Workflow
沪深300增强组合策略
icon
Search documents
净利润断层策略本周绝对收益3.69%
Tianfeng Securities· 2025-08-24 10:13
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 ...
净利润断层本周超额基准1.35%
Tianfeng Securities· 2025-07-13 07:43
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 ...
沪深300增强本周超额基准0.97%
Tianfeng Securities· 2025-07-06 03:15
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, selling them once growth is realized and PE increases, thus achieving a "double-click" effect on earnings per share (EPS) and PE [7][8] - Historical backtesting from 2010 to 2017 showed an annualized return of 26.45%, exceeding the benchmark by 21.08%, with stable excess returns over the years [8][10] - Year-to-date, the strategy has achieved an absolute return of 16.79%, outperforming the CSI 500 index by 13.55% [8][10] 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 [11][12] - Since 2010, this strategy has yielded an annualized return of 29.25%, with an annualized excess return of 27.44% [12][14] - The current year's cumulative absolute return is 28.58%, outperforming the benchmark index by 25.33% [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, aiming to identify undervalued stocks with strong profitability [16][18] - Historical backtesting indicates stable excess returns, with the current year's portfolio achieving a relative excess return of 14.50% against the CSI 300 index [18] - Year-to-date, the portfolio has generated an excess return of 0.97% this week [18]
沪深300增强本周超额基准2.57%
Tianfeng Securities· 2025-06-08 07:13
金融工程 | 金工定期报告 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 14.81%,超额中证 500 指数 14.17%,本周策 略超额中证 500 指数 1.60%。本期组合于 2025-05-06 日开盘调仓,截至 2025-06-06 日,本期组合超额基准指数 1.96%。 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 28.88%的收益,年化超额基准 27.23%。本 年组合累计绝对收益 20.66%,超额基准指数 20.02%,本周超额收益 0.81%。 金融工程 证券研究报告 沪深 300 增强本周超额基准 2.57% 沪深 300 增强组合 根据对优秀 ...
沪深300增强本周超额基准1.79%
Tianfeng Securities· 2025-05-31 11:47
Quantitative Models and Construction Methods - **Model Name**: Davis Double Play **Model Construction Idea**: The strategy involves buying stocks with growth potential at a low PE ratio and selling them after growth materializes and PE increases, achieving a multiplier effect through EPS and PE growth ("double play")[8] **Model Construction Process**: The strategy evaluates stocks based on PEG (Price/Earnings to Growth) to assess pricing rationality. Companies with accelerating earnings growth are targeted, as higher growth rates theoretically justify higher valuations, effectively controlling downside PE risks[8] **Model Evaluation**: The strategy demonstrated strong stability during the backtesting period, with annual excess returns exceeding 11% in all seven complete years from 2010 to 2017[10] - **Model Name**: Net Profit Gap Strategy **Model Construction Idea**: This strategy combines fundamental and technical analysis, focusing on "net profit surprises" and "gap behavior" after earnings announcements[13] **Model Construction Process**: Stocks are screened based on earnings surprises from the past two months' earnings forecasts and financial reports. The top 50 stocks with the highest gap magnitude on the first trading day post-announcement are selected to construct an equal-weight portfolio[13] **Model Evaluation**: The strategy achieved consistent high returns, with annualized excess returns of 27.17% since 2010, showcasing strong performance stability[17] - **Model Name**: CSI 300 Enhanced Portfolio **Model Construction Idea**: The model is based on investor preferences categorized into GARP, growth, and value styles. It uses PBROE and PEG factors to identify undervalued stocks with strong profitability and growth potential[19] **Model Construction Process**: - **PBROE Factor**: Constructed using the difference in percentiles between PB (Price-to-Book) and ROE (Return on Equity) to identify stocks with low valuation and high profitability[19] - **PEG Factor**: Constructed using the difference in percentiles between PE (Price-to-Earnings) and growth rate to find undervalued stocks with reliable growth potential[19] **Model Evaluation**: The model demonstrated stable excess returns in historical backtesting, aligning with investor preferences for growth and value stocks[23] --- Model Backtesting Results - **Davis Double Play** - Annualized Return: 26.45% - Annualized Excess Return: 21.08% - This Year Absolute Return: 11.24% - This Year Excess Return (vs CSI 500): 12.19% - Weekly Excess Return (20250526-20250530): -3.02% - Full Sample Excess Return: 21.71% - Maximum Relative Drawdown: -20.14% - Return-to-Drawdown Ratio: 1.08[10][11] - **Net Profit Gap Strategy** - Annualized Return: 28.71% - Annualized Excess Return: 27.17% - This Year Absolute Return: 17.81% - This Year Excess Return: 18.76% - Weekly Excess Return (20250526-20250530): 0.57% - Full Sample Excess Return: 27.17% - Maximum Relative Drawdown: -37.12% - Return-to-Drawdown Ratio: 0.73[15][17] - **CSI 300 Enhanced Portfolio** - Annualized Return: 9.47% - Annualized Excess Return: 9.00% - This Year Absolute Return: 8.02% - This Year Excess Return: 10.42% - Weekly Excess Return (20250526-20250530): 1.79% - Monthly Excess Return (20250501-20250530): 4.03% - Full Sample Excess Return: 9.00% - Maximum Relative Drawdown: -9.18% - Return-to-Drawdown Ratio: 0.98[21][23] --- Quantitative Factors and Construction Methods - **Factor Name**: PBROE **Factor Construction Idea**: Identifies stocks with low valuation and high profitability[19] **Factor Construction Process**: Calculated as the difference in percentiles between PB and ROE[19] - **Factor Name**: PEG **Factor Construction Idea**: Targets undervalued stocks with reliable growth potential[19] **Factor Construction Process**: Calculated as the difference in percentiles between PE and growth rate[19] --- Factor Backtesting Results - **PBROE Factor** - Incorporated into CSI 300 Enhanced Portfolio, contributing to stable excess returns[19][23] - **PEG Factor** - Incorporated into CSI 300 Enhanced Portfolio, contributing to stable excess returns[19][23]
净利润断层本周超额基准2.68%
Tianfeng Securities· 2025-05-18 06:43
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 2.68% 戴维斯双击策略 今年以来,策略累计绝对收益 15.08%,超额中证 500 指数 15.25%,本周策 略超额中证 500 指数 2.36%。本期组合于 2025-05-06 日开盘调仓,截至 2025-05-16 日,本期组合超额基准指数 3.02%。 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 28.78%的收益,年化超额基准 27.18%。本 年组合累计绝对收益 17.67%,超额基准指 17.85%,本周超额收益 2.68%。 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 与增速的 ...
净利润断层本周超额基准4.31%
Tianfeng Securities· 2025-04-27 07:13
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 a dual benefit from earnings per share (EPS) and PE [1][7] - The strategy has 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 a cumulative absolute return of 6.18%, outperforming the CSI 500 index by 7.90%, with a weekly excess return of 2.27% [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] - This strategy has achieved an annualized return of 28.17% since 2010, with an annualized excess return of 26.67% over the benchmark [15] - The current year's cumulative absolute return for this strategy is 8.31%, exceeding the benchmark by 10.03%, with a weekly excess return of 4.31% [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 [3][17] - The portfolio has shown stable excess returns in historical backtesting, with a year-to-date excess return of 7.41% relative to the CSI 300 index [17] - The weekly excess return for this portfolio is 1.33%, and the monthly excess return is 4.08% [17]