Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [10] - Year-to-date, the strategy has delivered an absolute return of 48.29%, exceeding the CSI 500 index by 27.53%, with a weekly excess return of 3.24% [1][10] Group 2: Net Profit Gap Strategy - The Net Profit Gap strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "gap" indicates a significant upward price jump on the first trading day after earnings announcements [2][11] - Since 2010, this strategy has achieved an annualized return of 29.05%, with an annualized excess return of 26.28% over the benchmark [2][12] - Year-to-date, the strategy has recorded an absolute return of 46.58%, outperforming the benchmark index by 25.83% [2][12] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 Portfolio is constructed based on investor preferences categorized as GARP (Growth at a Reasonable Price), growth-oriented, and value-oriented, focusing on stocks with low valuations and strong profitability [3][14] - The strategy has shown stable excess returns in historical backtesting, with a year-to-date excess return of 14.48% relative to the CSI 300 index [3][17] - The portfolio has experienced a weekly excess return of -1.11% and a monthly excess return of -1.11% [3][17]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, achieving a multiplier effect on earnings per share (EPS) and PE [2][8] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [9] - Year-to-date, the strategy has generated a cumulative absolute return of 44.43%, exceeding the CSI 500 index by 25.27% [10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [3][12] - Since 2010, this strategy has achieved an annualized return of 29.13%, with an annualized excess return of 26.45% [14] - The current year's cumulative absolute return for this strategy is 48.09%, outperforming the benchmark index by 28.93% [14] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, aiming to identify undervalued stocks with strong profitability and stable growth potential [4][15] - The portfolio has shown stable excess returns historically, with a year-to-date excess return of 17.17% relative to the CSI 300 index [17] - The strategy's performance this week has resulted in an excess return of -2.79% [17]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, exceeding the benchmark by 21.08% [9] - Year-to-date, the strategy has delivered an absolute return of 41.19%, outperforming the CSI 500 index by 26.47% [10] Group 2: Net Profit Gap Strategy - The Net Profit Gap strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "gap" indicates a significant upward price jump on the first trading day after earnings announcements [12][15] - Since 2010, this strategy has achieved an annualized return of 30.29%, with an annualized excess return over the benchmark of 27.75% [15] - Year-to-date, the strategy has recorded an absolute return of 42.83%, exceeding the benchmark index by 28.11% [15] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [16][18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 19.88% relative to the CSI 300 index [18] - The strategy has delivered a monthly excess return of 2.62% [18]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [7][10]. - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [9]. - Year-to-date, the strategy has generated an absolute return of 33.83%, exceeding the CSI 500 index by 23.39% [10]. Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [12][15]. - Since 2010, this strategy has achieved an annualized return of 29.96%, with an annualized excess return over the benchmark of 27.68% [15]. - Year-to-date, the strategy has delivered an absolute return of 37.50%, outperforming the benchmark index by 27.06% [15]. Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [16]. - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 19.41% relative to the CSI 300 index [16]. - The portfolio's performance this week yielded an excess return of 1.77% [16].

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [9] - Year-to-date, the strategy has generated a cumulative absolute return of 26.78%, exceeding the CSI 500 index by 16.76% [10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [12] - Since 2010, this strategy has achieved an annualized return of 29.85%, with an annualized excess return of 27.60% over the benchmark [13] - The cumulative absolute return for the current year is 35.72%, outperforming the benchmark index by 25.70% [14] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing factors like PBROE and PEG to identify undervalued stocks with strong profitability and growth potential [15][17] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 16.82% relative to the CSI 300 index [17][19] - The portfolio's performance this week yielded an excess return of 0.31% [17]

Group 1: Davis Double Strategy - The Davis Double strategy involves buying stocks with growth potential at a lower price-to-earnings (PE) ratio, waiting for growth to manifest, and then selling for a multiplier effect, achieving returns from both earnings per share (EPS) and PE increases [1][7] - Historical backtesting from 2010 to 2017 showed an annualized return of 26.45%, exceeding the benchmark by 21.08%, with consistent excess returns over 11% in each of the seven years [9][10] - Year-to-date, the strategy has achieved a cumulative absolute return of 23.31%, outperforming the CSI 500 index by 16.78%, and has exceeded the benchmark by 3.65% since the last portfolio adjustment on May 6, 2025 [1][9] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises, and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [11][15] - Since 2010, this strategy has yielded an annualized return of 29.49%, with an annualized excess return of 27.47%, and a cumulative absolute return of 33.56% this year, outperforming the benchmark by 27.03% [2][15] - The strategy's performance this week showed a slight underperformance with an excess return of -0.65% [2][15] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences categorized as GARP (Growth at a Reasonable Price), growth-oriented, and value-oriented, focusing on stocks with low valuations and strong profitability [3][17] - Historical backtesting indicates stable excess returns, with the current year's portfolio outperforming the CSI 300 index by 16.17%, and showing a weekly excess return of 0.65% [3][17] - The portfolio's performance since July 18, 2025, has yielded an absolute return of 19.32%, with an excess return of 16.17% over the benchmark [3][17]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, waiting for growth to manifest, and then selling as the PE increases, achieving a multiplier effect on returns [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, exceeding the benchmark by 21.08% [9] - Year-to-date, the strategy has delivered an absolute return of 20.07%, outperforming the CSI 500 index by 14.81% [10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, where "net profit" refers to earnings surprises and "discontinuity" indicates a significant upward price gap on the first trading day after earnings announcements [2][12] - This strategy has achieved an annualized return of 29.48% since 2010, with an annualized excess return of 27.54% over the benchmark [16] - Year-to-date, the strategy has recorded an absolute return of 32.83%, exceeding the benchmark index by 27.56% [16] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [3][18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 15.20% relative to the CSI 300 index [20] - The strategy has delivered a weekly excess return of 0.51% and a monthly excess return of 0.58% [20]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [7][8] - Historical backtesting from 2010 to 2017 showed an annualized return of 26.45%, exceeding the benchmark by 21.08%, with stable excess returns over the years [8][10] - Year-to-date, the strategy has achieved an absolute return of 16.79%, outperforming the CSI 500 index by 13.55% [8][10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy combines fundamental and technical analysis, focusing on stocks that exceed earnings expectations and show a significant upward price gap on the first trading day after earnings announcements [11][12] - Since 2010, this strategy has yielded an annualized return of 29.25%, with an annualized excess return of 27.44% [12][14] - The current year's cumulative absolute return is 28.58%, outperforming the benchmark index by 25.33% [14] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, aiming to identify undervalued stocks with strong profitability [16][18] - Historical backtesting indicates stable excess returns, with the current year's portfolio achieving a relative excess return of 14.50% against the CSI 300 index [18] - Year-to-date, the portfolio has generated an excess return of 0.97% this week [18]

