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]

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 1. Model Name: Davis Double Hit Strategy - **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low P/E ratio and selling them after growth materializes and the P/E ratio increases, achieving a "double hit" effect from EPS and P/E[7] - **Model Construction Process**: - Identify stocks with accelerating earnings growth - Evaluate the reasonableness of stock pricing using the PEG indicator - Select stocks with high earnings growth potential and controlled downside P/E risk[7] - **Model Evaluation**: The strategy demonstrates strong stability, with annualized excess returns exceeding 11% in all seven years of the backtest period[8] 2. Model Name: Net Profit Gap Strategy - **Model Construction Idea**: This strategy combines fundamental and technical factors, focusing on stocks with earnings surprises ("net profit") and a significant upward price gap after earnings announcements ("gap")[11] - **Model Construction Process**: - Screen stocks with earnings surprises based on earnings forecasts and financial reports from the past two months - Rank stocks by the magnitude of the price gap on the first trading day after the earnings announcement - Construct an equal-weight portfolio of the top 50 stocks[11] - **Model Evaluation**: The strategy achieves high annualized returns and excess returns, indicating strong performance and market recognition of earnings surprises[14] 3. Model Name: CSI 300 Enhanced Portfolio - **Model Construction Idea**: Based on investor preferences, the strategy uses factors such as PBROE and PEG to identify undervalued stocks with strong profitability and growth potential[16] - **Model Construction Process**: - Construct the PBROE factor as the difference between the percentile ranks of PB and ROE to identify stocks with low valuation and high profitability - Construct the PEG factor as the difference between the percentile ranks of PE and growth rate to find undervalued stocks with reliable growth potential - Combine these factors to build an enhanced CSI 300 portfolio[16] - **Model Evaluation**: The strategy demonstrates stable historical excess returns, aligning with investor preferences for growth and value[20] --- Backtest Results of Models 1. Davis Double Hit Strategy - **Annualized Return**: 26.45% (2010-2017)[8] - **Annualized Excess Return**: 21.08% (2010-2017)[8] - **Year-to-Date Absolute Return**: 7.15% (2025)[8] - **Year-to-Date Excess Return**: 4.80% (2025)[8] - **Weekly Excess Return**: -0.65% (2025)[8] - **Monthly Excess Return**: -1.07% (2025)[8] 2. Net Profit Gap Strategy - **Annualized Return**: 28.60% (2010-present)[14] - **Annualized Excess Return**: 26.80% (2010-present)[14] - **Year-to-Date Absolute Return**: 9.39% (2025)[14] - **Year-to-Date Excess Return**: 7.05% (2025)[14] - **Weekly Excess Return**: 3.07% (2025)[14] 3. CSI 300 Enhanced Portfolio - **Annualized Return**: 8.99% (full sample)[18] - **Annualized Excess Return**: 8.42% (full sample)[18] - **Year-to-Date Absolute Return**: -0.98% (2025)[20] - **Year-to-Date Excess Return**: 0.16% (2025)[20] - **Weekly Excess Return**: 1.94% (2025)[20] - **Monthly Excess Return**: -2.49% (2025)[20]