风格Smartbeta组合跟踪周报：小盘50组合维持强势表现-2025-03-25

Quantitative Models and Construction Methods 1. Model Name: Value Smart Beta Portfolio - Model Construction Idea: The model aims to select stocks with high beta elasticity and long-term stable excess returns within the value style[7] - Model Construction Process: The model constructs a portfolio of 50 stocks and a balanced portfolio of 50 stocks based on the value style. The selection criteria are based on historical low correlation and the goal of achieving high beta elasticity and long-term stable excess returns[7] - Model Evaluation: The model has shown strong performance in terms of excess returns relative to the benchmark index[3][7] 2. Model Name: Growth Smart Beta Portfolio - Model Construction Idea: The model aims to select stocks with high beta elasticity and long-term stable excess returns within the growth style[7] - Model Construction Process: The model constructs a portfolio of 50 stocks and a balanced portfolio of 50 stocks based on the growth style. The selection criteria are based on historical low correlation and the goal of achieving high beta elasticity and long-term stable excess returns[7] - Model Evaluation: The model has shown mixed performance, with some periods of underperformance relative to the benchmark index[3][7] 3. Model Name: Small-cap Smart Beta Portfolio - Model Construction Idea: The model aims to select stocks with high beta elasticity and long-term stable excess returns within the small-cap style[7] - Model Construction Process: The model constructs a portfolio of 50 stocks and a balanced portfolio of 50 stocks based on the small-cap style. The selection criteria are based on historical low correlation and the goal of achieving high beta elasticity and long-term stable excess returns[7] - Model Evaluation: The model has shown strong performance in terms of excess returns relative to the benchmark index[3][7] Model Backtesting Results 1. Value Smart Beta Portfolio - Weekly Return: 0.51%[8] - Monthly Return: 3.46%[8] - Annual Return: 0.40%[8] - Excess Weekly Return: 1.36%[8] - Excess Monthly Return: 1.26%[8] - Excess Annual Return: 1.21%[8] - Maximum Relative Drawdown: 2.26%[8] 2. Balanced Value Smart Beta Portfolio - Weekly Return: -0.40%[8] - Monthly Return: 5.33%[8] - Annual Return: 1.81%[8] - Excess Weekly Return: 0.44%[8] - Excess Monthly Return: 3.13%[8] - Excess Annual Return: 2.62%[8] - Maximum Relative Drawdown: 3.99%[8] 3. Growth Smart Beta Portfolio - Weekly Return: -2.15%[8] - Monthly Return: -0.77%[8] - Annual Return: 2.50%[8] - Excess Weekly Return: 0.62%[8] - Excess Monthly Return: -1.75%[8] - Excess Annual Return: 0.55%[8] - Maximum Relative Drawdown: 3.61%[8] 4. Balanced Growth Smart Beta Portfolio - Weekly Return: -2.27%[8] - Monthly Return: 0.15%[8] - Annual Return: 8.29%[8] - Excess Weekly Return: 0.50%[8] - Excess Monthly Return: -0.83%[8] - Excess Annual Return: 6.34%[8] - Maximum Relative Drawdown: 3.03%[8] 5. Small-cap Smart Beta Portfolio - Weekly Return: 1.26%[8] - Monthly Return: 6.59%[8] - Annual Return: 13.62%[8] - Excess Weekly Return: 3.15%[8] - Excess Monthly Return: 3.52%[8] - Excess Annual Return: 3.40%[8] - Maximum Relative Drawdown: 6.23%[8] 6. Balanced Small-cap Smart Beta Portfolio - Weekly Return: -0.89%[8] - Monthly Return: 5.91%[8] - Annual Return: 14.55%[8] - Excess Weekly Return: 1.00%[8] - Excess Monthly Return: 2.84%[8] - Excess Annual Return: 4.33%[8] - Maximum Relative Drawdown: 3.67%[8]