選股產品。其中滬深300代表大盤、中證500代表中盤、中證800代表中大盤、中證1000代表小盤。從2016年以來的基金加權指數超額收益表現看，量化選股類產品普遍具有不錯的超額收益，只是超額部分波動較大。其中基準指數成分股偏大市值的滬深300類量化選股產品超額收益較小、而基準指數成分股偏小市值的中證1000類量化選股產品超額收益更高，呈現出基準指數市值風格越小，超額收益越高的現象。50070%500類量化產品規模最大。表5：2016年以來以中小盤為代表的中證500、中證1000類量化選股產品超額收益更高基金超額類型成分股市值中位數(億元)起始日期截止日期年化超額最大回撤年化波動月勝率季勝率滬深300類840.6520160122202309282.45%-22.79%6.93%47.31%61.29%中證800類303.7420160122202309285.96%-8.44%6.85%59.14%67.74%中證500類224.4120160122202309286.32%-9.58%6.05%64.52%70.97%中證1000類100.9720160122202309288.93%-13.12%9.12%66.67%67.74%資料來源：，WIND；起止日期：20160122-20230928；成分股市值中位數截止日期202309283005008001000類量化選股產品在成長風格中超額表現更好。數據表明市場下跌、小盤、成長階段都是量化選股類產品超額表現較好的階段，而市場上漲階段盡管跑贏基準難度相對較大，但依然有不錯的正收益。當市場上漲時，業績好的量化選股類產品相對擴散，業績排行不穩定；而市場下跌階段，業績好的量化選股類產品相對集中。滬深300類量化選股產品下跌以及小盤成長占優階段超額表現較好3002004好的超額收益，但超額收益曲線波動較大。圖7：業績基準為滬深300的量化選股基金指數年化超額3.67%，超額季度勝率66.23%900%800%600%500%400%300%200%100%2004082720050112200408272005011220050607200510202006031020060725200612072007042620070910200801252008061620081030200903182009073020091215201005042010091420110209201106232011110820120326201208092012122420130520201310092014022420140708201411212015041020150820201601072016052520161013201702282017071320171127201804162018082720190114201906042019102120200306202007222020120720210423202109062022012420220616202211012023031720230802

140%120%100%80%60%40%20%0%-20%基金組合 滬深300 超額收益(右軸)資料來源：，WIND；起止日期：20040827-20230928我們將滬深300指數連續上漲超過12%的階段看作大盤上漲階段，統計2010年以來以滬深300指數為基準的量化選股類基金規模加權指數的超額業績表現。表6：滬深300上漲階段基準為滬深300的量化選股基金指數勝率43.75%，日均超額-0.04%開始日期結束日期持續天數基準收益基金加權收益超額收益日均超額大盤價值大盤成長中盤價值中盤成長小盤價值小盤成長201007052010110812641.23%40.53%-0.70%-0.01%27.27%42.89%55.44%54.88%49.37%53.28%20110125201104137814.75%12.00%-2.75%-0.04%15.49%13.68%19.54%13.77%20.06%16.71%20120105201203136817.78%14.83%-2.95%-0.04%10.68%19.00%25.38%24.10%26.16%27.63%20121203201302066531.63%22.19%-9.43%-0.15%36.51%35.10%29.82%31.64%26.46%30.43%20130627201309127716.05%16.94%0.90%0.01%21.42%14.48%22.50%13.89%20.03%18.99%201408282015010713257.65%22.96%-34.70%-0.32%70.76%44.87%53.80%16.74%39.51%19.09%201502062015060812261.63%68.25%6.62%0.05%52.95%53.80%90.22%85.76%96.69%107.87%201508262015122211828.13%29.92%1.79%0.02%26.31%33.42%18.19%22.43%26.87%33.33%20160128201604147714.79%20.47%5.68%0.07%9.96%14.72%17.88%19.37%22.81%24.93%201705102017112219626.66%12.33%-14.33%-0.08%32.52%26.37%9.64%15.87%7.32%1.78%201901032019041910638.98%33.05%-5.93%-0.06%31.57%50.15