沪深300增强本周超额基准1.57%

Quantitative Models and Construction Methods 1. 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 after their growth potential is realized, leading to an increase in both EPS and P/E, thereby achieving a "double play" effect [2][8] - Model Construction Process: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator, which considers the relationship between P/E and earnings growth rate - Select stocks with controlled downside risk in P/E and high growth potential [8] - Model Evaluation: The strategy demonstrates strong stability, with annual excess returns exceeding 11% in all seven complete years during the backtest period from 2010 to 2017 [11] 2. Model Name: Net Profit Gap Strategy - Model Construction Idea: This strategy combines fundamental and technical analysis, focusing on stocks with earnings surprises ("net profit") and a significant upward price gap ("gap") following earnings announcements [3][13] - Model Construction Process: - Screen stocks with earnings surprises based on earnings forecasts and financial reports over 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 with the largest price gaps [13] - Model Evaluation: The strategy has achieved a high annualized return of 28.51% since 2010, with an annualized excess return of 26.74% over the benchmark, demonstrating strong performance [17] 3. Model Name: CSI 300 Enhanced Portfolio - Model Construction Idea: The model is based on investor preferences, categorized into GARP, growth, and value styles. It uses PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [4][19] - Model Construction Process: - Construct the PBROE factor as the difference between the percentile ranks of PB and ROE, targeting undervalued stocks with strong profitability - Construct the PEG factor as the difference between the percentile ranks of PE and growth rate, targeting undervalued stocks with reliable growth potential - Combine these factors to build an enhanced CSI 300 portfolio [19] - Model Evaluation: The model has demonstrated stable excess returns in historical backtests, with consistent outperformance relative to the CSI 300 index [19] --- Model Backtest Results 1. Davis Double Play Strategy - Annualized Return: 26.45% (2010-2017) - Annualized Excess Return: 21.08% (2010-2017) - Cumulative Absolute Return (2025 YTD): 9.36% - Cumulative Excess Return (2025 YTD): 7.27% - Weekly Excess Return (2025): -1.29% - Maximum Relative Drawdown: -20.14% - Return-to-Drawdown Ratio: 1.07 [2][11][12] 2. Net Profit Gap Strategy - Annualized Return: 28.51% (2010-present) - Annualized Excess Return: 26.74% (2010-present) - Cumulative Absolute Return (2025 YTD): 10.90% - Cumulative Excess Return (2025 YTD): 8.81% - Weekly Excess Return (2025): -0.16% - Maximum Relative Drawdown: -37.12% - Return-to-Drawdown Ratio: 0.72 [3][15][17] 3. CSI 300 Enhanced Portfolio - Annualized Return: 9.18% (full sample) - Annualized Excess Return: 8.66% (full sample) - Cumulative Absolute Return (2025 YTD): 2.42% - Cumulative Excess Return (2025 YTD): 4.29% - Weekly Excess Return (2025): 1.57% - Maximum Relative Drawdown: -9.18% - Return-to-Drawdown Ratio: 0.94 [4][19][20]