净利润断层策略本周绝对收益1.99%

Core Insights - The report highlights the "Net Profit Gap Strategy" which achieved an absolute return of 6.60% this year, with an annualized return of 29.76% since 2010, outperforming the benchmark by 25.95% [10][11] - The "Davis Double Play Strategy" has shown a historical annualized return of 26.45% from 2010 to 2017, with consistent excess returns exceeding 11% in each year of the backtest period [4][9] - The "Enhanced CSI 300 Portfolio" has demonstrated stable excess returns, with a relative excess return of 3.08% this year and 2.17% for the week [13][18] Net Profit Gap Strategy - This strategy focuses on stocks that show a significant upward price gap on the first trading day following earnings announcements, indicating market recognition of earnings surprises [10] - The strategy constructs a portfolio by selecting the top 50 stocks based on the magnitude of the price gap after earnings announcements [10] Davis Double Play Strategy - The strategy involves buying stocks with low price-to-earnings (PE) ratios that have strong growth potential, aiming to sell them once their growth is recognized and PE ratios increase [4][7] - Historical performance shows that the strategy has consistently outperformed the benchmark, achieving a total return of 4.64% as of January 16, 2026, while underperforming the CSI 500 index by 5.63% this year [9][11] Enhanced CSI 300 Portfolio - This portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [13] - The strategy aims to identify undervalued stocks with strong profitability and growth potential, achieving a stable historical excess return [18]