%36.26%39.97%39.23%40.86%20200203202003053114.05%15.36%1.31%0.04%8.96%17.10%16.77%19.17%17.76%16.79%202003232020071311237.47%38.75%1.29%0.01%20.06%55.24%22.71%43.02%30.94%36.48%202009242021021013927.28%21.49%-5.79%-0.04%14.49%48.21%9.16%25.61%0.67%10.94%20220426202207046918.81%22.81%4.00%0.06%4.36%25.11%13.15%29.67%14.26%29.69%20221031202301309119.74%10.05%-9.69%-0.11%20.04%21.11%12.69%12.32%9.87%7.33%資料來源：，WIND；起止日期：20100705-202310928；大盤價值、大盤成長等風格為國證風格指數30050%，日均超額只有-0.04%30020150206-20150608、20160128-20160414、20220426-20220704，都屬于中小盤或者成長股風格占優階段，反之20140828-20150107、20170510-20171122都屬于大盤或者價值股占優階段。歷史數據展示出當市場上漲階段，如果是以大盤或者價值風格驅動的，則跑贏基準的難度比較大，而如果是小盤或者成長風格驅動的，則跑贏基準指數型相對比較容易。滬深300指數上漲階段，基本上都有表現好的基金收益超過基準指數，只不過收益好的基金變動比較大，表現為業績突出的基金相對擴散。表7：滬深300上漲階段表現較好的以滬深300為基準的量化選股基金相對擴散開始 結束日期 日期基準收益收益中位數基金個數基金1基金收益基金2基金收益基金3基金收益201007052010110841.23%35.30%7華商動態阿爾法(630005)47.47%光大核心A(360001)44.95%南方策略優化(202019)36.34%201101252011041314.75%10.90%8南方策略優化(202019)14.32%摩根阿爾法A(377010)13.12%光大核心A(360001)13.06%201201052012031317.78%16.57%12華安量化多因子(160415)22.49%華富量子生命力(410009)22.10%華商動態阿爾法(630005)20.00%201212032013020631.63%22.44%16光大核心A(360001)30.40%華商動態阿爾法(630005)29.82%華富量子生命力(410009)28.48%201306272013091216.05%11.46%20華商大盤量化精選(630015)22.93%光大核心A(360001)22.63%華商動態阿爾法(630005)20.43%201408282015010757.65%22.03%24交銀阿爾法A(519712)61.49%華泰柏瑞量化增強A(000172)52.50%大摩量化配置A(233015)40.65%201502062015060861.63%76.43%25 A(377010)137.55%華潤元大量化優選A(000646)103.02%長信量化先鋒A(519983)100.85%201508262015122228.13%36.72%31 A(519983)59.80%長信量化多策略A(519965)54.65%國泰量化策略收益A(000199)47.62%201601282016041414.79%20.54%33 華富量子生命力(410009)30.13%摩根動態多因子A(001219)28.31%中海量化策略(398041)28.18%201705102017112226.66%13.20%49 華泰柏瑞量化優選(000877)25.13%德邦量化優選A(167702)24.78%華泰柏瑞量化增強A(000172)24.60%201901032019041938.98%32.90%76 中海量化策略(398041)43.62%匯安多策略A(005109)43.49%宏利改革動力A(001017)41.64%202002032020030514.05%14.97%82 中海量化策略(398041)36.13%大成動態量化A(003147)23.72%諾德量化核心A(006267)22.83%202003232020071337.47%40.33%82 A(000609)55.70%長信量化先鋒A(519983)54.62%華商大盤量化精選(630015)54.53%202009242021021027.28%25.82%86鵬揚元合量化大盤優選A(007137)52.46%東吳配置優化A(582003)45.19%長盛多因子策略優選(006478)39.89%202204262022070418.81%21.82%91鵬揚元合量化大盤優選A(007137)51.36%易方達易百智能量化策略A(005437)49.72%先鋒量化優選A(006401)47.96%202210312023013019.74%8.35%85 A(005109)27.67%大成智惠量化多策略(004209)23.39%德邦民裕進取量化精選A(005947)19.56%資料來源：，WIND；起止日期：20100705-20230928;只展示區間部分收益靠前的量化選股基金，不夠成基金推薦30012%200912月以來300指數為基準的量化選股類產品的超額業績表現，可以看出在下跌階段，滬深30096.55%0.06%?？