净利润断层本周超额基准3.24%

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 the growth materializes and the P/E ratio increases, achieving a "double hit" effect through EPS growth and P/E expansion[7] - Model Construction Process: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator, which considers both P/E and growth rate[7] - Model Evaluation: The strategy demonstrated strong stability, with annual excess returns exceeding 11% in all seven years of the backtest period from 2010 to 2017[8] 2. Model Name: Net Profit Gap Strategy - Model Construction Idea: This strategy combines fundamental and technical analysis, focusing on two key aspects: - "Net profit" refers to earnings surprises, typically exceeding market expectations - "Gap" refers to a significant upward price gap on the first trading day after the earnings announcement, reflecting market recognition and sentiment[11] - Model Construction Process: - Select 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 earnings announcement day - Construct an equal-weight portfolio of the top 50 stocks[11] 3. Model Name: CSI 300 Enhanced Portfolio - Model Construction Idea: The model is based on investor preferences, categorized into GARP (Growth at a Reasonable Price), growth, and value styles[16] - GARP investors focus on companies with strong profitability and stable growth potential at relatively low prices - Growth investors prioritize high-growth companies based on revenue, gross profit, and net profit growth - Value investors prefer companies with high and stable ROE over the long term[16] - Model Construction Process: - Construct the PBROE factor using the difference in percentiles between PB and ROE to identify undervalued stocks with strong profitability - Construct the PEG factor using the difference in percentiles between P/E and growth rate to find undervalued stocks with reliable growth potential[16] --- Backtest Results of Models 1. Davis Double Hit Strategy - Annualized Return: 26.45% (2010-2017)[8] - Annualized Excess Return: 21.08% (2010-2017)[8] - YTD Absolute Return: 16.55%[8] - YTD Excess Return: 14.14% (relative to CSI 500 Index)[8] - Weekly Excess Return: -0.15% (relative to CSI 500 Index)[8] - Current Period Excess Return: 1.75% (2025-05-06 to 2025-06-27)[8] 2. Net Profit Gap Strategy - Annualized Return: 29.21% (2010-present)[14] - Annualized Excess Return: 27.45% (2010-present)[14] - YTD Absolute Return: 27.39%[14] - YTD Excess Return: 24.98%[14] - Weekly Excess Return: 3.24%[14] 3. CSI 300 Enhanced Portfolio - Annualized Return: 9.75% (full sample period)[18] - Annualized Excess Return: 9.13% (full sample period)[18] - YTD Absolute Return: 12.90%[20] - YTD Excess Return: 13.23% (relative to CSI 300 Index)[20] - Weekly Excess Return: -0.10%[20] - Monthly Excess Return: 2.40%[20]