业绩高增速组合构建全攻略

Group 1: High Growth Portfolio Construction - The high growth profit stock pool is selected from the top 80% of stocks by market capitalization and average daily trading volume, excluding those with negative net profit from the previous year, and then selecting the top 50% based on analyst consensus profit growth expectations[6] - During the backtesting period from August 31, 2011, to October 31, 2025, the average number of stocks in the high growth profit stock pool was 571[11] - The high growth profit portfolio achieved an annualized return of 13.32% compared to the CSI 500 total return index's 7.31% during the same period, with a Sharpe ratio of 0.50[13] Group 2: Performance Attribution and Comparison - The median profit growth rate of the high growth profit portfolio was 99% during the period from April 27, 2012, to October 31, 2024, significantly higher than the median profit growth rate of 36.86% for the stock pool[29] - The high growth profit portfolio consistently ranked in the top two deciles of market profit growth during the same period, indicating strong performance relative to the market[32] - The portfolio's performance was primarily driven by growth and analyst factors, aligning with the portfolio construction logic[23] Group 3: Factor Analysis and Selection Methodology - The analysis identified that the analyst factor, growth factor, and profitability factor had significant predictive power for annual profit growth, with average RankIC values of 37.81%, 30.22%, and 33.46% respectively[41] - The sequential selection of factors in constructing the portfolio outperformed parallel selection methods, with the sequential method winning in 9 out of 14 years from 2012 to 2025[59] - The high growth profit portfolio's average market capitalization during the backtesting period was 15.8 billion yuan, indicating it is a mid-cap growth portfolio[20]