【中泰金工】净利润断层策略本年绝对收益 63.03% 证券研究报告/金融工程定期报告 2025 年 12 月 07 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《【中泰金工】净利润断层策略 本周超额收益 1.40%》2025-11-30 信号》2025-11-23 本年绝对收益 55%》2025-11-23 报告摘要 戴维斯双击策略 净利润断层策略 请务必阅读正文之后的重要声明部分 分析师：王鹏飞 戴维斯双击即指以较低的市盈率买入具有成长潜力的股票，待成长性显现、市盈率相 应提高后卖出，获得乘数效应的收益，即 EPS 和 PE 的"双击"。策略在 2010-2017 年回测期内实现了 26.45%的年化收益，超额基准 21.08%。 策略在 2010-2017 回测期内实现了 26.45%的年化收益，超额基准 21.08%，且在回 测期内的 7 个完整年度里，每个年度的超额收益均超过了 11%，具有非常好的稳定性。 相关报告 今年以来，策略累计绝对 ...

Core Viewpoint - The article emphasizes the importance of cautious interpretation of performance gaps in stock trading, particularly in unique market conditions and specific operational phases of individual stocks, as these indicators can be exploited by short-term capital for reverse operations [1]. Group 1: Performance Gaps - The performance gap in the first quarter report of Xinyi Technology is highlighted as particularly valuable [2]. - Low-level performance gaps are deemed more significant than high-level ones, especially when the company's performance continues to grow rapidly [3]. Group 2: Announcement Date and Trading Day Matching - The article discusses the criticality of accurately identifying the announcement date, as the performance gap effect is most pronounced on that day [3]. - A method is proposed to match the announcement date with the last trading day before the announcement, utilizing the BARSLAST function for precise positioning [3]. Group 3: Formula Adjustments - The article critiques the commonly used "Tao School" formula for its inability to accurately pinpoint the announcement date and suggests using the FINONE function instead of the FINVALUE function for better data relevance [4]. - The article also mentions the need for different data arrangements regarding net profit growth, advocating for the use of non-recurring net profit growth or operating profit growth [4]. Group 4: Stock Selection - A stock selection method based on the latest performance gaps and non-recurring net profit exceeding 1 billion is introduced, resulting in approximately 57 stocks being identified for potential investment [5].

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, mid-term incremental capital is expected to continue entering the market [1][4][7] - The current WIND All A trend line is around 6106 points, with a profit-making effect of approximately 1.9%, still positive. It is advised to hold patiently until the profit-making effect turns negative [2][4][7] - The market is entering a significant event window, and volatility is expected to increase significantly. A more balanced allocation is recommended in response to this volatility [2][4][7] Industry Allocation - From a mid-term perspective, the industry allocation continues to recommend sectors that are experiencing a turnaround, particularly innovative pharmaceuticals in Hong Kong, which are still in an upward trend. Additionally, sectors benefiting from policy-driven growth, such as chemicals and innovative new energy, are expected to maintain upward momentum [2][4][7] - The TWO BETA model continues to recommend the technology sector, focusing on computing power and batteries. In the short term, if the military sector shows significant volume reduction, it may present a good short-term buying opportunity [2][4][7] Performance Metrics - The Davis Double strategy achieved an absolute return of 1.68% this month and a cumulative absolute return of 48.70% for the year. The net profit gap strategy outperformed the benchmark by 1.34% this week, with a cumulative absolute return of 53.50% for the year [1][8][11]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, incremental funds are likely to continue entering the market [1][3][9] - The current WIND All A trend line is around 6030 points, with a profit-making effect of 1%, which is at a critical position but still positive. It is advised to hold patiently until the profit-making effect turns negative [1][3][9] - Short-term expectations of a Federal Reserve interest rate cut have increased, which may enhance global risk appetite [1][3][9] Investment Strategy - The Davis Double Strategy achieved an excess return of 3.24% this week, with a cumulative absolute return of 48.29% for the year [10] - The net profit gap strategy also reported an excess return of 0.00% this week, with a cumulative absolute return of 46.58% for the year [10][14] - The recommended position is 80%, indicating a moderate level of investment in the market [4] Sector Allocation - Mid-term sector allocation continues to recommend turnaround sectors, particularly Hong Kong innovative pharmaceuticals and securities insurance, which are expected to maintain an upward trend [2][3] - Policy-driven sectors such as chemicals, non-ferrous metals, and innovative energy are also anticipated to sustain upward momentum [2][3] - The TWO BETA model continues to recommend technology sectors, focusing on consumer electronics and computing power [2][3] Market Volatility - Current market volatility has increased significantly, with some sectors experiencing substantial fluctuations. It is recommended to maintain a balanced allocation and to increase exposure to previously lagging sectors to diversify risk [1][3][9]