梢娫诖蟊P下跌30020180515-20181018，300產品基本上也能跑贏大盤，只不過超額收益不高。這說明當市場下跌時，量化選股類產品基本上能夠跑贏大盤，只不過小盤風格占優時超額表現更好。整體上看，小盤成長相對大盤價值收益越高，滬深300類量化產品日均超額越高。表8：滬深300下跌階段基準為滬深300的量化選股基金指數勝率96.55%，日均超額0.06%開始日期結束日期持續天數基準收益基金加權收益超額收益日均超額大盤價值大盤成長中盤價值中盤成長小盤價值小盤成長200912072010020257-14.25%-11.20%3.04%0.05%-13.04%-12.76%-8.08%-7.02%-5.10%-3.81%201004022010070594-26.26%-20.48%5.77%0.06%-25.47%-27.93%-28.76%-27.67%-26.92%-27.22%201011082011012578-17.19%-17.11%0.08%0.00%-15.03%-18.23%-18.94%-17.35%-17.29%-19.33%201104132011062068-14.74%-12.61%2.13%0.03%-13.47%-13.24%-17.75%-15.75%-16.68%-17.91%201107152011102198-19.85%-17.46%2.39%0.02%-13.75%-20.30%-23.45%-24.95%-25.15%-25.57%201111042012010562-17.63%-16.21%1.42%0.02%-9.58%-16.10%-23.03%-23.68%-26.47%-25.79%2012050720120926142-19.61%-13.02%6.59%0.04%-16.18%-17.17%-21.59%-18.45%-21.29%-16.71%201302062013041568-12.21%-5.27%6.94%0.10%-13.95%-13.33%-9.26%-6.04%-7.45%-5.53%201305282013062730-18.29%-10.60%7.69%0.25%-18.69%-17.56%-18.01%-14.99%-16.03%-13.19%2013120420140320106-15.68%-6.39%9.30%0.08%-16.27%-15.78%-9.41%-7.78%-2.10%3.27%201506082015082679-43.48%-33.98%9.50%0.11%-39.52%-38.05%-40.83%-42.63%-44.96%-44.93%201512222016012837-26.39%-26.23%0.15%0.00%-19.80%-24.75%-30.80%-30.74%-31.61%-34.22%201801242018041783-14.61%-10.90%3.71%0.04%-16.76%-16.46%-13.23%-5.47%-12.32%-5.94%2018051520181018156-22.42%-23.75%-1.33%-0.01%-14.13%-30.33%-28.80%-36.78%-29.08%-38.15%201904192019060648-13.49%-12.59%0.90%0.02%-11.31%-15.73%-16.41%-18.48%-19.35%-20.21%202001132020020321-12.27%-9.01%3.25%0.15%-12.32%-12.13%-15.65%-10.34%-13.84%-11.09%202003052020032318-16.08%-14.26%1.81%0.10%-15.90%-17.50%-12.38%-16.78%-13.18%-15.91%202102102021032543-15.18%-13.82%1.36%0.03%-3.86%-23.21%-4.09%-16.20%4.21%-5.91%2021121320220426134-25.57%-24.38%1.19%0.01%-9.43%-31.84%-19.63%-33.16%-17.77%-35.25%2022070420221031119-21.96%-14.69%7.27%0.06%-18.75%-25.39%-14.07%-18.39%-13.07%-13.25%資料來源：，WIND；起止日期：20091207-202310928；大盤價值、大盤成長等風格為國證風格指數大盤下跌階段，表現較好的基金相對集中，如中海量化策略(398041)、國泰策略價值(020022)、金元順安元啟(004685)多次業績表現突出。