来源：零城逆影 最近一个多月一直在忙着研究2026年的权益和固收基金榜单，很多人好奇我们的榜单是怎么挑选的，为什么有些业绩很好的没进，一些短期业绩一般的基金 经理却入选了。本文说说我们筛选基金榜单时最看重的一个指标，并介绍几个值得关注的基金经理。 我们挑选基金经理的时候会看的指标非常多，但最最最重视的一个指标就是『长期超额收益稳定性』，这个指标背后反映了三个关键维度： 我不喜欢看起来业绩很好，但超额收益只集中于某个阶段的基金，这中间可能会有很多偶然因素和运气成分。我喜欢确定性，不喜欢偶然性。比如下面这种 超额收益走势图，我就不喜欢，只有少数阶段爆发超额收益。 当我翻看无数基金后，我发现一个事实——怎么选出来的基金很多都是易方达的？ 继续列举几个榜单中我们已选入的基金经理案例，证明我不是在打广告： 这张图是杨桢霄管理的易方达医疗保健/全指医药，超过9年的时间跨度，超额收益非常稳定，长期业绩在医药基金中也是排名居前。（2016-8-22至2025-12- 24，数据来源：wind） 比如下面这张图的超额收益走势我就很喜欢。这是易方达陈皓管理的易方达科翔/国证成长，超过11年的时间跨度，超额收益极其平滑，同期业绩排 ...

在A股市场聚焦高质量发展、资金愈发青睐确定性收益的当下，中证500质量成长指数凭借独特的"质量+成长"双重筛选逻辑，成为中盘成长领域的优质标 的。作为从中证500指数中精选核心资产的"聪明贝塔"指数，其不仅具备中盘股的高弹性优势，更通过严苛的质量筛选筑牢风险底线，无论是长期配置价值 还是短期行情适配性都值得关注。结合2026年市场环境预判，这一赛道有望迎来资金的重点布局。 中证500质量成长的核心竞争力，源于其精准的编制规则与风险分散优势，与宽基指数"广撒网"不同，该指数从500只中证500成份股中层层筛选：先剔除连 续亏损企业筑牢盈利底色，再通过盈余波动率筛选盈利稳定标的，最终结合盈利能力、成长潜力、盈利质量和财务杠杆四大核心指标综合评分，精选100只 优质个股。这种筛选机制既保证了成份股的高ROE水平，又通过现金流指标规避了"纸面富贵"的财务陷阱，实现"以合理价格买入优质成长"的投资逻辑。同 时，指数行业分布均衡，覆盖新能源、半导体、高端制造等新兴赛道，且前十大权重股合计占比仅21.53%，有效分散了单一股票与行业风险，兼顾成长弹 性与投资稳健性。 图：500质量成长在中证500中通过成长+质量实现优胜略 ...

