- The report identifies three types of fundamental stock selection strategies: PB-ROE, GARP, and PEAD, which are constructed using valuation, growth, quality, and surprise factors[2][23][86] - PB-ROE strategy combines valuation (BP) and quality (ROE) factors, aiming to select high ROE and low PB stocks. Stocks are ranked by BP and ROE, with the top 20% forming the intersection portfolio. Transaction costs are set at 0.1% for buying and 0.3% for selling, and trades are executed at the next day's opening price[24][23][49] - GARP strategy integrates valuation (EP) and growth (net profit growth rate) factors, targeting stocks with reasonable prices and growth potential. Stocks are ranked by EP and quarterly net profit growth rate, with the top 20% forming the intersection portfolio. Similar transaction costs and execution rules apply[53][23][54] - PEAD strategy focuses on surprise factors, using SUE (net profit deviation from historical average) and JOR (price movement around earnings announcement) to capture post-earnings announcement drift. Stocks are ranked by SUE and JOR, with the top 10% forming the intersection portfolio. Transaction costs and execution rules are consistent with other strategies[86][23][84] - PB-ROE strategy's annualized return is 15.71%, with a Sharpe ratio of 0.73 and maximum drawdown of 37.63%. Market reaction delay contributes 2.3% of excess return over 12 trading days, while insufficient reaction adds 0.4% over 20 trading days[49][116][51] - GARP strategy achieves an annualized return of 21.22%, with a Sharpe ratio of 0.83 and maximum drawdown of 42.85%. Market reaction delay contributes 3% of excess return over 12 trading days, while insufficient reaction is negligible at -0.01%[54][116][70] - PEAD strategy delivers an annualized return of 25.00%, with a Sharpe ratio of 0.91 and maximum drawdown of 45.69%. Market reaction delay contributes 9% of excess return over 8 trading days, while insufficient reaction adds 1% over 20 trading days[87][116][103] - When delaying portfolio rebalancing by one month, PB-ROE strategy's annualized return drops to 11.97%, GARP strategy to 12.85%, and PEAD strategy to 15.87%. The reduction in annualized return is 3.66%, 8.37%, and 9.13%, respectively[49][77][103] - The average portfolio capacity is 1.28 billion for PB-ROE, 1.89 billion for GARP, and 1.01 billion for PEAD. The average number of holdings is 77, 173, and 70, respectively[41][69][100]