Market Overview - The market continues to operate in an upward trend, with the core observation variable being whether the market's profit-making effect can be sustained. As long as the profit-making effect remains positive, mid-term incremental capital is expected to continue entering the market [1][2][7] - The current WIND All A trend line is around 5625 points, with a profit-making effect value of 3.73%, which is significantly positive. It is recommended to hold positions patiently and maintain a high allocation until the profit-making effect turns negative [1][2][7] Industry Allocation - From a mid-term perspective, the industry allocation continues to recommend sectors that are experiencing a turnaround, specifically Hong Kong stocks in innovative pharmaceuticals and securities. The upward trend is still ongoing. Additionally, sectors benefiting from policy support, such as photovoltaics, coal, and non-ferrous metals, are expected to maintain an upward trajectory [3][7] - The TWO BETA model continues to recommend the technology sector, with a focus on military and computing power [2][3][7] Performance Metrics - The Davis Double Strategy has achieved a cumulative absolute return of 41.19% this year, exceeding the benchmark by 26.47%. This week, the strategy outperformed the benchmark by 1.62% [8][22] - The net profit gap strategy has achieved a cumulative absolute return of 42.83% this year, with a benchmark excess return of 28.11% [12][16] - The enhanced CSI 300 strategy has achieved an excess return of 19.88% relative to the CSI 300 index this year, with a weekly excess return of 0.01% [17][20]

来源：量化先行者 1.市场继续运行在上行趋势格局，核心观察变量在于市场赚钱效应能否持续，只要赚钱效应为正，增量资金有望持续入场。当前WIND全A趋势线位于 5540点附近，赚钱效应值为2.30%，显著为正，在赚钱效应转负之前，建议耐心持有，保持高仓位； 2.戴维斯双击本周超额基准1.32%，本年累计绝对收益33.83%；沪深300增强本周超额基准1.77%，本年累计超额收益19.41%；净利润断层本周超额基 准-0.26%，本年累计绝对收益37.50%。 上行趋势不改，行业如何轮动？ 市场整体（wind全A指数）：上行趋势 仓位建议：80% 市场大势：择时体系信号显示，均线距离6.92%，距离绝对值显著大于3%，市场继续运行在上行趋势格局。市场进入上行趋势，核心观察变量在于市场赚 钱效应能否持续，只要赚钱效应为正，中期增量资金有望持续入场。短期而言，中美关税是否最终继续延期有望在下周落地，若如期延续，市场风险偏好 有望上行；当前WIND全A趋势线位于5540点附近，赚钱效应值为2.30%，显著为正，在赚钱效应转负之前，建议耐心持有，保持高仓位。 行业配置：中期角度行业配置继续推荐困境反转型板块，推荐港股创新药 ...

金融工程 | 金工定期报告 金融工程 证券研究报告 戴维斯双击本周超额基准 3.76% 戴维斯双击策略 今年以来，策略累计绝对收益 29.82%，超额中证 500 指数 21.30%，本周策 略超额中证 500 指数 3.76%。本期组合于 2025-05-06 日开盘调仓，截至 2025-08-01 日，本期组合超额基准指数 7.50%。 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 29.83%的收益，年化超额基准 27.67%。本 年组合累计绝对收益 35.44%，超额基准指数 26.93%，本周超额收益 0.43%。 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 ...