业绩高增速组合构建全攻略 证券分析师:杨俊文 A0230522070001 邓虎 A0230520070003 杨俊文 A0230522070001 研究支持: 2025.12.05 资料来源: Wind, 申万宏源研究 主要内容 ● 证 券 研 究 报 告 ● 1. 业绩高增速组合的构建 2. 业绩高增速组合是否实现了业绩的高增? 3. 哪些因子对股票当年利润增速有预测效果? 4. 因子递进选股与并列选股的差异 5. 附录:分析师因子的改进 1. 业绩高增速组合的构建 预期当年利润高增股票池的筛选:在中证全指样本空间内,站在每年的4、8、10月底,筛选出总市值和过去一年日均成 ■ 交金额排名前 80%的样本，然后剔除去年归母净利润为负的样本，根据分析师一致预期业绩增速筛选出前50%的样本。 图 1:预期当年利润高增股票池的筛选 调仓时点为 10 剔除 FYO 为负的, 月底,剔除前三 有分析师覆盖 筛 选 (FY1/FY0-1) 前 李度累计利润 的样本 50%样本 同比增速为负 的样本 www.swsresearch.com 证券研究报告 1. 业绩高增速组合的构建 预期当年利润高增股票池的筛选:在 20 ...

证 券 研 究 报 告 业绩高增速组合构建全攻略 证券分析师：杨俊文 A0230522070001 邓虎 A0230520070003 研究支持： 杨俊文 A0230522070001 2025.12.05 主要内容 2 1. 业绩高增速组合的构建 2. 业绩高增速组合是否实现了业绩的高增？ 3. 哪些因子对股票当年利润增速有预测效果？ 4. 因子递进选股与并列选股的差异 5. 附录：分析师因子的改进 1. 业绩高增速组合的构建 ◼ 预期当年利润高增股票池的筛选：在中证全指样本空间内，站在每年的4、8、10月底，筛选出总市值和过去一年日均成 交金额排名前 80%的样本，然后剔除去年归母净利润为负的样本，根据分析师一致预期业绩增速筛选出前50%的样本。 www.swsresearch.com 证券研究报告 3 1. 业绩高增速组合的构建 ◼ 预期当年利润高增股票池的筛选：在 2011/8/31~2025/10/31回测期间，预期当年利润高增股票池内的股票数量平均 为571只。 www.swsresearch.com 证券研究报告 4 1. 业绩高增速组合的构建 ◼ 预期当年利润高增股票池的筛选：我们将股票池内的 ...

Group 1: Report's Core View - The report focuses on constructing high-growth and stable portfolios based on predicted performance. It analyzes the performance of stock portfolios with known annual profit growth rates, screens high-growth stock pools by domain, and constructs portfolios using specific factors [1][4][16] Group 2: Future Perspective - Performance of Stock Portfolios with Known Annual Profit Growth Rates - In the CSI All-Share sample space, from 2011/12/30 to 2025/4/30, stocks were screened at the end of April, August, and October each year. After certain filtering steps, stocks were grouped into deciles by annual profit growth rate, and equal-weighted portfolios were constructed. The table shows the annual and annualized returns, volatility, and Sharpe ratios of the top four groups [6][10] Group 3: Domain-based Screening of High-Expected Profit Growth Stock Pools - In the CSI All-Share sample space, at the end of April, August, and October each year, samples were screened by market capitalization and trading volume and divided into two sub-samples based on analyst coverage. Two high-expected profit growth stock pools (Domain 1 and Domain 2) were obtained. During the backtesting period from 2011/12/30 to 2025/7/31, the long-term annualized returns of the equal-weighted portfolios of the two domains were similar, but Domain 2 was more affected by small and micro-cap stocks [18][20][23] Group 4: Domain-based Construction of High-Growth and Stable Portfolios High-Growth Portfolio Construction - In Domain 1, the top 50% of samples in terms of consensus expected performance growth were selected. High-growth portfolios were constructed by selecting stocks based on the consensus expected performance change factor. During the backtesting period from 2011/12/30 to 2025/7/31, the portfolio was updated at the end of April, August, and October each year. As the number of holdings increased, the annualized return decreased slightly, and the median market capitalization and turnover rate varied little [42][44][47] Stable Portfolio Construction - In Domain 2, the top 50% of samples in terms of performance acceleration were selected. Stable portfolios were constructed by selecting stocks based on the volatility factor. During the backtesting period from 2011/12/30 to 2025/7/31, the portfolio was updated at the end of April, August, and October each year. As the number of holdings increased, the annualized return decreased slightly, and the median market capitalization and turnover rate varied little [42][60][61] Group 5: Appendix - Improvement of Analyst Factors - A new method is proposed to calculate analyst factors based on the adjustment of earnings forecasts after performance disclosure. Two sub-factors (consensus expected net profit change and analyst earnings upgrade ratio) were reconstructed, and the stock selection effects of the improved factors were tested against the initial factors [68][71][82]

证 券 研 究 报 告 基准约束下，构建新红利增长组合 证券分析师：杨俊文 A0230522070001 邓虎 A0230520070003 研究支持： 杨俊文 A0230522070001 2025.06.24 一、基准约束下调整红利增长组合 www.swsresearch.com 证券研究报告 2 ◼ 5月7日，中国证监会发布《推动公募基金高质量发展行动方案》（以下简称"《行动方案》"），其中明确提出强化业 绩比较基准的约束作用，基金公司评价体系、公司高管的考核以及基金经理的考核都将与业绩比较基准密切相关。以基 金经理为例："对三年以上产品业绩低于业绩比较基准超过10个百分点的基金经理，要求其绩效薪酬应当明显下降；对 三年以上产品业绩显著超过业绩比较基准的基金经理，可以合理适度提高其绩效薪酬"。 ◼ 2016~2024年期间，原红利增长组合相对中证红利指数的年化跟踪误差为9.08%，新红利增长组合相对中证红利指数的 年化跟踪误差为5.82%。 www.swsresearch.com 证券研究报告 3 二、新红利增长组合的构建 ◼ 顺着预测分红增长的逻辑，从两个维度来展开： ◼ 维度一：过去三年分红比例稳定 ...