业绩高增速组合构建全攻略

Group 1: Construction of High-Growth Earnings Portfolio - The selection of high-growth earnings stocks is based on the top 80% of total market capitalization and average daily trading volume within the CSI All Share Index, excluding those with negative net profit from the previous year, and selecting the top 50% based on analysts' consensus earnings growth expectations [7][9][13]. - The average number of stocks in the high-growth earnings portfolio during the backtesting period from August 31, 2011, to October 31, 2025, is 571 [9]. - The portfolio is rebalanced at the end of April, August, and October, and stocks are selected based on the expected earnings growth factor [15][21]. Group 2: Achievement of High Earnings Growth - From April 27, 2012, to October 31, 2024, the median earnings growth rate of the high-growth earnings portfolio is 99%, significantly higher than the median earnings growth rate of 36.86% for the overall stock pool [24][28]. - The high-growth earnings portfolio consistently ranks in the top two deciles of the overall market earnings growth distribution during the backtesting period [28][30]. Group 3: Predictive Factors for Earnings Growth - The analysis identifies several factors that effectively predict annual earnings growth, including analyst ratings, growth, profitability, and valuation [35][37]. - The RankIC (Rank Information Coefficient) values indicate that analyst and growth factors have the most significant predictive power for identifying stocks with higher earnings growth [37]. Group 4: Differences Between Progressive and Parallel Stock Selection - The high-growth earnings portfolio employs a progressive stock selection method, first filtering stocks based on expected earnings growth and then refining the selection using changes in analyst earnings forecasts [43][46]. - In contrast, parallel stock selection methods, which use both factors simultaneously, have shown to be less effective in terms of annual returns over the backtesting period [47][49].