Group 1: Davis Double-Click Strategy - The Davis Double-Click 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 [1][8] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, exceeding the benchmark by 21.08% [10] - Year-to-date, the strategy has a cumulative absolute return of 14.65%, outperforming the CSI 500 index by 14.40% [11] 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 [13] - Since 2010, this strategy has achieved an annualized return of 28.69%, with an annualized excess return of 27.07% over the benchmark [16] - Year-to-date, the strategy has a cumulative absolute return of 18.68%, outperforming the benchmark index by 18.42% [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, focusing on stocks with low price-to-book (PB) ratios and high return on equity (ROE) [18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 14.31% relative to the CSI 300 index [22] - The strategy's performance this week yielded an excess return of 0.95% [22]

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][8] - 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 generated a cumulative absolute return of 14.81%, exceeding the benchmark by 14.17% [11] 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 [13] - Since 2010, this strategy has achieved an annualized return of 28.88%, with an annualized excess return of 27.23% [16] - The current year's cumulative absolute return for the strategy is 20.66%, outperforming the benchmark by 20.02% [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 [18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 13.29% relative to the CSI 300 index [22] - The strategy has achieved a weekly excess return of 2.57% [22]

Quantitative Models and Construction Methods - **Model Name**: Davis Double Play **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low PE ratio and selling them after growth materializes and PE increases, achieving a multiplier effect through EPS and PE growth ("double play")[8] **Model Construction Process**: The strategy evaluates stocks based on PEG (Price/Earnings to Growth) to assess pricing rationality. Companies with accelerating earnings growth are targeted, as higher growth rates theoretically justify higher valuations, effectively controlling downside PE risks[8] **Model Evaluation**: The strategy demonstrated strong stability during the backtesting period, with annual excess returns exceeding 11% in all seven complete years from 2010 to 2017[10] - **Model Name**: Net Profit Gap Strategy **Model Construction Idea**: This strategy combines fundamental and technical analysis, focusing on "net profit surprises" and "gap behavior" after earnings announcements[13] **Model Construction Process**: Stocks are screened based on earnings surprises from the past two months' earnings forecasts and financial reports. The top 50 stocks with the highest gap magnitude on the first trading day post-announcement are selected to construct an equal-weight portfolio[13] **Model Evaluation**: The strategy achieved consistent high returns, with annualized excess returns of 27.17% since 2010, showcasing strong performance stability[17] - **Model Name**: CSI 300 Enhanced Portfolio **Model Construction Idea**: The model is based on investor preferences categorized into GARP, growth, and value styles. It uses PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential[19] **Model Construction Process**: - **PBROE Factor**: Constructed using the difference in percentiles between PB (Price-to-Book) and ROE (Return on Equity) to identify stocks with low valuation and high profitability[19] - **PEG Factor**: Constructed using the difference in percentiles between PE (Price-to-Earnings) and growth rate to find undervalued stocks with reliable growth potential[19] **Model Evaluation**: The model demonstrated stable excess returns in historical backtesting, aligning with investor preferences for growth and value stocks[23] --- Model Backtesting Results - **Davis Double Play** - Annualized Return: 26.45% - Annualized Excess Return: 21.08% - This Year Absolute Return: 11.24% - This Year Excess Return (vs CSI 500): 12.19% - Weekly Excess Return (20250526-20250530): -3.02% - Full Sample Excess Return: 21.71% - Maximum Relative Drawdown: -20.14% - Return-to-Drawdown Ratio: 1.08[10][11] - **Net Profit Gap Strategy** - Annualized Return: 28.71% - Annualized Excess Return: 27.17% - This Year Absolute Return: 17.81% - This Year Excess Return: 18.76% - Weekly Excess Return (20250526-20250530): 0.57% - Full Sample Excess Return: 27.17% - Maximum Relative Drawdown: -37.12% - Return-to-Drawdown Ratio: 0.73[15][17] - **CSI 300 Enhanced Portfolio** - Annualized Return: 9.47% - Annualized Excess Return: 9.00% - This Year Absolute Return: 8.02% - This Year Excess Return: 10.42% - Weekly Excess Return (20250526-20250530): 1.79% - Monthly Excess Return (20250501-20250530): 4.03% - Full Sample Excess Return: 9.00% - Maximum Relative Drawdown: -9.18% - Return-to-Drawdown Ratio: 0.98[21][23] --- Quantitative Factors and Construction Methods - **Factor Name**: PBROE **Factor Construction Idea**: Identifies stocks with low valuation and high profitability[19] **Factor Construction Process**: Calculated as the difference in percentiles between PB and ROE[19] - **Factor Name**: PEG **Factor Construction Idea**: Targets undervalued stocks with reliable growth potential[19] **Factor Construction Process**: Calculated as the difference in percentiles between PE and growth rate[19] --- Factor Backtesting Results - **PBROE Factor** - Incorporated into CSI 300 Enhanced Portfolio, contributing to stable excess returns[19][23] - **PEG Factor** - Incorporated into CSI 300 Enhanced Portfolio, contributing to stable excess returns[19][23]

