金融工程：净利润断层本周超额基准3.07%

Quantitative Models and Construction Methods 1. Model Name: Davis Double Hit Strategy - Model Construction Idea: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them after growth materializes and the P/E ratio increases, achieving a "double hit" effect from EPS and P/E[7] - Model Construction Process: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator - Select stocks with high earnings growth potential and controlled downside P/E risk[7] - Model Evaluation: The strategy demonstrates strong stability, with annualized excess returns exceeding 11% in all seven years of the backtest period[8] 2. Model Name: Net Profit Gap Strategy - Model Construction Idea: This strategy combines fundamental and technical factors, focusing on stocks with earnings surprises ("net profit") and a significant upward price gap after earnings announcements ("gap")[11] - Model Construction Process: - Screen stocks with earnings surprises based on earnings forecasts and financial reports from the past two months - Rank stocks by the magnitude of the price gap on the first trading day after the earnings announcement - Construct an equal-weight portfolio of the top 50 stocks[11] - Model Evaluation: The strategy achieves high annualized returns and excess returns, indicating strong performance and market recognition of earnings surprises[14] 3. Model Name: CSI 300 Enhanced Portfolio - Model Construction Idea: Based on investor preferences, the strategy uses factors such as PBROE and PEG to identify undervalued stocks with strong profitability and growth potential[16] - Model Construction Process: - Construct the PBROE factor as the difference between the percentile ranks of PB and ROE to identify stocks with low valuation and high profitability - Construct the PEG factor as the difference between the percentile ranks of PE and growth rate to find undervalued stocks with reliable growth potential - Combine these factors to build an enhanced CSI 300 portfolio[16] - Model Evaluation: The strategy demonstrates stable historical excess returns, aligning with investor preferences for growth and value[20] --- Backtest Results of Models 1. Davis Double Hit Strategy - Annualized Return: 26.45% (2010-2017)[8] - Annualized Excess Return: 21.08% (2010-2017)[8] - Year-to-Date Absolute Return: 7.15% (2025)[8] - Year-to-Date Excess Return: 4.80% (2025)[8] - Weekly Excess Return: -0.65% (2025)[8] - Monthly Excess Return: -1.07% (2025)[8] 2. Net Profit Gap Strategy - Annualized Return: 28.60% (2010-present)[14] - Annualized Excess Return: 26.80% (2010-present)[14] - Year-to-Date Absolute Return: 9.39% (2025)[14] - Year-to-Date Excess Return: 7.05% (2025)[14] - Weekly Excess Return: 3.07% (2025)[14] 3. CSI 300 Enhanced Portfolio - Annualized Return: 8.99% (full sample)[18] - Annualized Excess Return: 8.42% (full sample)[18] - Year-to-Date Absolute Return: -0.98% (2025)[20] - Year-to-Date Excess Return: 0.16% (2025)[20] - Weekly Excess Return: 1.94% (2025)[20] - Monthly Excess Return: -2.49% (2025)[20]