戴维斯双击策略本周超额收益 2.39% Email：wuxx02@zts.com.cn 执业证书编号：S0740525060001 Email：wangpf@zts.com.cn 1、《量化择时周报：牛市格局仍在 延 续 ， 主 题 投 资 重 回 主 线 》 2026-01-25 2、《沪深 300 增强策略本周超额收 益 3.90%》2026-01-25 3、《净利润断层策略本周绝对收益 1.99%》2026-01-18 证券研究报告/金融工程定期报告 2026 年 02 月 01 日 执业证书编号：S0740525110003 分析师：吴先兴 报告摘要 相关报告 净利润断层策略 沪深 300 增强组合 请务必阅读正文之后的重要声明部分 戴维斯双击策略 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 回测期内实现了 26.45%的年化收益，超额基准 21.08%，且在回 测 ...

Group 1: Core Insights - The report highlights the performance of the enhanced strategy for the CSI 300 index, which achieved an excess return of 3.90% this week [1][4][18] - The "Davis Double" strategy has shown a historical annualized return of 26.45% during the backtest period from 2010 to 2017, outperforming the benchmark by 21.08% [4][9] - The "Net Profit Discontinuity" strategy focuses on stocks that show significant upward price gaps following earnings announcements, indicating market approval of earnings reports [10][11] Group 2: Davis Double Strategy - The Davis Double strategy involves buying stocks with low price-to-earnings (PE) ratios that have growth potential, aiming to sell once growth is realized and PE increases, thus achieving a "double hit" effect on earnings per share (EPS) and PE [4][7] - The strategy has generated a cumulative absolute return of 8.47% this year, with an excess return of -6.60% compared to the CSI 500 index [4][9][11] - Historical performance shows that in each of the seven complete years during the backtest, the strategy's excess returns exceeded 11%, demonstrating strong stability [4][9] Group 3: Net Profit Discontinuity Strategy - The Net Profit Discontinuity strategy combines fundamental and technical analysis to select stocks that exceed earnings expectations, focusing on those that show significant price jumps on the first trading day after earnings announcements [10][11] - This strategy has achieved an annualized return of 29.98% since 2010, with an annualized excess return of 25.89% [10][11] - The strategy's performance this year includes a cumulative absolute return of 9.53%, with an excess return of -5.54% against the benchmark [10][11] Group 4: Enhanced CSI 300 Strategy - The Enhanced CSI 300 strategy is constructed based on investor preferences, including GARP (Growth at a Reasonable Price), growth, and value investing styles [13][18] - The strategy has shown a relative excess return of 7.08% against the CSI 300 index this year, with a weekly excess return of 3.90% [18] - Historical backtesting indicates stable excess returns for the Enhanced CSI 300 strategy, reinforcing its effectiveness [18]

1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View of the Report - The CSI 300 Index has medium - to long - term allocation value with stable profitability, expected rising performance growth, high dividend yield, and a high stock - bond risk premium. The Changxin Quantitative Value - Driven Fund A has achieved significant and stable excess returns in the past three years by timely adjusting factor exposures and strictly controlling industry weight deviations, and its current fund manager has rich experience in managing quantitative products [1][26][53]. 3. Summary According to the Directory 3.1 CSI 300 Index's Medium - to Long - Term Allocation Value - **Index Composition and Industry Weight Changes**: Composed of 300 representative securities in the Shanghai and Shenzhen markets, with many constituent stocks being leaders in their sectors. From the end of 2016 to April 2025, the weight of the financial sector in the CSI 300 Index decreased from 40.88% to 25.11%, while the weights of emerging industries such as power equipment and new energy, electronics, and medicine increased [6][9]. - **Stable Profitability and Expected Performance Growth Recovery**: From 2017 - 2024, the average ROE of the CSI 300 Index remained between 10% - 12%. The growth rate of net profit attributable to the parent bottomed out in 2023, started to recover in 2024, and is expected to reach 8.98% in 2025 and 8.66% in 2026 [13][15]. - **High Dividend Yield**: Since 2017, the average dividend yield of the CSI 300 Index has been above 2%, and since Q4 2023, it has been around 3%, significantly higher than other broad - based indices. As of April 30, 2025, its PE_TTM was 12.2 times, at the 44.43% quantile since 2017, indicating a relatively low valuation [18][22]. - **High Stock - Bond Risk Premium**: As of April 30, 2025, the stock - bond risk premium of the CSI 300 Index was at the position of the historical mean plus one standard deviation, suggesting good investment value compared to bonds [23]. 3.2 Analysis of Changxin Quantitative Value - Driven Fund A - **Significant and Stable Excess Returns in the Past Three Years**: From January 1, 2022, to April 30, 2025, the annualized excess return relative to the benchmark was 6.60%, the excess information ratio was 1.61, and the maximum excess drawdown was - 4.43%. In 2022 - 2024, it achieved positive excess returns of 7.52%, 7.81%, and 2.20% respectively. Compared with similar funds, it obtained high excess returns while maintaining stability. The fund's share increased from 0.06 billion at the end of 2021 to 8.30 billion at the end of Q1 2025 [33][38][40]. - **Performance Attribution**: In terms of factor deviation, the fund had a continuous positive excess exposure to the growth factor, which decreased significantly since the semi - annual report of 2023; it increased exposure to the dividend yield factor from 2022 - 2023 and slightly exposed to small - cap stocks from 2022 - 2024, all of which brought positive returns. In terms of industry weight deviation, it strictly controlled the absolute weight deviation from the CSI 300 Index in the CITIC first - level industries, with most deviations not exceeding 2% in the past six full - disclosure periods of fund positions [47][50]. - **Profile of the Current Fund Manager**: The current fund manager, Yao Yifan, graduated from the University of Warwick with a master's degree in financial mathematics. He joined Changxin Fund in July 2015 and has rich experience in managing quantitative products, currently managing multiple funds including the Changxin Quantitative Value - Driven Fund [53].