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 [8][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 generated a cumulative absolute return of 14.32%, exceeding the CSI 500 index by 15.59% [11] 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 [13][17] - Since 2010, this strategy has achieved an annualized return of 28.67%, with an annualized excess return of 27.15% over the benchmark [17] - The current year's cumulative absolute return for this strategy is 16.76%, outperforming the benchmark by 18.03% [17] 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, focusing on stocks with low valuations and strong profitability [19] - Historical backtesting shows stable excess returns for this strategy, with a year-to-date excess return of 8.60% relative to the CSI 300 index [19][20] - The strategy has achieved a weekly excess return of 1.13% and a monthly excess return of 2.18% [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 multiplier effect on returns, specifically targeting both earnings per share (EPS) and PE for a "double-click" effect [1][8] - 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 complete years [9] - Year-to-date, the strategy has achieved a cumulative absolute return of 15.08%, outperforming the CSI 500 index by 15.25%, and has exceeded the index by 2.36% in the past week [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 following earnings announcements, reflecting market recognition of the earnings report [2][12] - Since 2010, this strategy has achieved an annualized return of 28.78%, with an annualized excess return of 27.18%, and a cumulative absolute return of 17.67% this year, outperforming the benchmark by 17.85% [2][16] - The strategy has also shown a weekly excess return of 2.68% [2][16] 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, aiming to identify undervalued stocks with strong profitability and stable growth potential [3][18] - Historical backtesting indicates stable excess returns for this strategy, with a year-to-date excess return of 7.41% relative to the CSI 300 index, and a weekly excess return of 0.13% [3][18] - The strategy utilizes PBROE and PEG factors to identify stocks with low valuations and strong earnings capabilities, as well as those with reliable growth potential [3][18]

Group 1: Davis Double-Click Strategy - The Davis Double-Click 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 a dual benefit from earnings per share (EPS) and PE [1][7] - The strategy has 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 a cumulative absolute return of 6.18%, outperforming the CSI 500 index by 7.90%, with a weekly excess return of 2.27% [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 [2][12] - This strategy has achieved an annualized return of 28.17% since 2010, with an annualized excess return of 26.67% over the benchmark [15] - The current year's cumulative absolute return for this strategy is 8.31%, exceeding the benchmark by 10.03%, with a weekly excess return of 4.31% [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 [3][17] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 7.41% relative to the CSI 300 index [17] - The weekly excess return for this portfolio is 1.33%, and the monthly excess return is 4.08% [17]

