Quantitative Models and Construction Methods 1. Model Name: Value Smart Beta Portfolio - **Model Construction Idea**: The model is based on selecting stocks with a value style, aiming for high beta elasticity and long-term stable excess returns[6] - **Model Construction Process**: - Stocks are classified into the value style based on historical low correlation with other styles - Two portfolios are constructed: "Value 50" and "Value Balanced 50" - The "Value 50" portfolio focuses on high beta elasticity, while the "Value Balanced 50" portfolio emphasizes stable excess returns over the long term[6][7] - **Model Evaluation**: The model effectively captures the value style and provides differentiated performance metrics for different market conditions[6] 2. Model Name: Growth Smart Beta Portfolio - **Model Construction Idea**: The model targets stocks with a growth style, aiming for high beta elasticity and long-term stable excess returns[6] - **Model Construction Process**: - Stocks are classified into the growth style based on historical low correlation with other styles - Two portfolios are constructed: "Growth 50" and "Growth Balanced 50" - The "Growth 50" portfolio focuses on high beta elasticity, while the "Growth Balanced 50" portfolio emphasizes stable excess returns over the long term[6][11] - **Model Evaluation**: The model captures the growth style effectively and provides a balanced approach to high beta and stable returns[6] 3. Model Name: Small-Cap Smart Beta Portfolio - **Model Construction Idea**: The model focuses on small-cap stocks, aiming for high beta elasticity and long-term stable excess returns[6] - **Model Construction Process**: - Stocks are classified into the small-cap style based on historical low correlation with other styles - Two portfolios are constructed: "Small-Cap 50" and "Small-Cap Balanced 50" - The "Small-Cap 50" portfolio focuses on high beta elasticity, while the "Small-Cap Balanced 50" portfolio emphasizes stable excess returns over the long term[6][16] - **Model Evaluation**: The model effectively captures the small-cap style and provides a diversified approach to portfolio construction[6] 4. Model Name: Lifecycle Optimized Portfolio - **Model Construction Idea**: The model classifies stocks based on their lifecycle stages (e.g., startup, growth, maturity, and turnaround) and constructs portfolios based on different investment logics[6] - **Model Construction Process**: - Stocks are classified into lifecycle stages using cash flow as the primary metric - Four portfolios are constructed: "Startup Optimized," "Growth Optimized," "Mature Stable," and "Turnaround" - Each portfolio is designed to align with the specific characteristics and investment logic of its respective lifecycle stage[6][21] - **Model Evaluation**: The model provides a systematic approach to lifecycle-based stock classification and portfolio construction, offering unique insights into different stages of corporate development[6] --- Model Backtesting Results 1. Value Smart Beta Portfolio - **Value 50**: - Weekly absolute return: -2.28% - Weekly excess return: 1.44% - Year-to-date absolute return: -0.13% - Year-to-date excess return: -0.62% - Maximum relative drawdown: 3.17%[8] - **Value Balanced 50**: - Weekly absolute return: -5.23% - Weekly excess return: -1.51% - Year-to-date absolute return: 2.95% - Year-to-date excess return: 2.46% - Maximum relative drawdown: 4.33%[8] 2. Growth Smart Beta Portfolio - **Growth 50**: - Weekly absolute return: -2.86% - Weekly excess return: -0.08% - Year-to-date absolute return: -0.51% - Year-to-date excess return: -2.51% - Maximum relative drawdown: 2.84%[8] - **Growth Balanced 50**: - Weekly absolute return: -5.11% - Weekly excess return: -2.33% - Year-to-date absolute return: 5.32% - Year-to-date excess return: 3.32% - Maximum relative drawdown: 5.30%[8] 3. Small-Cap Smart Beta Portfolio - **Small-Cap 50**: - Weekly absolute return: -4.63% - Weekly excess return: 0.82% - Year-to-date absolute return: 3.92% - Year-to-date excess return: 1.50% - Maximum relative drawdown: 5.52%[8] - **Small-Cap Balanced 50**: - Weekly absolute return: -6.18% - Weekly excess return: -0.73% - Year-to-date absolute return: -1.91% - Year-to-date excess return: -4.33% - Maximum relative drawdown: 8.33%[8] 4. Lifecycle Optimized Portfolio - **Startup Optimized**: - Weekly absolute return: -2.82% - Weekly excess return: 1.28% - Year-to-date absolute return: -0.68% - Year-to-date excess return: -1.47% - Maximum relative drawdown: 11.22%[8] - **Growth Optimized**: - Weekly absolute return: -3.10% - Weekly excess return: 0.37% - Year-to-date absolute return: 7.05% - Year-to-date excess return: 6.15% - Maximum relative drawdown: 4.03%[8] - **Mature Stable**: - Weekly absolute return: -5.18% - Weekly excess return: -1.94% - Year-to-date absolute return: 0.94% - Year-to-date excess return: 0.86% - Maximum relative drawdown: 4.87%[8] - **Turnaround**: - Weekly absolute return: -5.10% - Weekly excess return: -1.01% - Year-to-date absolute return: 1.68% - Year-to-date excess return: 0.89% - Maximum relative drawdown: 2.11%[8]