表9：滬深300下跌階段表現較好的以滬深300為基準的量化選股基金相對集中開始 結束日期 日期基準收益收益中位數基金個數基金1基金收益基金2基金收益基金3基金收益2009120720100202-14.25%-10.04%4中海量化策略(398041)-9.58%摩根阿爾法A(377010)-10.02%華商動態阿爾法(630005)-10.05%2010040220100705-26.26%-19.72%5華商動態阿爾法(630005)-17.83%中海量化策略(398041)-17.86%摩根阿爾法A(377010)-19.72%2010110820110125-17.19%-16.24%7中海量化策略(398041)-10.07%華商動態阿爾法(630005)-13.21%大成核心雙動力A(090011)-13.22%2011041320110620-14.74%-12.77%9東吳安享量化A(580007)-6.34%長信量化先鋒A(519983)-11.53%華富量子生命力(410009)-12.34%2011071520111021-19.85%-17.66%10國泰策略價值(020022)-1.60%東吳安享量化A(580007)-16.41%大成核心雙動力A(090011)-16.59%2011110420120105-17.63%-20.76%12國泰策略價值(020022)-3.87%光大核心A(360001)-15.74%華商動態阿爾法(630005)-18.03%2012050720120926-19.61%-15.47%12國泰策略價值(020022)0.70%東吳安享量化A(580007)-5.08%華商動態阿爾法(630005)-9.43%2013020620130415-12.21%-5.21%19國泰策略價值(020022)2.67%東吳配置優化A(582003)1.66%中海優勢精選(393001)0.49%2013052820130627-18.29%-10.30%20國泰策略價值(020022)-0.83%中海優勢精選(393001)-1.51%東吳配置優化A(582003)-2.29%2013120420140320-15.68%-1.75%22諾安多策略(320016)6.70%長信量化先鋒A(519983)5.94%華富量子生命力(410009)4.92%2015060820150826-43.48%-40.97%30國泰策略價值(020022)1.29%東吳配置優化A(582003)-1.74%大摩量化多策略(001291)-12.97%2015122220160128-26.39%-25.88%33國泰策略價值(020022)-4.15%東吳配置優化A(582003)-6.85%東方啟明量化先鋒(400018)-12.55%2018012420180417-14.61%-10.37%65中海量化策略(398041)5.12%前海開源量化優選A(002495)4.30%中海優勢精選(393001)2.16%2018051520181018-22.42%-21.45%69金元順安元啟(004685)0.35%安信量化多因子A(004592)-5.13%九泰盈華量化A(168106)-7.44%2019041920190606-13.49%-12.55%78金元順安元啟(004685)0.00%浙商匯金量化精選靈活(006449)-1.35%東吳配置優化A(582003)-1.65%2020011320200203-12.27%-9.78%82匯安宜創量化精選A(008251)-1.43%光大事件驅動(003704)-2.20%南方策略優化(202019)-3.72%2020030520200323-16.08%-14.08%83泰達睿選穩健混合(004000)-2.85%金元順安元啟(004685)-4.49%博時量化平衡(004495)-7.34%2021021020210325-15.18%-14.87%88金元順安元啟(004685)11.66%中海優勢精選(393001)0.43%博時量化平衡(004495)-1.41%2021121320220426-25.57%-27.25%90金元順安元啟(004685)5.55%中海優勢精選(393001)3.73%6A(009244)-3.71%2022070420221031-21.96%-15.64%87金元順安元啟(004685)3.96%民生加銀量化中國A(002449)0.72%東吳多策略A(580009)0.29%資料來源：，WIND；起止日期：20091207-202310928；只展示區間部分收益靠前的量化選股基金，不夠成基金推薦中證500類量化選股產品下跌以及小盤風格占優階段超額表現較好5002010好的超額收益，超額收益曲線相對比較穩。圖8：業績基準為中證500的量化選股基金指數年化超額6.8%，超額季度勝率74.07%300%250%200%150%100%201006222010090820100622201009082010120720110303201105252011081220111108201202032012042620120718201210112012122820130328201306262013091220131210201403062014052820140815201411112015013020150428201507172015101420151231201603282016062020160906201612022017022820170522201708102017110320180123201804202018071220181008201812252019032220190617201909032019112820200225202005192020080720201103202101212021041920210712202109302021122420220322202206162022090220221129202302232023051820230808-50% 基金組合 基準指數 超額收益資料來源：，WIND；起止日期：20100622-20230928將中證500指數連續上漲超過12%的階段看作市場上漲階段，統計2010年以來以中50050020%左右，日均超額為-0.07%。