风格Smartbeta组合跟踪周报（2025.07.28-2025.08.01）-20250805

Quantitative Models and Construction Methods - Model Name: Value Smart Beta Portfolio Model Construction Idea: The Value Smart Beta portfolios are constructed based on the goal of achieving high beta elasticity and long-term stable excess returns. The portfolios are designed to capture the value style with low historical correlation to other styles[7] Model Construction Process: Two portfolios are constructed under the value style: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio". These portfolios are selected and weighted to optimize for the value factor while maintaining diversification and minimizing correlation with other factors[7] Model Evaluation: The Value Smart Beta portfolios demonstrate a focus on capturing value-oriented excess returns, but their performance is sensitive to market conditions[7] - Model Name: Growth Smart Beta Portfolio Model Construction Idea: The Growth Smart Beta portfolios aim to capture the growth style with high beta elasticity and long-term stable excess returns. These portfolios are designed to have low historical correlation with other styles[7] Model Construction Process: Two portfolios are constructed under the growth style: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio". The portfolios are optimized to emphasize growth characteristics while maintaining diversification[7] Model Evaluation: The Growth Smart Beta portfolios are effective in capturing growth-oriented returns but may underperform in value-dominated market conditions[7] - Model Name: Small-Cap Smart Beta Portfolio Model Construction Idea: The Small-Cap Smart Beta portfolios are designed to capture the small-cap style with high beta elasticity and long-term stable excess returns. These portfolios are constructed to have low historical correlation with other styles[7] Model Construction Process: Two portfolios are constructed under the small-cap style: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio". The portfolios are optimized to emphasize small-cap characteristics while maintaining diversification[7] Model Evaluation: The Small-Cap Smart Beta portfolios show strong performance in capturing small-cap excess returns, particularly in favorable market environments[7] --- Model Backtesting Results - Value 50 Portfolio: - Weekly Absolute Return: -2.12% - Weekly Excess Return: -0.41% - Monthly Absolute Return: 0.20% - Monthly Excess Return: 0.33% - Year-to-Date Absolute Return: 12.44% - Year-to-Date Excess Return: 8.78% - Maximum Relative Drawdown: 2.35%[8] - Value Balanced 50 Portfolio: - Weekly Absolute Return: -0.46% - Weekly Excess Return: 1.26% - Monthly Absolute Return: 0.48% - Monthly Excess Return: 0.61% - Year-to-Date Absolute Return: 10.16% - Year-to-Date Excess Return: 6.50% - Maximum Relative Drawdown: 3.99%[8] - Growth 50 Portfolio: - Weekly Absolute Return: -1.48% - Weekly Excess Return: 0.68% - Monthly Absolute Return: -0.71% - Monthly Excess Return: -0.31% - Year-to-Date Absolute Return: 4.50% - Year-to-Date Excess Return: 2.38% - Maximum Relative Drawdown: 3.61%[8] - Growth Balanced 50 Portfolio: - Weekly Absolute Return: -1.64% - Weekly Excess Return: 0.53% - Monthly Absolute Return: 0.06% - Monthly Excess Return: 0.46% - Year-to-Date Absolute Return: 8.71% - Year-to-Date Excess Return: 6.59% - Maximum Relative Drawdown: 6.11%[8] - Small-Cap 50 Portfolio: - Weekly Absolute Return: 1.25% - Weekly Excess Return: 1.43% - Monthly Absolute Return: 1.07% - Monthly Excess Return: 0.85% - Year-to-Date Absolute Return: 36.52% - Year-to-Date Excess Return: 19.90% - Maximum Relative Drawdown: 6.23%[8] - Small-Cap Balanced 50 Portfolio: - Weekly Absolute Return: -1.09% - Weekly Excess Return: -0.90% - Monthly Absolute Return: 0.61% - Monthly Excess Return: 0.39% - Year-to-Date Absolute Return: 26.60% - Year-to-Date Excess Return: 9.98% - Maximum Relative Drawdown: 4.56%[8]