Group 1 - The overall performance of A-shares is at a low point, with a focus on transformation and recovery in various sectors [2] - The sectors showing positive economic sentiment include electronics, home appliances, non-bank financials, machinery, non-ferrous metals, computers, food and beverages, defense, telecommunications, media, and agriculture [3][13] - The revenue growth rate for Q2 2025 shows a cumulative year-on-year decline, but the quarterly growth rate is on the rise, with leading sectors including defense, electronics, agriculture, automotive, computers, and non-bank financials [4][53] Group 2 - The overall ROE for Q2 2025 has slightly declined, with the best performance in essential consumer goods at 10.2% [5] - The gross profit margin for non-financial A-shares has slightly decreased, with essential consumer goods showing the highest margin at 30.4% [5][22] - Inventory turnover rates have increased, while accounts payable and receivable turnover rates have decreased [5][18] Group 3 - Most industries are actively replenishing inventory, while agriculture, home appliances, pharmaceuticals, public utilities, construction decoration, telecommunications, and environmental protection are in a passive destocking phase [6][24] - Capital expenditure intentions have rebounded in Q2 2025, although they remain negative overall [6][28] Group 4 - From June 30 to August 30, 2025, the industries with the highest upward revisions in net profit forecasts include steel, non-ferrous metals, beauty care, non-bank financials, and banking [7][30] - The phenomenon of net profit discontinuity is more likely to occur in sectors such as food and beverages, beauty care, non-bank financials, banking, and transportation [7][31]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, mid-term incremental capital is expected to continue entering the market [1][2][7] - The current WIND All A trend line is around 5625 points, with a profit-making effect value of 3.73%, which is significantly positive. It is recommended to hold positions patiently and maintain a high allocation until the profit-making effect turns negative [1][2][7] Industry Allocation - From a mid-term perspective, the industry allocation continues to recommend sectors that are experiencing a turnaround, specifically Hong Kong stocks in innovative pharmaceuticals and securities. The upward trend is still ongoing. Additionally, sectors benefiting from policy support, such as photovoltaics, coal, and non-ferrous metals, are expected to maintain an upward trajectory [3][7] - The TWO BETA model continues to recommend the technology sector, with a focus on military and computing power [2][3][7] Performance Metrics - The Davis Double Strategy has achieved a cumulative absolute return of 41.19% this year, exceeding the benchmark by 26.47%. This week, the strategy outperformed the benchmark by 1.62% [8][22] - The net profit gap strategy has achieved a cumulative absolute return of 42.83% this year, with a benchmark excess return of 28.11% [12][16] - The enhanced CSI 300 strategy has achieved an excess return of 19.88% relative to the CSI 300 index this year, with a weekly excess return of 0.01% [17][20]

Core Viewpoint - The market's attitude towards companies with significant profit growth has shifted, with recent high-growth companies experiencing stock price declines despite strong earnings forecasts [1][2]. Group 1: Earnings Forecasts and Market Reactions - Since late June, companies have been releasing semi-annual earnings forecasts, which have become crucial for short-term stock price movements [1]. - Initially, companies with profit growth exceeding 100% saw positive market reactions, but this trend has reversed, with some companies facing sharp declines despite high growth forecasts [1][2]. - A specific lithium mining company projected a net profit increase of over 40 times, yet its stock plummeted after the announcement, illustrating the disconnect between earnings growth and stock performance [1][2]. Group 2: Importance of Quarterly Performance - Analysts suggest that the second quarter's performance, rather than just the half-year results, is critical in determining stock price movements [2]. - Historical data indicates that companies with stable second-quarter earnings growth relative to the first quarter tend to perform poorly in the stock market during the earnings season [2]. Group 3: Identifying "Exceeding Expectations" - The concept of "exceeding expectations" is central to earnings season, but identifying such opportunities can be challenging for investors [3]. - A quantitative model known as "net profit gap" focuses on stocks that show upward price jumps following earnings announcements, indicating market approval [3]. - The "net profit gap" strategy has yielded an annualized return of 34.10% since 2010, outperforming major indices [3]. Group 4: Sector Performance Disparities - There is a consensus among institutions that significant performance disparities exist between sectors this earnings season, with high growth concentrated in lithium, chemicals, and oil sectors [6]. - The current earnings season is expected to show the most pronounced performance differentiation in five years, leading to rapid fund reallocations between sectors [6]. - The crowded trading in high-performing sectors may increase stock price volatility post-earnings announcements [6].

