净利润断层策略 2025 年绝对收益 67.17% 证券研究报告/金融工程定期报告 2026 年 01 月 04 日 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、《量化择时周报：市场于周二再 度 重 回 上 行 趋 势 ， 保 持 积 极 》 2025-12-28 2、《净利润断层策略本年绝对收益 69.56%》2025-12-28 3、《量化择时周报：市场格局仍在 反复，谨慎应对》2025-12-21 分析师：吴先兴 报告摘要 戴维斯双击策略 相关报告 净利润断层策略 沪深 300 增强组合 风险提示：模型基于历史数据，存在失效的风险；市场风格变化风险。 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 ...

Core Insights - The report highlights the "Net Profit Discontinuity Strategy" which has achieved an absolute return of 69.56% this year, significantly outperforming the benchmark index by 39.29% [10][11]. Group 1: Net Profit Discontinuity Strategy - The strategy focuses on selecting stocks based on two main criteria: "Net Profit," which refers to earnings surprises, and "Discontinuity," indicating a significant upward price gap on the first trading day following earnings announcements, reflecting market recognition of the earnings report [10][11]. - Historical performance shows that from 2010 to the present, the strategy has achieved an annualized return of 29.54%, with an annualized excess return over the benchmark of 26.34% [11]. - The strategy's performance this year includes a cumulative absolute return of 69.56%, with a weekly excess return of -1.49% [11]. Group 2: Davis Double-Click Strategy - The "Davis Double-Click Strategy" involves buying stocks with lower price-to-earnings (PE) ratios that have growth potential, aiming to sell once growth is realized and PE increases, thus achieving a multiplier effect on returns [4][7]. - The strategy has recorded a historical annualized return of 26.45% from 2010 to 2017, with excess returns exceeding 11% in each of the seven complete years during that period [8][11]. - As of December 26, 2025, the strategy has achieved a cumulative absolute return of 56.55%, outperforming the benchmark index by 26.28% [11]. Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 Portfolio is constructed based on investor preferences categorized into GARP (Growth at a Reasonable Price), growth, and value types, focusing on stocks with strong profitability and stable growth potential [13][18]. - The portfolio has shown stable historical excess returns, with a year-to-date excess return of 20.52% relative to the CSI 300 index [18]. - The strategy's performance includes a cumulative absolute return of 38.87% as of December 26, 2025, with an excess return of 20.52% over the benchmark [15].

- The report discusses the "Industry Trend Allocation Model" which indicates that the communication, industrial metals, and energy storage sectors continue to show an upward trend[2][5][7] - The "Two Beta Model" is recommended for the technology sector, focusing on domestic computing power and commercial space[2][5][7] - The "Mid-term Distress Reversal Expectation Model" signals attention to retail and tourism service consumption[2][5][7] Model Construction and Evaluation - **Industry Trend Allocation Model**: This model identifies sectors with upward trends based on historical data and current market conditions. It uses various indicators to determine the sectors that are likely to perform well in the near future[2][5][7] - **Two Beta Model**: This model focuses on sectors with high growth potential, particularly in technology. It evaluates the beta coefficients of different sectors to identify those with higher expected returns relative to the market[2][5][7] - **Mid-term Distress Reversal Expectation Model**: This model identifies sectors that are expected to recover from a period of underperformance. It uses historical performance data and current market signals to predict which sectors will experience a turnaround[2][5][7] Model Backtesting Results - **Industry Trend Allocation Model**: The model continues to show an upward trend in the communication, industrial metals, and energy storage sectors[2][5][7] - **Two Beta Model**: The model recommends the technology sector, focusing on domestic computing power and commercial space, indicating strong growth potential[2][5][7] - **Mid-term Distress Reversal Expectation Model**: The model signals attention to retail and tourism service consumption, suggesting these sectors are poised for recovery[2][5][7]

Group 1: Core Insights - The report highlights the "Davis Double Hit Strategy," which involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, and selling them once their growth is realized, achieving a multiplier effect on returns [4][7] - The "Net Profit Discontinuity Strategy" focuses on selecting stocks that show significant upward price gaps on the first trading day after earnings announcements, indicating market recognition of earnings surprises [10][11] - The "Enhanced CSI 300 Portfolio" is constructed based on investor preferences, targeting stocks with low valuations and strong profitability, aiming for stable excess returns over time [13][18] Group 2: Performance Metrics - The Davis Double Hit Strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, with excess returns exceeding 11% in each of the seven years [4][8] - The Net Profit Discontinuity Strategy has recorded a cumulative absolute return of 65.34% this year, outperforming the benchmark by 40.13% [11][12] - The Enhanced CSI 300 Portfolio has shown a relative excess return of 19.48% this year, with a weekly excess return of 1.60% [18]

