基本面选股组合月报：AEG估值组合5月实现4.66%超额收益-20250619

Quantitative Models and Construction Methods - Model Name: Competitive Advantage Portfolio Construction Idea: Focuses on analyzing industry competition barriers and identifying companies with unique management advantages in various industry categories such as "Shielded Barriers," "Intense Competition," "Steady Progress," and "Seeking Breakthroughs" [13][14] Construction Process: Combines "Shielded Barriers" industries with "Dominant + Cooperative Win-Win" companies and "Efficient Operations" companies in non-barrier industries to form the Competitive Advantage Portfolio [14] Evaluation: Provides a differentiated value quantification perspective compared to traditional factor investment [13] - Model Name: Safety Margin Portfolio Construction Idea: Emphasizes the gap between intrinsic value and market value, focusing on companies with sustainable competitive advantages and high ROIC [18] Construction Process: Calculates intrinsic value based on profitability metrics, selects the top 50 stocks with the highest safety margin from a competitive advantage stock pool, and weights them by dividend yield [18][20] Evaluation: Highlights the importance of intrinsic value estimation and sustainable profitability [18] - Model Name: Dividend Low Volatility Adjusted Portfolio Construction Idea: Avoids "high dividend traps" by focusing on sustainable profitability and excluding stocks with extreme price performance or abnormal debt ratios [25] Construction Process: Implements predictive models for dividend yield and applies negative screening criteria to optimize the portfolio [25] Evaluation: Addresses the risks of chasing high dividend yields without considering long-term value [25] - Model Name: AEG Valuation Potential Portfolio Construction Idea: Invests in companies with abnormal earnings growth (AEG) that exceed opportunity costs, focusing on undervalued growth potential [30][34] Construction Process: Uses the AEG_EP factor to select the top 100 stocks, then narrows down to the top 50 stocks with high dividend reinvestment/P ratios [34] Evaluation: Incorporates growth premiums into valuation models, providing a comprehensive perspective on future earnings potential [30][31] - Model Name: Cash Cow Portfolio Construction Idea: Evaluates companies based on free cash flow (FCF) and cash flow return (CFOR) to assess profitability and cash generation efficiency [38][40] Construction Process: Combines CFOR decomposition with ROE decomposition, focusing on high-quality stocks within the CSI 800 index [39][40] Evaluation: Enhances traditional DuPont analysis by integrating cash flow metrics for a more comprehensive evaluation [38] - Model Name: Large Model AI Stock Selection Portfolio Construction Idea: Utilizes FinLLM to process unstructured financial texts and integrates multi-dimensional validation methods such as chain-of-thought reasoning (COT), comparative analysis, and counterfactual reasoning [44][47] Construction Process: Applies FinLLM to extract signals from financial texts and uses a triangular validation system to ensure decision-making robustness [47][48] Evaluation: Overcomes limitations of traditional models by leveraging AI for non-structured data analysis and improving prediction accuracy [44][47] - Model Name: Governance Efficiency Portfolio Construction Idea: Analyzes MD&A disclosures to evaluate management transparency, financial consistency, and long-term value creation [53][54] Construction Process: Combines short-term profit guidance and financial consistency factors to form a base portfolio, then selects top 50 stocks using PB_ROE factor for valuation and profitability [57] Evaluation: Provides insights into management quality and strategic alignment, emphasizing governance as a key alpha source [53][57] --- Model Backtesting Results - Competitive Advantage Portfolio: Annualized return 20.41%, Sharpe ratio 0.93, IR 0.12, max drawdown -19.32%, Calmar ratio 1.06 [17] - Safety Margin Portfolio: Annualized return 20.27%, Sharpe ratio 1.02, IR 0.13, max drawdown -16.89%, Calmar ratio 1.20 [22] - Dividend Low Volatility Adjusted Portfolio: Annualized return 17.36%, Sharpe ratio 1.00, IR 0.15, max drawdown -21.61%, Calmar ratio 0.80 [26] - AEG Valuation Potential Portfolio: Annualized return 23.33%, Sharpe ratio 1.11, IR 0.16, max drawdown -24.04%, Calmar ratio 0.97 [36] - Cash Cow Portfolio: Annualized return 13.56%, Sharpe ratio 0.66, IR 0.13, max drawdown -19.80%, Calmar ratio 0.68 [42] - Large Model AI Stock Selection Portfolio: Annualized return 16.53%, Sharpe ratio 0.71, IR 0.17, max drawdown -33.01%, Calmar ratio 0.50 [49] - Governance Efficiency Portfolio: Annualized return 11.00%, Sharpe ratio 0.51, IR 0.23, max drawdown -23.74%, Calmar ratio 0.46 [59]