沪深300增强组合本周超额基准1.77%

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [7][10]. - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [9]. - Year-to-date, the strategy has generated an absolute return of 33.83%, exceeding the CSI 500 index by 23.39% [10]. Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [12][15]. - Since 2010, this strategy has achieved an annualized return of 29.96%, with an annualized excess return over the benchmark of 27.68% [15]. - Year-to-date, the strategy has delivered an absolute return of 37.50%, outperforming the benchmark index by 27.06% [15]. Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [16]. - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 19.41% relative to the CSI 300 index [16]. - The portfolio's performance this week yielded an excess return of 1.77% [16].