风格Smartbeta组合跟踪周报-20260126

Quantitative Models and Construction Methods - Model Name: Value Smart Beta Portfolio Model Construction Idea: The model is based on selecting stocks with low historical correlation and aims to achieve high beta elasticity and long-term stable excess returns[5] Model Construction Process: The Value Smart Beta Portfolio includes two sub-portfolios: Value 50 Portfolio and Value Balanced 50 Portfolio. These portfolios are constructed by selecting stocks that align with the value style and optimizing for beta elasticity and excess return stability. The detailed construction process is referenced in a prior report[5] Model Evaluation: The Value Balanced 50 Portfolio outperformed the Value 50 Portfolio in terms of weekly, monthly, and yearly returns, demonstrating its superior performance in capturing value style excess returns[3][6] - Model Name: Growth Smart Beta Portfolio Model Construction Idea: Similar to the value model, this portfolio focuses on stocks with low historical correlation, targeting high beta elasticity and stable excess returns in the growth style[5] Model Construction Process: The Growth Smart Beta Portfolio includes Growth 50 Portfolio and Growth Balanced 50 Portfolio. Stocks are selected based on growth style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] Model Evaluation: The Growth Balanced 50 Portfolio consistently outperformed the Growth 50 Portfolio, indicating its effectiveness in capturing growth style excess returns[3][6] - Model Name: Small-Cap Smart Beta Portfolio Model Construction Idea: This portfolio targets small-cap stocks with low historical correlation, aiming for high beta elasticity and stable excess returns[5] Model Construction Process: The Small-Cap Smart Beta Portfolio includes Small-Cap 50 Portfolio and Small-Cap Balanced 50 Portfolio. Stocks are selected based on small-cap style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] Model Evaluation: The Small-Cap Balanced 50 Portfolio outperformed the Small-Cap 50 Portfolio, showcasing its ability to capture small-cap style excess returns effectively[3][6] --- Model Backtesting Results - Value Smart Beta Portfolio - Value 50 Portfolio: Weekly return: 1.38%, Monthly return: -0.11%, Yearly return: -0.11%, Maximum relative drawdown: 2.43%[6] - Value Balanced 50 Portfolio: Weekly return: 4.59%, Monthly return: 8.27%, Yearly return: 8.27%, Maximum relative drawdown: 0.56%[6] - Growth Smart Beta Portfolio - Growth 50 Portfolio: Weekly return: -0.37%, Monthly return: 5.13%, Yearly return: 5.13%, Maximum relative drawdown: 1.30%[6] - Growth Balanced 50 Portfolio: Weekly return: 3.79%, Monthly return: 10.01%, Yearly return: 10.01%, Maximum relative drawdown: 1.33%[6] - Small-Cap Smart Beta Portfolio - Small-Cap 50 Portfolio: Weekly return: 3.71%, Monthly return: 11.57%, Yearly return: 11.57%, Maximum relative drawdown: 3.08%[6] - Small-Cap Balanced 50 Portfolio: Weekly return: 4.27%, Monthly return: 12.88%, Yearly return: 12.88%, Maximum relative drawdown: 2.38%[6]