Quantitative Models and Construction Methods 1. Model Name: Davis Double Hit Strategy - **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them after the growth materializes and the P/E ratio increases, achieving a "double hit" effect through EPS growth and P/E expansion[7] - **Model Construction Process**: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator, which considers both P/E and growth rate[7] - **Model Evaluation**: The strategy demonstrated strong stability, with annual excess returns exceeding 11% in all seven years of the backtest period from 2010 to 2017[8] 2. Model Name: Net Profit Gap Strategy - **Model Construction Idea**: This strategy combines fundamental and technical analysis, focusing on two key aspects: - "Net profit" refers to earnings surprises, typically exceeding market expectations - "Gap" refers to a significant upward price gap on the first trading day after the earnings announcement, reflecting market recognition and sentiment[11] - **Model Construction Process**: - Select stocks with earnings surprises based on earnings forecasts and financial reports from the past two months - Rank stocks by the magnitude of the price gap on the earnings announcement day - Construct an equal-weight portfolio of the top 50 stocks[11] 3. Model Name: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model is based on investor preferences, categorized into GARP (Growth at a Reasonable Price), growth, and value styles[16] - GARP investors focus on companies with strong profitability and stable growth potential at relatively low prices - Growth investors prioritize high-growth companies based on revenue, gross profit, and net profit growth - Value investors prefer companies with high and stable ROE over the long term[16] - **Model Construction Process**: - Construct the PBROE factor using the difference in percentiles between PB and ROE to identify undervalued stocks with strong profitability - Construct the PEG factor using the difference in percentiles between P/E and growth rate to find undervalued stocks with reliable growth potential[16] --- Backtest Results of Models 1. Davis Double Hit Strategy - **Annualized Return**: 26.45% (2010-2017)[8] - **Annualized Excess Return**: 21.08% (2010-2017)[8] - **YTD Absolute Return**: 16.55%[8] - **YTD Excess Return**: 14.14% (relative to CSI 500 Index)[8] - **Weekly Excess Return**: -0.15% (relative to CSI 500 Index)[8] - **Current Period Excess Return**: 1.75% (2025-05-06 to 2025-06-27)[8] 2. Net Profit Gap Strategy - **Annualized Return**: 29.21% (2010-present)[14] - **Annualized Excess Return**: 27.45% (2010-present)[14] - **YTD Absolute Return**: 27.39%[14] - **YTD Excess Return**: 24.98%[14] - **Weekly Excess Return**: 3.24%[14] 3. CSI 300 Enhanced Portfolio - **Annualized Return**: 9.75% (full sample period)[18] - **Annualized Excess Return**: 9.13% (full sample period)[18] - **YTD Absolute Return**: 12.90%[20] - **YTD Excess Return**: 13.23% (relative to CSI 300 Index)[20] - **Weekly Excess Return**: -0.10%[20] - **Monthly Excess Return**: 2.40%[20]

Group 1: Davis Double-Click Strategy - The Davis Double-Click strategy involves buying stocks with growth potential at lower price-to-earnings (PE) ratios, selling them once growth is realized and PE increases, achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, exceeding the benchmark by 21.08% [9] - Year-to-date, the strategy has delivered an absolute return of 12.25%, outperforming the CSI 500 index by 13.76% [10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy focuses on selecting stocks based on fundamental and technical resonance, characterized by unexpected earnings and significant upward price gaps on the first trading day post-earnings announcement [2][12] - Since 2010, this strategy has achieved an annualized return of 28.66%, with an annualized excess return of 27.16% over the benchmark [16] - Year-to-date, the strategy has recorded an absolute return of 18.81%, outperforming the benchmark index by 20.32% [16] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [3][18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 13.06% relative to the CSI 300 index [20] - The strategy's performance this week resulted in an excess return of -1.03% [20]