Investment Rating - The industry investment rating is "Increase" with an expectation of a relative increase of over 10% compared to the benchmark index in the next 6 to 12 months [17]. Core Insights - The market is currently in an upward trend, with the core observation variable being the change in profit effect, which is at 1.91%, indicating a potential for continued market growth [5][8]. - The upcoming Two Sessions (Lianghui) period is expected to drive short-term policy focus, historically associated with stable market performance [5][8]. - The market has shown resilience despite geopolitical tensions in the Middle East, which may suppress risk appetite [5][8]. Summary by Sections Market Overview - The overall market (WIND All A Index) has shown an increase of 2.75% and reached a new high, with small-cap stocks (CSI 1000) rising by 4.34% and mid-cap stocks (CSI 500) by 4.32% [2][7]. - The steel sector has performed particularly well, with an increase of 11.8%, while the media sector has declined by 4.44% [2][7]. Timing System Analysis - The distance between the 20-day and 120-day moving averages is 6.28%, indicating a positive market trend, with the short-term average above the long-term average [2][5]. - The market trend line is positioned around 6812 points, suggesting a favorable environment for continued investment [5][8]. Sector Allocation - The industry trend configuration model suggests waiting for a reversal signal in the real estate chain (Construction Materials ETF code 159745.SZ) during the Two Sessions window, which may present short-term opportunities [6][15]. - The TWO BETA model continues to recommend the technology sector, particularly focusing on commercial aerospace (Satellite ETF code 563230.SH) for rebound opportunities [6][15]. - The performance trend model highlights the importance of focusing on the computing-related industry chain (Semiconductor Equipment ETF code 159516.SZ, Communication ETF code 515880.SH) as well as non-ferrous metals (Industrial Non-ferrous ETF code 560860.SH, Rare Earth ETF code 516150.SH) and chemicals (Chemical ETF code 159870.SZ) [6][15]. Valuation Metrics - The PE ratio of the WIND All A Index is near the 90th percentile, indicating a high valuation level, while the PB ratio is at the 50th percentile, suggesting a moderate valuation level [9][11]. - Based on the short-term trend assessment, an 80% allocation in absolute return products based on the WIND All A Index is recommended [9].

量化择时周报：两会来临，短期关注政策驱动 证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 执业证书编号：S0740525110003 Email：wuxx02@zts.com.cn 分析师：王鹏飞 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期出 现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 报告摘要 | 中泰量化周观点:两会来临,短期关注政策驱动 | | --- | | 风险提示 . | | 市场环境变动风险,模型基于历史数据。 . | | 图表 | 1 | ： | | | --- | --- | --- | --- | | 图表 | 2 | ： | PB 估值水平 4 | 两会来临，短期关注政策驱动 请务必阅读正文之后的重要声明部分 上周周报（20260223）提示：综合来看，市场整体在海外影响以及日历效应的影响下， 风险偏好有望抬升，同时成交金额也到达我们预期的阶段地量水平，市场有望延续节 前反弹 ...

戴维斯双击策略本周超额收益 1.27% 执业证书编号：S0740525110003 1、《净利润断层策略本周超额收益 1.31%》2026-02-23 2、《量化择时周报：缩量信号如期 出现，聚焦科技与周期》2026-02-23 3.44%》2026-02-08 证券研究报告/金融工程定期报告 2026 年 03 月 01 日 分析师：吴先兴 报告摘要 相关报告 净利润断层策略 Email：wuxx02@zts.com.cn 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 沪深 300 增强组合 请务必阅读正文之后的重要声明部分 戴维斯双击策略 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%，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。 今年以来，策略累计绝对收益 12.95%，超额中证 500 指数-3.02%，本 ...

Core Insights - The report highlights three investment strategies: Davis Double Hit Strategy, Net Profit Gap Strategy, and Enhanced CSI 300 Strategy, each demonstrating distinct performance metrics and methodologies [5][11][14]. Davis Double Hit Strategy - The Davis Double Hit Strategy involves buying stocks with low price-to-earnings (PE) ratios that have strong growth potential, aiming to sell them once growth is realized and PE increases, thus achieving a multiplier effect on returns [5][8]. - Historical backtesting from 2010 to 2017 shows 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 [10]. - As of February 6, 2026, the strategy has achieved a cumulative absolute return of 4.47%, with an excess return of -4.65% compared to the CSI 500 Index [10]. Net Profit Gap Strategy - The Net Profit Gap Strategy combines fundamental and technical analysis, focusing on stocks that exceed earnings expectations, indicated by a significant upward price gap on the first trading day post-earnings announcement [11]. - Since 2010, this strategy has yielded an annualized return of 29.66%, with an annualized excess return of 25.92% [12]. - The strategy's performance for the current year shows a cumulative absolute return of 5.28%, with an excess return of -3.84% against the benchmark [12]. Enhanced CSI 300 Strategy - The Enhanced CSI 300 Strategy is constructed based on investor preference factors, including GARP (Growth at a Reasonable Price), growth, and value investing styles, aiming to identify undervalued stocks with strong profitability [14][18]. - Historical backtesting indicates stable excess returns, with the current year's strategy showing an excess return of 6.28% relative to the CSI 300 Index [18]. - As of February 6, 2026, the strategy has achieved a return of 6.58%, outperforming the benchmark [16].

