【广发金工】如何挖掘景气向上，持续增长企业

Core Viewpoint - The report tracks the performance of a long-term stock selection strategy focusing on profitability and growth, which was initially published by the GF Financial Engineering team on August 26, 2020 [3][30]. Empirical Analysis - The backtesting period for the strategy spans from January 1, 2009, to October 31, 2025, with three rebalancing periods each year on April 30, August 31, and October 31 [5]. - The equal-weighted strategy achieved a cumulative return of 3458.94% and an annualized return of 23.55%, significantly outperforming the CSI 800 index, which had a cumulative return of 179.16% during the same period [6][31]. - The average number of stocks held in the portfolio was approximately 55, with an average market capitalization of around 14 billion [23][31]. - The strategy's annualized volatility relative to the CSI 800 index was 13.63%, with an information ratio of 1.19 [12][13]. Sector Distribution - The sectors with the highest frequency of stock selections included pharmaceuticals, chemicals, electronics, machinery, and food and beverages, while sectors like leisure services, construction, defense, steel, and non-bank financials were selected less frequently [26][31]. Market Capitalization Weighted Strategy - The market capitalization weighted strategy yielded a cumulative return of 2553.16% and an annualized return of 21.42%, with a relative annualized excess return of 13.88% compared to the CSI 800 index [14][21]. - The annualized volatility for the market capitalization weighted strategy was 14.17%, with an information ratio of 1.00 [21][22]. Summary - The report provides a comprehensive follow-up on the long-term stock selection strategy, emphasizing the importance of profitability and growth as key variables in stock selection, and highlights the strong performance of both equal-weighted and market capitalization weighted strategies [30][31].