金融工程：戴维斯双击本周超额基准0.46%

Quantitative Models and Construction Methods Davis Double Play Strategy - Model Name: Davis Double Play Strategy - Model Construction Idea: Buy stocks with growth potential at a low P/E ratio and sell them when their growth potential is realized and the P/E ratio increases, achieving a multiplier effect on returns through EPS and PE "double play" [1][7] - Model Construction Process: The strategy involves identifying stocks with accelerating earnings growth, theoretically controlling the downside of the company's PE ratio. The model uses PEG indicators to evaluate stock pricing rationality [7] - Model Evaluation: The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, with an excess benchmark of 21.08%. It showed good stability with annual excess returns exceeding 11% in each of the seven complete years of the backtest period [11] Net Profit Gap Strategy - Model Name: Net Profit Gap Strategy - Model Construction Idea: A stock selection mode based on the resonance of fundamentals and technical aspects, focusing on "net profit" (earnings surprise) and "gap" (upward gap on the first trading day after the earnings announcement) [2][13] - Model Construction Process: Each period, stocks that meet the earnings surprise criteria in the past two months are screened. The top 50 stocks with the highest gap magnitude on the earnings announcement day are equally weighted to construct the portfolio [13] - Model Evaluation: The strategy achieved an annualized return of 28.69% since 2010, with an annualized excess benchmark of 26.80% [16] Enhanced CSI 300 Portfolio - Model Name: Enhanced CSI 300 Portfolio - Model Construction Idea: Constructed based on investor preference factors, including GARP, growth, and value types. GARP investors prefer companies with strong profitability and stable growth potential at relatively low prices. Growth investors focus on company growth, while value investors prefer companies with high ROE [3][18] - Model Construction Process: - PBROE Factor: Constructed using the difference in percentiles between PB and ROE to find stocks with low valuation and strong profitability - PEG Factor: Constructed using the difference in percentiles between PE and growth rate to find undervalued stocks with reliable growth potential - Growth Factor: Identifies high-growth stocks through revenue, gross profit, and net profit growth rates - Value Factor: Focuses on companies with long-term stable high ROE [18] - Model Evaluation: The enhanced CSI 300 portfolio showed stable excess returns in historical backtests [18] Model Backtest Results Davis Double Play Strategy - Absolute Return: 23.77% - Benchmark Return: 2.41% - Excess Return: 21.36% - Maximum Relative Drawdown: -20.14% - Return Drawdown Ratio: 1.06 [9][10] Net Profit Gap Strategy - Absolute Return: 28.69% - Benchmark Return: 1.88% - Excess Return: 26.80% - Maximum Relative Drawdown: -37.12% - Return Drawdown Ratio: 0.72 [15][16] Enhanced CSI 300 Portfolio - Absolute Return: 9.10% - Benchmark Return: 0.65% - Excess Return: 8.46% - Maximum Relative Drawdown: -9.18% - Return Drawdown Ratio: 0.92 [18]