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]

金融工程 | 金工定期报告 金融工程 证券研究报告 2025 年 09 月 14 日 作者 吴先兴 分析师 SAC 执业证书编号：S1110516120001 wuxianxing@tfzq.com 相关报告 1 《金融工程：金融工程-量化择时周 报：风控指标位于临界位置，如何应 对？》 2025-09-07 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 29.43%的收益，年化超额基准 26.44%。本 年组合累计绝对收益 53.50%，超额基准指数 28.67%，本周超额收益 1.34%。 沪深 300 增强组合 2 《金融工程：金融工程-戴维斯双击 策略本周超额收益 3.24%》 2025-09-07 3 《金融工程：金融工程-戴维斯双击 策略本月绝对收益 13.92% 》 2025-08-31 净利润断层策略本周超额收益 1.34% 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 ...

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% [10] - Year-to-date, the strategy has delivered an absolute return of 48.29%, exceeding the CSI 500 index by 27.53%, with a weekly excess return of 3.24% [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][11] - Since 2010, this strategy has achieved an annualized return of 29.05%, with an annualized excess return of 26.28% over the benchmark [2][12] - Year-to-date, the strategy has recorded an absolute return of 46.58%, outperforming the benchmark index by 25.83% [2][12] 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][14] - The strategy has shown stable excess returns in historical backtesting, with a year-to-date excess return of 14.48% relative to the CSI 300 index [3][17] - The portfolio has experienced a weekly excess return of -1.11% and a monthly excess return of -1.11% [3][17]

金融工程 | 金工定期报告 金融工程 证券研究报告 净利润断层策略本周绝对收益 3.69% 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 44.43%，超额中证 500 指数 25.27%，本周策 略超额中证 500 指数-1.58%。本期组合于 2025-05-06 日开盘调仓，截至 2025-08-22 日，本期组合超额基准指数 9.91%。 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 29.13%的收益，年化超额基准 26.45%。本 年组合累计绝对收益 48.09%，超额基准指数 28.93%，本周绝对收益 3.69%， 超额收益-0.18%。 沪深 300 ...

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]

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 [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 an absolute return of 33.83%, exceeding the CSI 500 index by 23.39% [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][15]. - Since 2010, this strategy has achieved an annualized return of 29.96%, with an annualized excess return over the benchmark of 27.68% [15]. - Year-to-date, the strategy has delivered an absolute return of 37.50%, outperforming the benchmark index by 27.06% [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]. - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 19.41% relative to the CSI 300 index [16]. - The portfolio's performance this week yielded an excess return of 1.77% [16].

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]

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 1.35% 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 20.07%，超额中证 500 指数 14.81%，本周策 略超额中证 500 指数 0.84%。本期组合于 2025-05-06 日开盘调仓，截至 2025-07-11 日，本期组合超额基准指数 2.03%。 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 29.48%的收益，年化超额基准 27.54%。本 年组合累计绝对收益 32.83%，超额基准指数 27.56%，本周超额收益 1.35%。 沪深 300 增强组合 根据对优秀基金的归 ...