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, incremental capital is likely to continue entering the market. The current WIND All A trend line is around 5540 points, with a profit-making effect value of 2.30%, which is significantly positive. It is recommended to hold positions patiently and maintain a high allocation until the profit-making effect turns negative [1][4][8]. Industry Rotation - In terms of industry allocation, the model continues to recommend sectors that are in a turnaround phase, specifically Hong Kong innovative pharmaceuticals and securities, as the upward trend persists. The TWO BETA model continues to recommend the technology sector, with a focus on military and computing power. Short-term signals indicate that the liquor and agriculture sectors are entering a low point in the emotional cycle, which may lead to a rebound [2][4][8]. Performance Metrics - The Davis Double strategy achieved an excess benchmark of 1.32% this week, with a cumulative absolute return of 33.83% for the year. The CSI 300 Enhanced strategy also outperformed the benchmark by 1.77% this week, with a cumulative excess return of 19.41% for the year. The net profit gap strategy had an excess benchmark of -0.26% this week, with a cumulative absolute return of 37.50% for the year [1][9][15]. Valuation Indicators - The overall PE of the WIND All A index is at the 70th percentile, indicating a medium level, while the PB is at the 30th percentile, indicating a relatively low level. Based on short-term trend assessments, the absolute return products with WIND All A as the stock allocation subject are recommended to maintain an 80% allocation [4][6][8].

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 [7][10] - The strategy has 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 29.82%, outperforming the CSI 500 index by 21.30%, with a weekly excess return of 3.76% [10][14] 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][14] - Since 2010, this strategy has achieved an annualized return of 29.83%, with an annualized excess return of 27.67% over the benchmark [14] - The current year's cumulative absolute return for the strategy is 35.44%, exceeding the benchmark index by 26.93%, with a weekly excess return of 0.43% [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 PB-ROE and PE-growth factors to identify undervalued stocks with strong earnings potential [16] - The strategy has shown stable excess returns historically, with a year-to-date excess return of 17.08% relative to the CSI 300 index, and a weekly excess return of 0.45% [16] - The portfolio's performance for the current year reflects a 20.13% absolute return, with a 17.08% excess return over the benchmark [16]

Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect is positive, incremental capital is expected to continue entering the market. Currently, the WIND All A trend line is around 5400 points, with a profit-making effect value of 4.09%, which is significantly positive. Even in the face of short-term fluctuations, it is recommended to hold patiently or increase positions on dips [1][3][8]. Performance Metrics - The Davis Double strategy has an excess benchmark of -0.44% this week, with a cumulative absolute return of 26.78% for the year. The CSI 300 Enhanced strategy has an excess benchmark of 0.31% this week, with a cumulative excess return of 16.82% for the year. The net profit gap strategy has an excess benchmark of -1.68% this week, with a cumulative absolute return of 35.72% for the year [1][9][13]. Sector Recommendations - In terms of industry allocation, the mid-term perspective continues to recommend sectors that are experiencing a turnaround, including Hong Kong innovative drugs, Hong Kong securities, and Hang Seng consumption. The upward trend remains intact. The TWO BETA model continues to recommend the technology sector, focusing on military industry, AI applications, and solid-state batteries. Overall, in the upward trend, attention should be paid to high-elasticity sectors such as brokerages and technology [2][3][8]. Valuation Indicators - The overall PE of the WIND All A index is around the 70th percentile, indicating a medium level, while the PB is around the 30th percentile, indicating a relatively low level. Based on short-term trend assessments, the absolute return products with WIND All A as the stock allocation subject are recommended to have an 80% position [4][6]. Market Dynamics - The timing system signals show that the distance between the 20-day and 120-day moving averages continues to expand, with the latest data showing the 20-day line at 5437 and the 120-day line at 5168 points. The difference between the two lines has increased from 4.04% last week to 5.21%, with an absolute value significantly greater than 3%. The market continues to operate in an upward trend [3][8].