风格Smart beta组合跟踪周报（2026.02.02-2026.02.06）-20260209

• The report discusses the construction of Smart Beta portfolios based on three styles: value, growth, and small-cap. These portfolios are designed with the objectives of high beta elasticity and long-term stable excess returns. The portfolios include "50 portfolios" and "balanced 50 portfolios" for each style[5] - The Value Smart Beta portfolios include the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio". Their weekly returns were 0.19% and 0.22%, respectively, with annual returns of 0.70% and 8.68% since the beginning of the year[3][6][8] - The Growth Smart Beta portfolios include the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio". Their weekly returns were -2.53% and -1.95%, respectively, with annual returns of 1.29% and 6.55% since the beginning of the year[3][6][16] - The Small-Cap Smart Beta portfolios include the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio". Their weekly returns were 1.71% and -0.52%, respectively, with annual returns of 11.72% and 9.49% since the beginning of the year[3][6][20] - The performance metrics for these portfolios include absolute returns, excess returns relative to their benchmarks, and maximum relative drawdowns. For example, the "Small-Cap 50 Portfolio" achieved an excess return of 3.45% over the benchmark "CNI 2000" index during the week, with a maximum relative drawdown of 3.08%[6][20]