Core Viewpoint - The article discusses the construction of two strategies based on Return on Equity (ROE) stability and improvement, emphasizing the importance of selecting high-quality stocks with stable ROE for investment opportunities [2][29]. ROE Stability Strategy Construction - A study was conducted on the ROE transition matrix from April 30, 2010, to April 30, 2024, categorizing stocks into six groups based on their ROE levels, with subsequent annual returns and the proportion of stocks remaining in each ROE range analyzed [4][32]. - The analysis revealed that stocks with an ROE between 10% and 15% had a 46.47% chance of remaining in that range the following year, while those with high ROE levels showed a higher likelihood of decline compared to improvement [5][6]. - The study identified four financial dimensions to characterize stability: profitability stability, growth stability, leverage stability, and cash flow stability, with specific factors selected from each dimension [9][10]. - A high ROE stock pool was created by filtering stocks with a historical ROE of at least 10% over the past nine quarters, resulting in approximately 600 stocks being selected for further analysis [11][14]. - The stability factor significantly improved the proportion of stocks maintaining high ROE, with the highest stability group (G1) showing an 83.20% retention rate for high ROE [14][19]. ROE Improvement Strategy Construction - The article also explores the historical momentum effect of ROE improvement, indicating that stocks with ROE increases over the past one, two, or three years had probabilities of continued improvement of 44.03%, 41.83%, and 42.05%, respectively [33]. - A three-step process was introduced to filter stocks expected to improve ROE based on analyst forecasts, resulting in an average selection of 163 stocks with a success rate of 70.98% [35][39]. - The ROE improvement strategy was constructed from the filtered stock pool, with a backtest period from December 31, 2013, to February 28, 2026, yielding an annualized return of 22.35% compared to 14.31% for the stock pool [43][44].

证 券 研 究 报 告 ROE稳定与ROE提升下的两类策略构建 证券分析师：杨俊文 A0230522070001 邓虎 A0230520070003 研究支持： 杨俊文 A0230522070001 2026.03.16 1. ROE稳定策略的构建 ◼ 在专题报告《剔除"害群之马"：ROE 稳定性视角构建高质量选股组合》中，我们统计了 ROE 的转移矩阵：在2010/4/30~2024/4/30 回测期间，每年的4月底，基于上市公司过去1年的 ROE 水平，将股票划分成6档，分别为小于0，介于0~5%，介于5%~10%，介于 10%~15%，介于15%~20%，大于或等于20%，然后6个组合内股票等权，分别统计这6个组合到次年4月底的年度收益率，以及6个组 合内股票次年 ROE 落在各个区间的数量比例。 | | | | | | 次年 ROE 落在该区间 | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | 转移路径下的股票数量比例 | <0 | [0,5%) | [5%,10%) | [10%,15%) | [15%,20%) | >=20% ...