戴维斯双击策略本周超额收益 2.39% Email：wuxx02@zts.com.cn 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《量化择时周报：牛市格局仍在 延 续 ， 主 题 投 资 重 回 主 线 》 2026-01-25 2、《沪深 300 增强策略本周超额收 益 3.90%》2026-01-25 3、《净利润断层策略本周绝对收益 1.99%》2026-01-18 证券研究报告/金融工程定期报告 2026 年 02 月 01 日 执业证书编号：S0740525110003 分析师：吴先兴 报告摘要 相关报告 净利润断层策略 沪深 300 增强组合 请务必阅读正文之后的重要声明部分 戴维斯双击策略 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 ...

Group 1: Core Insights - The report highlights the performance of the enhanced strategy for the CSI 300 index, which achieved an excess return of 3.90% this week [1][4][18] - The "Davis Double" strategy has shown a historical annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [4][9] - The "Net Profit Discontinuity" strategy focuses on stocks that show significant upward price gaps following earnings announcements, indicating market approval of earnings reports [10][11] Group 2: Davis Double Strategy - The Davis Double strategy involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, aiming to sell once growth is realized and PE increases, thus achieving a "double hit" effect on earnings per share (EPS) and PE [4][7] - The strategy has generated a cumulative absolute return of 8.47% this year, with an excess return of -6.60% compared to the CSI 500 index [4][9][11] - Historical performance shows that in each of the seven complete years during the backtest, the strategy's excess returns exceeded 11%, demonstrating strong stability [4][9] Group 3: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy combines fundamental and technical analysis to select stocks that exceed earnings expectations, focusing on those that show significant price jumps on the first trading day after earnings announcements [10][11] - This strategy has achieved an annualized return of 29.98% since 2010, with an annualized excess return of 25.89% [10][11] - The strategy's performance this year includes a cumulative absolute return of 9.53%, with an excess return of -5.54% against the benchmark [10][11] Group 4: Enhanced CSI 300 Strategy - The Enhanced CSI 300 strategy is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [13][18] - The strategy has shown a relative excess return of 7.08% against the CSI 300 index this year, with a weekly excess return of 3.90% [18] - Historical backtesting indicates stable excess returns for the Enhanced CSI 300 strategy, reinforcing its effectiveness [18]

Core Insights - The report highlights the "Net Profit Gap Strategy" which achieved an absolute return of 6.60% this year, with an annualized return of 29.76% since 2010, outperforming the benchmark by 25.95% [10][11] - The "Davis Double Play Strategy" has shown a historical annualized return of 26.45% from 2010 to 2017, with consistent excess returns exceeding 11% in each year of the backtest period [4][9] - The "Enhanced CSI 300 Portfolio" has demonstrated stable excess returns, with a relative excess return of 3.08% this year and 2.17% for the week [13][18] Net Profit Gap Strategy - This strategy focuses on stocks that show a significant upward price gap on the first trading day following earnings announcements, indicating market recognition of earnings surprises [10] - The strategy constructs a portfolio by selecting the top 50 stocks based on the magnitude of the price gap after earnings announcements [10] Davis Double Play Strategy - The strategy involves buying stocks with low price-to-earnings (PE) ratios that have strong growth potential, aiming to sell them once their growth is recognized and PE ratios increase [4][7] - Historical performance shows that the strategy has consistently outperformed the benchmark, achieving a total return of 4.64% as of January 16, 2026, while underperforming the CSI 500 index by 5.63% this year [9][11] Enhanced CSI 300 Portfolio - This portfolio is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [13] - The strategy aims to identify undervalued stocks with strong profitability and growth potential, achieving a stable historical excess return [18]

