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, thus achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy 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 delivered an absolute return of 41.19%, outperforming the CSI 500 index by 26.47% [10] 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][15] - Since 2010, this strategy has achieved an annualized return of 30.29%, with an annualized excess return over the benchmark of 27.75% [15] - Year-to-date, the strategy has recorded an absolute return of 42.83%, exceeding the benchmark index by 28.11% [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 [16][18] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 19.88% relative to the CSI 300 index [18] - The strategy has delivered a monthly excess return of 2.62% [18]

金融工程 | 金工定期报告 金融工程 证券研究报告 沪深 300 增强组合本周超额基准 1.77% 戴维斯双击策略 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%。 净利润断层策略 净利润断层策略是基本面与技术面共振双击下的选股模式，其核心有两点： "净利润"，指通常意义上的业绩超预期；"断层"，指盈余公告后的首个交 易日股价出现向上跳空，该跳空通常代表市场对盈余报告的认可程度。 策略在 2010 年至今取得了年化 29.96%的收益，年化超额基准 27.68%。本 年组合累计绝对收益 37.50%，超额基准指数 27.06%，本周超额收益-0.26%。 沪深 300 增强组合 根据对优秀基金的归因，投资者的偏好可以分为：GARP 型，成长型以及 价值型。GARP 型投资者希望以相对低的价格买入盈利能力强、成长潜力 稳定的公司。以 PB 与 ROE 的分位数之差构建 PBROE 因子，寻找估值低并 且盈利能力强的股票；以 ...

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, thus achieving a "double-click" effect on earnings per share (EPS) and PE [1][7][10] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [9] - Year-to-date, the strategy has generated a cumulative absolute return of 26.78%, exceeding the CSI 500 index by 16.76% [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 [12] - Since 2010, this strategy has achieved an annualized return of 29.85%, with an annualized excess return of 27.60% over the benchmark [13] - The cumulative absolute return for the current year is 35.72%, outperforming the benchmark index by 25.70% [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 factors like PBROE and PEG to identify undervalued stocks with strong profitability and growth potential [15][17] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 16.82% relative to the CSI 300 index [17][19] - The portfolio's performance this week yielded an excess return of 0.31% [17]

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 [1][7] - 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 years [9][10] - Year-to-date, the strategy has achieved a cumulative absolute return of 23.31%, outperforming the CSI 500 index by 16.78%, and has exceeded the benchmark by 3.65% since the last portfolio adjustment on May 6, 2025 [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 after earnings announcements [11][15] - Since 2010, this strategy has yielded an annualized return of 29.49%, with an annualized excess return of 27.47%, and a cumulative absolute return of 33.56% this year, outperforming the benchmark by 27.03% [2][15] - The strategy's performance this week showed a slight underperformance with an excess return of -0.65% [2][15] 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, focusing on stocks with low valuations and strong profitability [3][17] - Historical backtesting indicates stable excess returns, with the current year's portfolio outperforming the CSI 300 index by 16.17%, and showing a weekly excess return of 0.65% [3][17] - The portfolio's performance since July 18, 2025, has yielded an absolute return of 19.32%, with an excess return of 16.17% over the benchmark [3][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, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [7][8] - Historical backtesting from 2010 to 2017 showed an annualized return of 26.45%, exceeding the benchmark by 21.08%, with stable excess returns over the years [8][10] - Year-to-date, the strategy has achieved an absolute return of 16.79%, outperforming the CSI 500 index by 13.55% [8][10] 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 [11][12] - Since 2010, this strategy has yielded an annualized return of 29.25%, with an annualized excess return of 27.44% [12][14] - The current year's cumulative absolute return is 28.58%, outperforming the benchmark index by 25.33% [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, aiming to identify undervalued stocks with strong profitability [16][18] - Historical backtesting indicates stable excess returns, with the current year's portfolio achieving a relative excess return of 14.50% against the CSI 300 index [18] - Year-to-date, the portfolio has generated an excess return of 0.97% this week [18]

金融工程 | 金工定期报告 金融工程 证券研究报告 基于投资者偏好因子构建增强沪深 300 组合，历史回测超额收益稳定。本 年组合相对沪深 300 指数超额收益为 13.23%；本周超额收益为-0.10%；本 月超额收益为 2.40%。 净利润断层本周超额基准 3.24% 戴维斯双击策略 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%。 今年以来，策略累计绝对收益 16.55%，超额中证 500 指数 14.14%，本周策 略超额中证 500 指数-0.15%。本期组合于 2025-05-06 日开盘调仓，截至 2025-06-27 日，本期组合超额基准指数 1.75%。 净利润断层策略 净利润断层策略是基本面与技术面共振双击下的选股模式，其核心有两点： "净利润"，指通常意义上的业绩超预期；"断层"，指盈余公告后的首个交 易日股价出现向上跳空，该跳空通常代表市场对盈余报告的认可程度。 策略在 2010 年至今取得了年化 ...

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]

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]

物感见 S090061505 "符手"股票进出 关税事件的冲击最高峰已经过去,近期A股市场在波 折中继续修复。在存量资金博弈的格局中,如何把握 好风格和热点轮动的节奏?对于想要入门的新手和想 要提升专业选股能力的客户该如何快速进阶?如何选 择适合自己的投资风格和投资理念?面对这些问题, 本期投顾访谈栏目特地邀请了"猎手"股票池投顾服务 产品及提升课投顾服务产品主创,来自浙江分公司金 华八一北街营业部投资顾问杨燕如老师,与我们一道 解码市场,以下是本次访谈的精华要点。 主创简介 证券投资顾问执业编号: S0900615050113 现任浙江分公司金华八一北街营业部证券 投资顾问,证券从业17年。 获2022年新浪财经-金麒麟最佳投资收益奖,获 2023年新财富最佳公募基金配置奖。 曾任今日头条专栏老师,叶檀财经节目嘉宾。 投资理念 Q: 您觉得何种风格的投资者会比较契合您的投资理念? A: 我认为在股市中,有明确投资目标的投资者,契合我的 投资理念。作为投资者在这个市场上想赚钱,需要先明 确自己的目标,或是叫初心吧。如果目标是长期增值, 可以选择成长型投资,关注具有高增长潜力的公司。如 果目标是保值增值,那么可 ...

金融工程 | 金工定期报告 金融工程 证券研究报告 净利润断层本周超额基准 2.68% 戴维斯双击策略 今年以来，策略累计绝对收益 15.08%，超额中证 500 指数 15.25%，本周策 略超额中证 500 指数 2.36%。本期组合于 2025-05-06 日开盘调仓，截至 2025-05-16 日，本期组合超额基准指数 3.02%。 净利润断层策略 净利润断层策略是基本面与技术面共振双击下的选股模式，其核心有两点： "净利润"，指通常意义上的业绩超预期；"断层"，指盈余公告后的首个交 易日股价出现向上跳空，该跳空通常代表市场对盈余报告的认可程度。 策略在 2010 年至今取得了年化 28.78%的收益，年化超额基准 27.18%。本 年组合累计绝对收益 17.67%，超额基准指 17.85%，本周超额收益 2.68%。 沪深 300 增强组合 根据对优秀基金的归因，投资者的偏好可以分为：GARP 型，成长型以及 价值型。GARP 型投资者希望以相对低的价格买入盈利能力强、成长潜力 稳定的公司。以 PB 与 ROE 的分位数之差构建 PBROE 因子，寻找估值低并 且盈利能力强的股票；以 PE 与增速的 ...