Core Insights - The report focuses on the evolution and optimization of profitability evaluation indicators, particularly the Return on Equity (ROE) within the PB-ROE framework, utilizing DuPont analysis to dissect the structure and potential issues of the ROE metric [1][4] - The report introduces a comprehensive profitability factor by optimizing the indicator system based on the analysis of ROE, aiming to enhance the dual optimization of the PB-ROE strategy framework in both valuation and profitability aspects [1][4] Section Summaries 1. In-depth Exploration of ROE and Profitability Styles - The PB-ROE strategy combines valuation levels with shareholder return rates, reflecting a company's ability to generate profits from shareholder capital, which directly influences net asset growth [10][14] - The relationship between ROE and GDP indicates that listed companies, as a significant part of the economy, have shown substantial growth in revenue, with the total revenue of A-share companies exceeding 72 trillion yuan in 2024, compared to 3.37 trillion yuan in 2004 [14][15] - ROE is categorized under quality style in investment factors, reflecting a company's financial health, profitability, reliability, and long-term growth potential [22][26] 2. ROE and DuPont Analysis - ROE is tested using both quarterly and TTM (Trailing Twelve Months) metrics, with the quarterly ROE factor showing a higher average Rank IC of 4.06% compared to 2.78% for TTM [28][29] - Historical high ROE stocks tend to underperform in future price performance, while portfolios constructed based on future ROE show significant excess returns, indicating the importance of ROE stability [33][34] - DuPont analysis breaks down ROE into three components: net profit margin, total asset turnover, and equity multiplier, providing a comprehensive assessment of a company's profitability, operational efficiency, and leverage [42][46] 3. ROE De-leveraging Analysis - The report discusses the linear separation of leverage factors from ROE, highlighting the economic relationship between ROA and ROE, and the limitations of ROA as a profitability measure [3][15] - The introduction of RONOA (Return on Net Operating Assets) and FCFFIC (Free Cash Flow Return on Invested Capital) aims to provide more accurate profitability assessments by excluding non-core operating activities and mitigating earnings management risks [4][6] 4. Comprehensive Profitability Factor - The integration of stable ROE, stable ROIC, stable RONOA, and FCFFIC forms a comprehensive profitability factor, enhancing the performance of the PB-ROE strategy [4][6] - The active quantitative stock selection strategy based on the PB-ROE framework has achieved an annualized return of 20.42% since 2010, significantly outperforming benchmarks like the CSI 800 [4][6]

Group 1 - The report from CICC highlights the existence of calendar effects in the market, influenced by the rhythm of earnings disclosures, dividend events, and seasonal changes in institutional investors' risk preferences [1][3] - Small-cap style shows significant volatility in the first half of the year, with overall improvement in the second half; the small-cap style underperformed in April, with the CSI 2000 index excess returns of -2.3% and -2.2% [1][2] - Growth style exhibits a "high first, low last" characteristic, with significant excess returns in January and June-July, achieving a win rate of 90.9% [1][2] Group 2 - Quality style demonstrates a "strong at both ends" pattern, with January (excess return of 1.4%, win rate of 81.8%) and December (excess return of 0.5%, win rate of 80%) being the strongest months for quality style [2] - Dividend style performs well in April and August, with win rates of 83.3%, while June and October show significantly lower excess win rates [2][3] - The internal mechanisms of calendar effects are linked to the timing of earnings disclosures and dividend announcements, which influence investor focus and fund flows towards stocks with better fundamentals [3]

Group 1 - The report by CICC summarizes the calendar effect exhibited by mainstream styles in the A-share market, highlighting that the growth style portfolio shows significant excess returns in January and June/July, with a win rate of 90.9% [1] - The quality style demonstrates a "strong at both ends" pattern, with January (excess return of 1.4%, win rate of 81.8%) and December (excess return of 0.5%, win rate of 80%) being the advantageous months for this style [1] - The 800 quality index also performs relatively well in January and December, indicating strong seasonal trends for quality stocks [1] Group 2 - On November 14, the Free Cash Flow ETF (159201) experienced a slight decline of approximately 0.5%, while leading stocks such as Huaren Health, Hailu Heavy Industry, and CIMC Vehicles showed gains [1] - The Free Cash Flow ETF has seen net inflows in 19 out of the last 20 trading days, totaling over 1.5 billion yuan, indicating significant capital attraction [1] - The latest scale of the Free Cash Flow ETF reached 6.464 billion yuan, marking a new high since its inception and outperforming similar products [1] Group 3 - The Free Cash Flow ETF (159201) and its linked funds (A: 023917; C: 023918) closely track the National Index of Free Cash Flow, selecting stocks with positive and high free cash flow after liquidity, industry, and ROE stability screening [1] - The index is characterized by high quality and strong risk resistance, making it suitable for core portfolio allocation and long-term investment needs [1] - The fund management fee is set at an annual rate of 0.15%, and the custody fee at 0.05%, both representing the lowest rates in the market, maximizing benefits for investors [1]