雖然而該類量化選股產品在市場上漲期間跑贏指數難度較大，但依然可以獲得相對不錯的正收益，并表現出20150915-20151125期間日均超額高0.15%33.61%20190103-20190404期間日均超額只有-0.12%14%左右。不過從風格貢獻角度看，大小盤的影響更大些，成長價值風格影響較小。表10：中證500上漲階段基準為中證500的量化選股基金指數勝率21.74%，日均超額-0.07%開始日期結束日期持續天數基準收益基金加權收益超額收益日均超額大盤價值大盤成長中盤價值中盤成長小盤價值小盤成長201006222010111014133.13%15.90%-17.23%-0.13%14.69%26.23%35.54%35.86%30.68%33.38%20110125201103255920.05%14.46%-5.59%-0.10%9.62%12.39%19.11%15.27%20.70%18.37%20110620201107152514.43%4.15%-10.27%-0.43%6.03%9.45%11.12%13.95%15.08%15.52%20111021201111152514.19%12.34%-1.85%-0.07%6.75%8.48%11.15%14.22%12.42%14.18%20120105201203136827.18%23.70%-3.48%-0.05%10.68%19.00%25.38%24.10%26.16%27.63%20121203201303069332.91%29.35%-3.57%-0.04%27.72%26.35%25.75%33.66%26.72%34.53%20130415201305304515.49%10.16%-5.33%-0.12%5.99%6.43%9.95%14.84%11.96%16.14%201306252013101511226.56%22.48%-4.08%-0.04%13.18%10.20%27.17%23.10%25.50%29.32%20140113201402173516.63%12.37%-4.26%-0.12%2.43%3.74%12.57%11.26%16.57%16.42%2014042820150612410213.36%207.26%-6.10%-0.02%130.47%111.21%216.36%165.72%222.17%226.64%20150708201508174033.60%35.87%2.28%0.06%-0.75%5.77%39.07%24.69%41.21%24.26%20150915201511257138.79%49.97%11.18%0.15%8.81%18.08%23.90%31.20%36.24%42.42%20160128201604147721.45%20.64%-0.81%-0.01%9.96%14.72%17.88%19.37%22.81%24.93%201605182016090811315.75%18.60%2.85%0.02%7.13%7.71%11.33%15.07%16.07%16.27%201706012017101313417.51%11.97%-5.54%-0.04%9.72%15.18%11.98%14.27%13.76%12.54%20180209201803123113.34%8.21%-5.12%-0.17%4.40%9.87%9.16%13.55%10.05%12.99%20181018201811193216.23%10.28%-5.95%-0.19%5.27%11.74%13.61%16.33%15.33%17.92%20190103201904049142.76%32.14%-10.62%-0.12%28.41%46.75%37.47%43.11%40.07%43.09%20190809201909093114.41%11.77%-2.64%-0.09%4.72%12.16%8.11%15.02%9.63%16.38%201911152020022510221.14%18.42%-2.73%-0.03%-1.90%10.46%5.25%30.38%9.83%25.37%202003232020071311238.02%40.06%2.04%0.02%20.06%55.24%22.71%43.02%30.94%36.48%202103102021091318726.17%24.08%-2.09%-0.01%-5.20%-0.01%18.16%19.59%36.50%31.93%20220426202207046924.63%26.99%2.36%0.03%4.36%25.11%13.15%29.67%14.26%29.69%資料來源：，WIND；起止日期：20100622-20230928中證500指數上漲階段，依然有表現好的基金收益超過基準指數，但是相對擴散，近幾年除西部利得量化成長A(000006)等產品，收益靠前的基金變動較大。