Core Insights - The report highlights the "Net Profit Discontinuity Strategy" which achieved an absolute return of 67.17% in 2025 and a 4.51% return in the current year [2][10] - The "Davis Double-Click Strategy" has shown a historical annualized return of 26.45% from 2010 to 2017, outperforming the benchmark by 21.08% [3][7] - The "Enhanced CSI 300 Portfolio" is constructed based on investor preferences and has demonstrated stable excess returns over time, with a current year excess return of 0.84% relative to the CSI 300 index [12][17] 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, aiming for a multiplier effect when growth is realized [3][6] - Historical performance from 2010 to 2017 shows that the strategy consistently generated excess returns exceeding 11% annually [7] - As of January 9, 2026, the strategy has yielded a cumulative absolute return of 3.09%, underperforming the CSI 500 index by 4.83% [7][10] Group 2: Net Profit Discontinuity Strategy - The Net Profit Discontinuity Strategy focuses on stocks that show significant upward price gaps on the first trading day after earnings announcements, indicating market approval of earnings surprises [9][10] - The strategy has achieved an annualized return of 29.60% since 2010, with a current year absolute return of 4.51% [10][11] - The strategy's performance includes a notable 67.17% return in 2025, showcasing its effectiveness in capturing post-earnings announcement momentum [10][11] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 Portfolio is built on factors reflecting investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [12][17] - The portfolio aims to identify undervalued stocks with strong profitability and stable growth potential, utilizing PB/ROE and PE growth metrics [12][17] - The current year performance indicates an excess return of 0.84% relative to the CSI 300 index, demonstrating the strategy's effectiveness in a fluctuating market [17]

Core Insights - The report highlights the "Davis Double Click Strategy," which involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, and selling them once their growth is realized, leading to a multiplier effect on returns [3] - The "Net Profit Discontinuity Strategy" has achieved an annualized return of 29.42% since 2010, with a year-to-date absolute return of 67.17% and an excess return of 36.79% over the benchmark index [9][10] - The "Enhanced CSI 300 Portfolio" is constructed based on investor preference factors, showing a stable historical excess return of 20.92% relative to the CSI 300 index this year [12][16] Group 1: Davis Double Click Strategy - The strategy has generated a back-tested annualized return of 26.45% from 2010 to 2017, outperforming the benchmark by 21.08% [3][7] - In 2025, the strategy's cumulative absolute return is reported at 55.89%, exceeding the CSI 500 index by 25.50% [7][10] - The strategy's performance is characterized by stability, with excess returns exceeding 11% in each of the seven complete years during the back-test period [3][7] Group 2: Net Profit Discontinuity Strategy - This strategy focuses on stocks that show a significant upward price gap on the first trading day after earnings announcements, indicating market approval of the earnings report [9][10] - The strategy has achieved a cumulative absolute return of 67.17% in the current year, with an excess return of 36.79% over the benchmark index [10][11] - Historical performance shows that the strategy has an annualized return of 29.42% and a stable excess return of 26.22% over the benchmark since its inception [9][10] Group 3: Enhanced CSI 300 Portfolio - The portfolio is designed based on investor preferences, including GARP, growth, and value investors, aiming to identify undervalued stocks with strong profitability [12][16] - The portfolio has shown a relative excess return of 20.92% against the CSI 300 index this year, with a monthly excess return of 2.58% [12][16] - The strategy's performance is supported by a historical back-test that indicates stable excess returns [12][16]

- Model Name: Timing System Model; Model Construction Idea: The model uses the distance between the long-term moving average (120 days) and the short-term moving average (20 days) to distinguish the overall market environment[2][6][11] - Model Construction Process: The model calculates the distance between the 20-day moving average and the 120-day moving average. The latest data shows the 20-day moving average at 6298 points and the 120-day moving average at 6090 points. The difference between the two lines is 3.41%, and the absolute value of the distance continues to be greater than 3%, indicating that the market is in an upward trend[2][6][11] - Model Evaluation: The model effectively identifies the market's upward trend, providing a positive signal for market timing[2][6][11] - Model Name: Industry Trend Allocation Model; Model Construction Idea: The model identifies industry trends and allocates based on medium-term reversal expectations and sector performance[2][5][7] - Model Construction Process: The model signals to focus on service consumption sectors such as tourism and media based on medium-term reversal expectations. The TWO BETA model continues to recommend the technology sector, focusing on AI applications and commercial aerospace. The industry trend model shows that the communication, industrial metals, and energy storage sectors continue their upward trend[2][5][7] - Model Evaluation: The model provides clear guidance on sector allocation, helping investors to focus on promising sectors[2][5][7] - Model Name: Position Management Model; Model Construction Idea: The model suggests stock allocation based on valuation indicators and short-term trends[5][7] - Model Construction Process: The model uses the PE and PB ratios of the WIND All A Index. The PE ratio is near the 90th percentile, indicating a relatively high valuation, while the PB ratio is at the 50th percentile, indicating a moderate level. Based on these indicators and short-term trends, the model suggests an 80% stock allocation for absolute return products[5][7] - Model Evaluation: The model provides a balanced approach to stock allocation, considering both valuation and market trends[5][7] Model Backtest Results - Timing System Model, Moving Average Distance: 3.41%[2][6][11] - Timing System Model, Market Trend Line: 6262 points[2][6][11] - Timing System Model, Profit Effect: 2.71%[2][6][11] - Position Management Model, PE Ratio: 90th percentile[5][7] - Position Management Model, PB Ratio: 50th percentile[5][7] - Position Management Model, Stock Allocation: 80%[5][7]