金融工程：净利润断层本周超额基准1.22%

Quantitative Models and Construction Methods Davis Double Play Strategy - Model Name: Davis Double Play Strategy - Model Construction Idea: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them when their growth potential is realized and the P/E ratio increases, thus achieving a multiplier effect on returns through the "double play" of EPS and PE[1][7] - Model Construction Process: - Identify stocks with accelerating earnings growth - Buy stocks with low P/E ratios - Sell stocks when their growth potential is realized and the P/E ratio increases[7] - Model Evaluation: The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, with an excess benchmark return of 21.08%. It demonstrated good stability with annual excess returns exceeding 11% in each of the seven complete years within the backtest period[1][11] Net Profit Gap Strategy - Model Name: Net Profit Gap Strategy - Model Construction Idea: The strategy is a stock selection model based on the resonance of fundamentals and technical aspects, focusing on "net profit" (earnings surprise) and "gap" (upward price gap on the first trading day after the earnings announcement)[2][13] - Model Construction Process: - Screen stocks with earnings surprises in the past two months - Rank stocks by the magnitude of the price gap on the earnings announcement day - Construct an equal-weight portfolio of the top 50 stocks[13] - Model Evaluation: The strategy achieved an annualized return of 28.55% since 2010, with an annualized excess benchmark return of 26.58%. It demonstrated good stability with annual excess returns exceeding 15% in most years[2][14] Enhanced CSI 300 Portfolio - Model Name: Enhanced CSI 300 Portfolio - Model Construction Idea: The strategy is based on investor preference factors, including GARP, growth, and value types. It constructs PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential[3][16] - Model Construction Process: - Construct PBROE factor using the difference in percentiles between PB and ROE - Construct PEG factor using the difference in percentiles between PE and growth rate - Combine these factors to enhance the CSI 300 portfolio[16] - Model Evaluation: The strategy demonstrated stable excess returns in historical backtests. The annualized excess return since 2010 was 8.44%, with consistent positive excess returns in most years[3][18] Model Backtest Results Davis Double Play Strategy - 2010: Absolute Return 24.69%, Benchmark Return 9.75%, Excess Return 14.95%, Maximum Relative Drawdown -6.71%, Return Drawdown Ratio 2.23[9] - 2011: Absolute Return -18.72%, Benchmark Return -33.37%, Excess Return 14.65%, Maximum Relative Drawdown -4.38%, Return Drawdown Ratio 3.34[9] - 2012: Absolute Return 18.55%, Benchmark Return 0.49%, Excess Return 18.06%, Maximum Relative Drawdown -6.15%, Return Drawdown Ratio 2.94[9] - 2013: Absolute Return 75.63%, Benchmark Return 17.93%, Excess Return 57.71%, Maximum Relative Drawdown -5.64%, Return Drawdown Ratio 10.23[9] - 2014: Absolute Return 53.95%, Benchmark Return 36.01%, Excess Return 17.94%, Maximum Relative Drawdown -4.15%, Return Drawdown Ratio 4.33[9] - 2015: Absolute Return 58.68%, Benchmark Return 33.91%, Excess Return 24.77%, Maximum Relative Drawdown -7.59%, Return Drawdown Ratio 3.26[9] - 2016: Absolute Return 7.41%, Benchmark Return -7.26%, Excess Return 14.67%, Maximum Relative Drawdown -4.06%, Return Drawdown Ratio 3.61[9] - 2017: Absolute Return 10.26%, Benchmark Return -0.89%, Excess Return 11.15%, Maximum Relative Drawdown -8.06%, Return Drawdown Ratio 1.38[9] - 2018: Absolute Return -21.28%, Benchmark Return -32.09%, Excess Return 10.81%, Maximum Relative Drawdown -3.26%, Return Drawdown Ratio 3.31[9] - 2019: Absolute Return 70.00%, Benchmark Return 26.57%, Excess Return 43.43%, Maximum Relative Drawdown -3.36%, Return Drawdown Ratio 12.93[9] - 2020: Absolute Return 79.78%, Benchmark Return 20.87%, Excess Return 58.91%, Maximum Relative Drawdown -7.21%, Return Drawdown Ratio 8.18[9] - 2021: Absolute Return 61.15%, Benchmark Return 15.58%, Excess Return 45.56%, Maximum Relative Drawdown -9.64%, Return Drawdown Ratio 4.73[9] - 2022: Absolute Return -6.56%, Benchmark Return -20.31%, Excess Return 13.76%, Maximum Relative Drawdown -10.50%, Return Drawdown Ratio 1.31[9] - 2023: Absolute Return -5.13%, Benchmark Return -7.42%, Excess Return 2.29%, Maximum Relative Drawdown -11.26%, Return Drawdown Ratio 0.20[9] - 20241213: Absolute Return 5.65%, Benchmark Return 10.30%, Excess Return -4.65%, Maximum Relative Drawdown -15.62%, Return Drawdown Ratio 0.30[9] - Full Sample: Absolute Return 23.74%, Benchmark Return 2.49%, Excess Return 21.24%, Maximum Relative Drawdown -16.69%, Return Drawdown Ratio 1.27[9] Net Profit Gap Strategy - 2010: Absolute Return 45.56%, Benchmark Return 9.45%, Excess Return 36.11%, Maximum Relative Drawdown -4.26%, Return Drawdown Ratio 8.47[14] - 2011: Absolute Return -18.63%, Benchmark Return -33.83%, Excess Return 15.20%, Maximum Relative Drawdown -5.48%, Return Drawdown Ratio 2.77[14] - 2012: Absolute Return 40.11%, Benchmark Return 0.28%, Excess Return 39.83%, Maximum Relative Drawdown -5.13%, Return Drawdown Ratio 7.77[14] - 2013: Absolute Return 54.84%, Benchmark Return 16.89%, Excess Return 37.95%, Maximum Relative Drawdown -5.92%, Return Drawdown Ratio 6.42[14] - 2014: Absolute Return 45.05%, Benchmark Return 39.01%, Excess Return 6.04%, Maximum Relative Drawdown -7.82%, Return Drawdown Ratio 0.77[14] - 2015: Absolute Return 106.94%, Benchmark Return 43.12%, Excess Return 63.82%, Maximum Relative Drawdown -8.03%, Return Drawdown Ratio 7.95[14] - 2016: Absolute Return 5.06%, Benchmark Return -17.78%, Excess Return 22.84%, Maximum Relative Drawdown -5.39%, Return Drawdown Ratio 4.23[14] - 2017: Absolute Return 41.99%, Benchmark Return -0.20%, Excess Return 42.19%, Maximum Relative Drawdown -3.35%, Return Drawdown Ratio 12.60[14] - 2018: Absolute Return -17.29%, Benchmark Return -33.32%, Excess Return 16.03%, Maximum Relative Drawdown -8.27%, Return Drawdown Ratio 1.94[14] - 2019: Absolute Return 72.73%, Benchmark Return 26.38%, Excess Return 46.35%, Maximum Relative Drawdown -5.78%, Return Drawdown Ratio 8.02[14] - 2020: Absolute Return 67.43%, Benchmark Return 20.87%, Excess Return 46.56%, Maximum Relative Drawdown -7.20%, Return Drawdown Ratio 6.46[14] - 2021: Absolute Return 38.63%, Benchmark Return 15.58%, Excess Return 23.05%, Maximum Relative Drawdown -12.15%, Return Drawdown Ratio 1.90[14] - 2022: Absolute Return -10.36%, Benchmark Return -20.31%, Excess Return 9.95%, Maximum Relative Drawdown -9.63%, Return Drawdown Ratio 1.03[14] - 2023: Absolute Return 1.95%, Benchmark Return -7.42%, Excess Return 9.37%, Maximum Relative Drawdown -8.39%, Return Drawdown Ratio 1.12[14] - 20241213: Absolute Return 10.84%, Benchmark Return 10.30%, Excess Return 0.54%, Maximum Relative Drawdown -19.09%, Return Drawdown Ratio 0.03[14] - Full Sample: Absolute Return