表11：中證500上漲階段表現較好的以中證500為基準的量化選股基金相對擴散開始日期結束 基準 收益基金日期 收益中位數個數基金1基金收益基金2基金收益基金3基金收43%3.68%3華泰柏瑞量化先行A(460009)8.72%大摩多因子策略(233009)3.68%申萬菱信量化小盤A(163110)0.20%201110212011111514.19%8.54%3大摩多因子策略(233009)13.27%申萬菱信量化小盤A(163110)8.54%華泰柏瑞量化先行A(460009)6.30%201201052012031327.18%23.99%3大摩多因子策略(233009)25.75%申萬菱信量化小盤A(163110)23.99%華泰柏瑞量化先行A(460009)12.17%201212032013030632.91%30.81%3申萬菱信量化小盤A(163110)33.91%大摩多因子策略(233009)30.81%華泰柏瑞量化先行A(460009)19.72%201304152013053015.49%10.18%3申萬菱信量化小盤A(163110)14.33%大摩多因子策略(233009)10.18%華泰柏瑞量化先行A(460009)9.88%201306252013101526.56%21.01%3大摩多因子策略(233009)24.34%申萬菱信量化小盤A(163110)21.01%華泰柏瑞量化先行A(460009)14.19%201401132014021716.63%13.83%3大摩多因子策略(233009)14.02%申萬菱信量化小盤A(163110)13.83%華泰柏瑞量化先行A(460009)4.99%2014042820150612213.36%186.67%3大摩多因子策略(233009)236.11%申萬菱信量化小盤A(163110)186.67%華泰柏瑞量化先行A(460009)163.29%201507082015081733.60%36.29%6大摩多因子策略(233009)43.38%景順長城量化精選(000978)38.26%申萬菱信量化小盤A(163110)36.32%201509152015112538.79%47.63%6南方量化成長(001421)54.37%景順長城量化精選(000978)53.91%大摩多因子策略(233009)52.99%201601282016041421.45%24.55%8大摩多因子策略(233009)29.28%景順長城量化精選(000978)28.89%南方量化成長(001421)27.29%201605182016090815.75%19.58%11南方量化成長(001421)24.49%景順長城量化精選(000978)20.69%華泰柏瑞量化智慧A(001244)20.51%201706012017101317.51%12.76%23華泰柏瑞量化先行A(460009)22.53%中融量化智選A(004212)22.11%華泰柏瑞量化智慧A(001244)21.87%201802092018031213.34%8.86%35中歐數據挖掘多因子A(001990)15.83%銀河量化優選(004250)12.15%嘉實量化精選(001637)12.04%201810182018111916.23%11.54%41中融量化多因子A(004065)18.60%中歐數據挖掘多因子A(001990)17.73%南方量化成長(001421)17.48%201901032019040442.76%36.61%42財通量化核心優選(006157)44.04%中融量化多因子A(004065)44.04%招商量化精選A(001917)42.19%201908092019090914.41%11.28%45中歐數據挖掘多因子A(001990)15.78%創金合信量化發現A(003241)14.43%長江量化匠心甄選A(006911)14.38%201911152020022521.14%16.90%48申萬菱信量化驅動(005418)33.13%南方量化成長(001421)32.47%西部利得量化成長A(000006)30.00%202003232020071338.02%39.77%49泓德量化精選(006336)56.99%西部利得量化成長A(000006)53.61%萬家量化睿選A(004641)52.49%202103102021091326.17%24.75%52西部利得量化優選一年持有A(010779)46.08%西部利得量化成長A(000006)40.46%北信瑞豐量化優選(007808)39.66%202204262022070424.63%26.88%60九泰久睿量化A(009874)37.69%九泰久信量化(009043)37.40%九泰久福量化A(010120)37.14%資料來源：，WIND；起止日期：20100620-20230928;只展示區間部分收益靠前的量化選股基金，不夠成基金推薦50012%2010月以來500指數為基準的量化選股類產品的超額業績表現，可以看出在下跌階段，中證50095%0.08%?？梢娫谑袌鱿碌鴷r，中500類量化產品相對容易跑贏市場。同時也表現出市值風格越偏向小盤成長，超額收益越高的現象，市值風格占據主要影響因素。