Core Insights - The report presents three main investment strategies: Davis Double-Click Strategy, Net Profit Gap Strategy, and Enhanced CSI 300 Strategy, each with distinct methodologies and performance metrics [2][8][11]. 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 [2][5]. - Historical backtesting from 2010 to 2017 showed an annualized return of 26.45%, outperforming the benchmark by 21.08%, with consistent excess returns exceeding 11% in each of the seven years [6][7]. - As of December 12, 2025, the strategy has achieved a cumulative absolute return of 51.82%, exceeding the CSI 500 Index by 26.60% [6][7]. Net Profit Gap Strategy - The Net Profit Gap Strategy combines fundamental and technical analysis, focusing on stocks that show earnings surprises and experience significant upward price gaps on the first trading day after earnings announcements [8][9]. - Since 2010, this strategy has yielded an annualized return of 29.14%, with a cumulative absolute return of 61.56% in the current year, outperforming the benchmark by 36.34% [9][10]. - The strategy selects stocks based on their earnings announcements and ranks them by the magnitude of price gaps, constructing a portfolio from the top 50 stocks [8][9]. Enhanced CSI 300 Strategy - The Enhanced CSI 300 Strategy is built on investor preference factors, categorizing investors into GARP, growth, and value types, and aims to identify undervalued stocks with strong profitability [11][14]. - Historical performance indicates a stable excess return, with the current year's portfolio exceeding the CSI 300 Index by 17.39% [14]. - The strategy utilizes PB/ROE and PE growth metrics to identify stocks with reliable growth potential and low valuations [11][14].

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 multiplier effect on 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, outperforming the benchmark by 21.08% [10] - Year-to-date, the strategy has delivered a cumulative absolute return of 55.24%, exceeding the CSI 500 index by 28.47% [11] 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 29.60%, with an annualized excess return of 26.53% over the benchmark [14] - The cumulative absolute return for the current year is 60.18%, with an excess return of 33.40% over the benchmark index [14] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preference factors, including GARP (Growth at a Reasonable Price), growth, and value investing styles [15] - The strategy seeks undervalued stocks with strong profitability and stable growth potential, utilizing PBROE and PEG factors for stock selection [15] - Year-to-date, the portfolio has outperformed the CSI 300 index by 16.27% [17]

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 multiplier effect on 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, outperforming the benchmark by 21.08% [9] - Year-to-date, the strategy has generated an absolute return of 50.54%, exceeding the CSI 500 index by 28.00%, with a weekly excess return of 0.24% [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 [2][12] - Since 2010, this strategy has achieved an annualized return of 29.18%, with an annualized excess return of 26.33% over the benchmark [13] - This year, the strategy has recorded an absolute return of 52.17%, outperforming the benchmark by 29.63%, with a weekly excess return of 0.54% [2][13] 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, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [3][15] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 16.56% relative to the CSI 300 index, a weekly excess return of -0.41%, and a monthly excess return of 0.94% [17]

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][8] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [1][9] - Year-to-date, the strategy has delivered an absolute return of 54.23%, exceeding the CSI 500 index by 27.77%, with a weekly excess return of 0.52% [1][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 [2][12] - Since 2010, this strategy has achieved an annualized return of 29.39%, outperforming the benchmark by 26.34% [2][13] - The current year's absolute return for the strategy is 56.13%, with an excess return over the benchmark of 29.67%, although it recorded a weekly excess return of -0.30% [2][13] 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 PEG factors to identify undervalued stocks with strong profitability and growth potential [3][15] - The strategy has shown stable excess returns in historical backtesting, with a year-to-date excess return of 17.56% over the CSI 300 index, a weekly excess return of -0.60%, and a monthly excess return of 1.01% [3][17]

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, achieving a "double-click" effect on earnings per share (EPS) and PE [1][7] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [8] - Year-to-date, the strategy has generated an absolute return of 51.95%, exceeding the CSI 500 index by 26.72%, with a weekly excess return of 1.87% [9] 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 [2][11] - Since 2010, this strategy has achieved an annualized return of 29.51%, with an annualized excess return of 26.51% [12] - This year, the strategy has recorded an absolute return of 55.07%, outperforming the benchmark index by 29.84%, with a weekly excess return of 0.71% [12] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences categorized as GARP, growth, and value, focusing on finding undervalued stocks with strong profitability and stable growth potential [3][14] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 18.16% relative to the CSI 300 index, and a weekly excess return of 1.47% [16] - The strategy's performance indicates a robust approach to capturing market opportunities based on investor preferences [16]

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, and selling them once their growth is realized and PE increases, achieving a multiplier effect on returns [6][9] - The strategy achieved an annualized return of 26.45% during the backtest period from 2010 to 2017, exceeding the benchmark by 21.08% [8] - Year-to-date, the strategy has a cumulative absolute return of 48.70%, outperforming the CSI 500 index by 24.84% [9] 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 [10] - Since 2010, this strategy has achieved an annualized return of 29.43%, with an annualized excess return of 26.44% [12] - Year-to-date, the strategy has a cumulative absolute return of 53.50%, outperforming the benchmark index by 28.67% [12] Group 3: Enhanced CSI 300 Portfolio - The Enhanced CSI 300 portfolio is constructed based on investor preferences, including GARP, growth, and value investing styles, utilizing PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential [13] - The portfolio has shown stable excess returns historically, with a year-to-date excess return of 16.31% relative to the CSI 300 index [15] - The strategy's performance this week yielded an excess return of 0.88% [15]