Performance Summary - The "Central State-Owned Enterprises (SOEs) Selection" strategy has achieved an annualized return of 14.99% since 2016, outperforming the CSI Central SOE Index by 10.33%[12] - The cumulative return for the "Central SOEs Selection" strategy in 2023 is 49.41%, and 23.79% in 2024 year-to-date[12] - The "Belt and Road + SOEs" strategy has an annualized return of 20.12% since 2016, with a cumulative return of 50.04% in 2023 and 34.49% in 2024 year-to-date[18] - The "Digital Economy + SOEs" strategy has an annualized return of 14.26% since 2016, with a cumulative return of 34.86% in 2023 and 7.83% in 2024 year-to-date[22] - The "National Security + SOEs" strategy has an annualized return of 19.04% since 2016, with a cumulative return of 56.88% in 2023 and 31.84% in 2024 year-to-date[28] Factor Analysis - The selection factors include dividend yield (TTM), price-to-earnings ratio (TTM), volatility, and company performance metrics such as ROE and net profit growth[7] - The correlation between dividend yield and future returns is positive, indicating that higher dividend yields lead to higher future returns[9] - The "Belt and Road + SOEs" strategy emphasizes ROE and net profit growth over P/E ratio due to the latter's underperformance[18] - The "National Security + SOEs" strategy incorporates ESG factors, reflecting a growing emphasis on sustainability in investment decisions[28]
央国企量化选股月度跟踪：央国企量化选股优选策略与10月组合
Southwest Securities·2024-10-08 06:08