表12：中證500下跌階段基準為中證500的量化選股基金指數勝率95%，日均超額0.08%開始日期結束日期持續天數基準收益基金加權收益超額收益日均超額大盤價值大盤成長中盤價值中盤成長小盤價值小盤成長201011102011012576-20.84%-17.84%2.99%0.04%-12.13%-16.32%-18.75%-18.17%-17.93%-19.96%201103252011062087-17.91%-7.52%10.40%0.11%-8.83%-12.24%-17.44%-16.85%-17.12%-19.06%201107152011102198-25.01%-13.13%11.88%0.11%-13.75%-20.30%-23.45%-24.95%-25.15%-25.57%201111152012010551-26.67%-23.18%3.49%0.07%-8.21%-15.19%-23.25%-24.28%-27.47%-26.82%201203132012033017-12.61%-9.43%3.19%0.18%-5.27%-8.28%-11.19%-12.00%-12.30%-12.88%201205072012073185-16.52%-12.65%3.87%0.04%-9.73%-10.68%-16.46%-14.90%-17.49%-15.30%201209122012120382-18.57%-17.16%1.41%0.02%-0.54%-7.44%-11.54%-17.74%-15.65%-19.31%201305302013062526-16.71%-11.09%5.62%0.21%-18.11%-16.94%-18.50%-16.53%-16.33%-14.20%201402172014042870-12.54%-9.83%2.71%0.04%-1.50%-5.43%-8.60%-13.83%-12.09%-14.81%201506122015070826-42.82%-44.35%-1.53%-0.06%-20.75%-25.86%-42.46%-40.44%-45.66%-41.22%201508172015091529-35.29%-31.98%3.31%0.11%-12.70%-16.80%-31.78%-29.68%-37.03%-33.90%201511252016012864-33.46%-20.85%12.62%0.19%-15.27%-19.48%-31.57%-31.70%-31.21%-33.80%201604142016051834-12.04%-9.78%2.26%0.07%-2.72%-5.34%-10.29%-12.91%-10.97%-11.74%201704112017060151-13.87%-12.87%0.99%0.02%5.14%-1.62%-11.75%-8.50%-12.93%-13.64%201801082018020932-13.83%-9.30%4.53%0.14%-3.54%-9.66%-12.01%-12.49%-11.80%-11.68%2018052220181018149-34.05%-24.27%9.78%0.06%-13.08%-29.89%-29.30%-37.23%-30.37%-38.72%201904042019060663-20.31%-15.09%5.23%0.08%-9.12%-13.77%-17.15%-20.26%-19.83%-21.45%202002252020032327-15.24%-13.57%1.67%0.06%-12.57%-15.51%-7.56%-19.67%-9.74%-17.44%2021121620220426131-29.09%-26.85%2.24%0.02%-9.31%-31.07%-19.93%-32.49%-18.49%-35.53%202208172022101054-13.21%-13.15%0.06%0.00%-3.00%-17.85%-7.82%-15.10%-9.96%-18.38%資料來源：，WIND；起止日期：20101110-20230928中證500指數下跌階段，表現較好基金相對集中，其中最近幾年建信民豐回報(004413)等產品多次業績表現較好。表13：中證500下跌階段表現較好的以中證500為基準的量化選股基金相對集中開始 結束日期 日期基準收益收益中位數基金個數基金1基金收益基金2基金收益基金3基金收益2011071520111021-25.01%-13.24%3申萬菱信量化小盤A(163110)-9.98%大摩多因子策略(233009)-13.24%華泰柏瑞量化先行A(460009)-18.32%2011111520120105-26.67%-24.21%3華泰柏瑞量化先行A(460009)-10.95%申萬菱信量化小盤A(163110)-24.21%大摩多因子策略(233009)-24.90%2012031320120330-12.61%-9.82%3華泰柏瑞量化先行A(460009)-6.85%大摩多因子策略(233009)-9.82%申萬菱信量化小盤A(163110)-10.76%2012050720120731-16.52%-12.88%3華泰柏瑞量化先行A(460009)-8.39%申萬菱信量化小盤A(163110)-12.88%大摩多因子策略(233009)-13.26%2012091220121203-18.57%-18.50%3華泰柏瑞量化先行A(460009)-6.59%大摩多因子策略(233009)-18.50%申萬菱信量化小盤A(163110)-20.55%2013053020130625-16.71%-12.85%3大摩多因子策略(233009)-10.57%申萬菱信量化小盤A(163110)-12.85%華泰柏瑞量化先行A(460009)-14.38%2014021720140428-12.54%-11.54%3大摩多因子策略(233009)-9.27%申萬菱信量化小盤A(163110)-11.54%華泰柏瑞量化先行A(460009)-12.64%2015061220150708-42.82%-41.60%5華泰柏瑞量化智慧A(001244)-17.01%申萬菱信量化小