风格Smartbeta组合跟踪周报（2025.08.04-2025.08.08）：均衡 50 组合全面占优-20250811

Quantitative Models and Construction Methods 1. Model Name: Value Smart Beta Portfolio - Model Construction Idea: The Value Smart Beta Portfolio is constructed based on the goal of achieving high beta elasticity and long-term stable excess returns, focusing on the value style[7] - Model Construction Process: - The portfolio includes two variations: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio" - The "Value 50 Portfolio" is designed to capture the value factor, while the "Value Balanced 50 Portfolio" aims to balance the exposure to the value factor with reduced risk through diversification[7] - Model Evaluation: The Value Balanced 50 Portfolio demonstrated superior performance compared to the Value 50 Portfolio, with higher weekly and monthly returns, indicating better risk-adjusted returns[4][8] 2. Model Name: Growth Smart Beta Portfolio - Model Construction Idea: The Growth Smart Beta Portfolio is constructed to capture the growth style, targeting high beta elasticity and stable excess returns over the long term[7] - Model Construction Process: - The portfolio includes two variations: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio" - The "Growth 50 Portfolio" focuses on growth factor exposure, while the "Growth Balanced 50 Portfolio" balances growth exposure with diversification to reduce risk[7] - Model Evaluation: The Growth Balanced 50 Portfolio outperformed the Growth 50 Portfolio in terms of weekly and annual returns, suggesting better performance under the balanced approach[4][8] 3. Model Name: Small-Cap Smart Beta Portfolio - Model Construction Idea: The Small-Cap Smart Beta Portfolio is designed to capture the small-cap style, emphasizing high beta elasticity and long-term stable excess returns[7] - Model Construction Process: - The portfolio includes two variations: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio" - The "Small-Cap 50 Portfolio" targets small-cap factor exposure, while the "Small-Cap Balanced 50 Portfolio" balances small-cap exposure with diversification to mitigate risk[7] - Model Evaluation: The Small-Cap Balanced 50 Portfolio achieved the highest returns among all portfolios, demonstrating the effectiveness of the balanced approach in capturing small-cap factor returns[4][8] --- Model Backtesting Results 1. Value Smart Beta Portfolio - Value 50 Portfolio: - Weekly Return: 2.19% - Monthly Return: 2.40% - Annual Return: 14.90% - Excess Return (Annual): 9.41% - Maximum Relative Drawdown: 2.35%[8] - Value Balanced 50 Portfolio: - Weekly Return: 3.14% - Monthly Return: 3.64% - Annual Return: 13.62% - Excess Return (Annual): 8.13% - Maximum Relative Drawdown: 3.99%[8] 2. Growth Smart Beta Portfolio - Growth 50 Portfolio: - Weekly Return: 1.67% - Monthly Return: 0.95% - Annual Return: 6.11% - Excess Return (Annual): 2.48% - Maximum Relative Drawdown: 3.61%[8] - Growth Balanced 50 Portfolio: - Weekly Return: 2.16% - Monthly Return: 2.22% - Annual Return: 10.54% - Excess Return (Annual): 6.91% - Maximum Relative Drawdown: 6.11%[8] 3. Small-Cap Smart Beta Portfolio - Small-Cap 50 Portfolio: - Weekly Return: 3.34% - Monthly Return: 4.45% - Annual Return: 41.08% - Excess Return (Annual): 21.26% - Maximum Relative Drawdown: 6.23%[8] - Small-Cap Balanced 50 Portfolio: - Weekly Return: 3.85% - Monthly Return: 4.49% - Annual Return: 31.48% - Excess Return (Annual): 11.66% - Maximum Relative Drawdown: 4.56%[8]