Group 1: Report's Core View - The report focuses on constructing high-growth and stable portfolios based on predicted performance. It analyzes the performance of stock portfolios with known annual profit growth rates, screens high-growth stock pools by domain, and constructs portfolios using specific factors [1][4][16] Group 2: Future Perspective - Performance of Stock Portfolios with Known Annual Profit Growth Rates - In the CSI All-Share sample space, from 2011/12/30 to 2025/4/30, stocks were screened at the end of April, August, and October each year. After certain filtering steps, stocks were grouped into deciles by annual profit growth rate, and equal-weighted portfolios were constructed. The table shows the annual and annualized returns, volatility, and Sharpe ratios of the top four groups [6][10] Group 3: Domain-based Screening of High-Expected Profit Growth Stock Pools - In the CSI All-Share sample space, at the end of April, August, and October each year, samples were screened by market capitalization and trading volume and divided into two sub-samples based on analyst coverage. Two high-expected profit growth stock pools (Domain 1 and Domain 2) were obtained. During the backtesting period from 2011/12/30 to 2025/7/31, the long-term annualized returns of the equal-weighted portfolios of the two domains were similar, but Domain 2 was more affected by small and micro-cap stocks [18][20][23] Group 4: Domain-based Construction of High-Growth and Stable Portfolios High-Growth Portfolio Construction - In Domain 1, the top 50% of samples in terms of consensus expected performance growth were selected. High-growth portfolios were constructed by selecting stocks based on the consensus expected performance change factor. During the backtesting period from 2011/12/30 to 2025/7/31, the portfolio was updated at the end of April, August, and October each year. As the number of holdings increased, the annualized return decreased slightly, and the median market capitalization and turnover rate varied little [42][44][47] Stable Portfolio Construction - In Domain 2, the top 50% of samples in terms of performance acceleration were selected. Stable portfolios were constructed by selecting stocks based on the volatility factor. During the backtesting period from 2011/12/30 to 2025/7/31, the portfolio was updated at the end of April, August, and October each year. As the number of holdings increased, the annualized return decreased slightly, and the median market capitalization and turnover rate varied little [42][60][61] Group 5: Appendix - Improvement of Analyst Factors - A new method is proposed to calculate analyst factors based on the adjustment of earnings forecasts after performance disclosure. Two sub-factors (consensus expected net profit change and analyst earnings upgrade ratio) were reconstructed, and the stock selection effects of the improved factors were tested against the initial factors [68][71][82]
从预测业绩出发构建高增速组合与稳健组合
Shenwan Hongyuan Securities·2025-09-04 03:42