Quantitative Models and Construction Methods 1. Model Name: Davis Double Play Strategy - **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them after their growth potential is realized, leading to an increase in both EPS and P/E, thereby achieving a "double play" effect [2][8] - **Model Construction Process**: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator, which considers the relationship between P/E and earnings growth rate - Select stocks with controlled downside risk in P/E and high growth potential [8] - **Model Evaluation**: The strategy demonstrates strong stability, with annual excess returns exceeding 11% in all seven complete years during the backtest period from 2010 to 2017 [11] 2. Model Name: Net Profit Gap Strategy - **Model Construction Idea**: This strategy combines fundamental and technical analysis, focusing on stocks with earnings surprises ("net profit") and a significant upward price gap ("gap") following earnings announcements [3][13] - **Model Construction Process**: - Screen stocks with earnings surprises based on earnings forecasts and financial reports over the past two months - Rank stocks by the magnitude of the price gap on the first trading day after the earnings announcement - Construct an equal-weight portfolio of the top 50 stocks with the largest price gaps [13] - **Model Evaluation**: The strategy has achieved a high annualized return of 28.51% since 2010, with an annualized excess return of 26.74% over the benchmark, demonstrating strong performance [17] 3. Model Name: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model is based on investor preferences, categorized into GARP, growth, and value styles. It uses PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [4][19] - **Model Construction Process**: - Construct the PBROE factor as the difference between the percentile ranks of PB and ROE, targeting undervalued stocks with strong profitability - Construct the PEG factor as the difference between the percentile ranks of PE and growth rate, targeting undervalued stocks with reliable growth potential - Combine these factors to build an enhanced CSI 300 portfolio [19] - **Model Evaluation**: The model has demonstrated stable excess returns in historical backtests, with consistent outperformance relative to the CSI 300 index [19] --- Model Backtest Results 1. Davis Double Play Strategy - **Annualized Return**: 26.45% (2010-2017) - **Annualized Excess Return**: 21.08% (2010-2017) - **Cumulative Absolute Return (2025 YTD)**: 9.36% - **Cumulative Excess Return (2025 YTD)**: 7.27% - **Weekly Excess Return (2025)**: -1.29% - **Maximum Relative Drawdown**: -20.14% - **Return-to-Drawdown Ratio**: 1.07 [2][11][12] 2. Net Profit Gap Strategy - **Annualized Return**: 28.51% (2010-present) - **Annualized Excess Return**: 26.74% (2010-present) - **Cumulative Absolute Return (2025 YTD)**: 10.90% - **Cumulative Excess Return (2025 YTD)**: 8.81% - **Weekly Excess Return (2025)**: -0.16% - **Maximum Relative Drawdown**: -37.12% - **Return-to-Drawdown Ratio**: 0.72 [3][15][17] 3. CSI 300 Enhanced Portfolio - **Annualized Return**: 9.18% (full sample) - **Annualized Excess Return**: 8.66% (full sample) - **Cumulative Absolute Return (2025 YTD)**: 2.42% - **Cumulative Excess Return (2025 YTD)**: 4.29% - **Weekly Excess Return (2025)**: 1.57% - **Maximum Relative Drawdown**: -9.18% - **Return-to-Drawdown Ratio**: 0.94 [4][19][20]

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 growth materializes and the P/E ratio increases, achieving a "double hit" effect from EPS and P/E[7] - **Model Construction Process**: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator - Select stocks with high earnings growth potential and controlled downside P/E risk[7] - **Model Evaluation**: The strategy demonstrates strong stability, with annualized excess returns exceeding 11% in all seven years of the backtest period[8] 2. Model Name: Net Profit Gap Strategy - **Model Construction Idea**: This strategy combines fundamental and technical factors, focusing on stocks with earnings surprises ("net profit") and a significant upward price gap after earnings announcements ("gap")[11] - **Model Construction Process**: - Screen 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 first trading day after the earnings announcement - Construct an equal-weight portfolio of the top 50 stocks[11] - **Model Evaluation**: The strategy achieves high annualized returns and excess returns, indicating strong performance and market recognition of earnings surprises[14] 3. Model Name: CSI 300 Enhanced Portfolio - **Model Construction Idea**: Based on investor preferences, the strategy uses factors such as PBROE and PEG to identify undervalued stocks with strong profitability and growth potential[16] - **Model Construction Process**: - Construct the PBROE factor as the difference between the percentile ranks of PB and ROE to identify stocks with low valuation and high profitability - Construct the PEG factor as the difference between the percentile ranks of PE and growth rate to find undervalued stocks with reliable growth potential - Combine these factors to build an enhanced CSI 300 portfolio[16] - **Model Evaluation**: The strategy demonstrates stable historical excess returns, aligning with investor preferences for growth and value[20] --- Backtest Results of Models 1. Davis Double Hit Strategy - **Annualized Return**: 26.45% (2010-2017)[8] - **Annualized Excess Return**: 21.08% (2010-2017)[8] - **Year-to-Date Absolute Return**: 7.15% (2025)[8] - **Year-to-Date Excess Return**: 4.80% (2025)[8] - **Weekly Excess Return**: -0.65% (2025)[8] - **Monthly Excess Return**: -1.07% (2025)[8] 2. Net Profit Gap Strategy - **Annualized Return**: 28.60% (2010-present)[14] - **Annualized Excess Return**: 26.80% (2010-present)[14] - **Year-to-Date Absolute Return**: 9.39% (2025)[14] - **Year-to-Date Excess Return**: 7.05% (2025)[14] - **Weekly Excess Return**: 3.07% (2025)[14] 3. CSI 300 Enhanced Portfolio - **Annualized Return**: 8.99% (full sample)[18] - **Annualized Excess Return**: 8.42% (full sample)[18] - **Year-to-Date Absolute Return**: -0.98% (2025)[20] - **Year-to-Date Excess Return**: 0.16% (2025)[20] - **Weekly Excess Return**: 1.94% (2025)[20] - **Monthly Excess Return**: -2.49% (2025)[20]