- Model Name: GARP Quantitative Selection Strategy; Model Construction Idea: The key to the GARP strategy is to find the relationship between valuation and growth. Investors often do not give stocks high valuations based on the high growth of current performance, but based on expectations of future performance growth rates[1][5] - Model Construction Process: 1) Calculate the quarterly performance acceleration (NISD) and price-to-book ratio (PB) for each stock in the stock pool at each cross-section[6] 2) Exclude stocks with PB<0 in the cross-section and calculate the percentile rankings of the two indicators within the industry[6] 3) Calculate the difference between the percentile rankings of NISD and PB for each stock, and select the top 10% stocks with the largest difference to form the PB-NISD strategy stock pool[6] 4) Add new conditions to improve strategy performance: consider the net profit growth rate of the previous quarter and analyst consensus expectations[6] - Model Evaluation: The strategy aims to perform consistently in both growth and value-dominated markets[5] Model Backtest Results - GARP Quantitative Selection Strategy, Annualized Return: 15.47%, Sharpe Ratio: 0.57, Excess Annualized Return: 14.30%, Excess Sharpe Ratio: 1.40 (CSI 500)[2][9] - GARP Quantitative Selection Strategy, Annualized Return: 23.13%, Sharpe Ratio: 0.78, Excess Annualized Return: 22.34%, Excess Sharpe Ratio: 2.00 (CSI 1000)[2][9] - GARP Quantitative Selection Strategy, Annualized Return: 27.46%, Sharpe Ratio: 0.93, Excess Annualized Return: 22.34%, Excess Sharpe Ratio: 2.33 (CNI 2000)[2][9] Model Performance in 2025 H1 - GARP Quantitative Selection Strategy, Excess Return: 9.98%, IR: 0.78 (CSI 1000)[2][18] - GARP Quantitative Selection Strategy, Excess Return: 14.98%, IR: 1.31 (CNI 2000)[2][18]