Investment Rating - The report indicates a positive performance for the Value 50 and Distressed Reversal portfolios, with the Value 50 portfolio achieving an absolute return of 0.07% [4][9]. Core Insights - The Value 50 portfolio and the Distressed Reversal portfolio showed superior performance last week, with the Value 50 portfolio's year-to-date return at 2.20% and the Distressed Reversal portfolio at 7.15% [4][9]. - The report categorizes stocks into different styles and lifecycle stages to construct stock selection portfolios, focusing on value, growth, and small-cap styles, as well as different lifecycle stages [6][9]. Summary by Category Value Smart Beta Portfolio - Last week, the Value 50 portfolio had a weekly return of 0.07%, while the Value Balanced 50 portfolio had a return of -0.45%. Year-to-date returns are 2.20% for Value 50 and 8.63% for Value Balanced 50 [4][9]. Growth Smart Beta Portfolio - The Growth 50 portfolio and Growth Balanced 50 portfolio had weekly returns of -0.54% and -2.83%, respectively. Year-to-date returns are 2.42% for Growth 50 and 10.99% for Growth Balanced 50 [4][9]. Small Cap Smart Beta Portfolio - The Small Cap 50 portfolio and Small Cap Balanced 50 portfolio had weekly returns of -1.41% and -2.40%, respectively. Year-to-date returns are 8.96% for Small Cap 50 and 4.55% for Small Cap Balanced 50 [4][9]. Lifecycle Preferred Portfolios - The weekly returns for the Growth Preferred, Mature Steady, Startup Preferred, and Distressed Reversal portfolios were -2.39%, -3.29%, -3.00%, and -0.58%, respectively. Year-to-date returns are 10.47% for Growth Preferred, 6.45% for Mature Steady, 2.20% for Startup Preferred, and 7.15% for Distressed Reversal [4][9].

- The report discusses the construction of Smart Beta portfolios based on three styles: value, growth, and small-cap, selected for their low historical correlation and aimed at achieving high beta elasticity and long-term stable excess returns[7] - The Value Smart Beta portfolio includes two sub-portfolios: Value 50 and Value Balanced 50, with respective weekly returns of 0.55% and -1.68%, and annual returns of 2.13% and 9.12% as of March 6, 2026[5][8][10] - The Growth Smart Beta portfolio includes Growth 50 and Growth Balanced 50, with weekly returns of -1.41% and -0.23%, and annual returns of 2.98% and 14.22% as of March 6, 2026[5][8][18] - The Small-Cap Smart Beta portfolio includes Small-Cap 50 and Small-Cap Balanced 50, with weekly returns of -4.01% and -5.11%, and annual returns of 10.52% and 7.12% as of March 6, 2026[5][8][20] - The Value 50 portfolio achieved an excess return of 0.28% relative to the benchmark index (Guozheng Value) for the week, while the Value Balanced 50 portfolio underperformed with an excess return of -1.95%[8][10] - The Growth 50 portfolio achieved an excess return of 0.64% relative to the benchmark index (Guozheng Growth) for the week, while the Growth Balanced 50 portfolio achieved a higher excess return of 1.82%[8][18] - The Small-Cap 50 portfolio achieved an excess return of -0.48% relative to the benchmark index (Guozheng 2000) for the week, while the Small-Cap Balanced 50 portfolio underperformed with an excess return of -1.58%[8][20]

- The report discusses the construction of **Smart Beta portfolios** based on three styles: value, growth, and small-cap. These portfolios are designed with the objectives of high beta elasticity and long-term stable excess returns. The portfolios include "50 portfolios" and "balanced 50 portfolios" for each style[5] - The **Value Smart Beta portfolios** include the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio". Their weekly returns were 0.19% and 0.22%, respectively, with annual returns of 0.70% and 8.68% since the beginning of the year[3][6][8] - The **Growth Smart Beta portfolios** include the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio". Their weekly returns were -2.53% and -1.95%, respectively, with annual returns of 1.29% and 6.55% since the beginning of the year[3][6][16] - The **Small-Cap Smart Beta portfolios** include the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio". Their weekly returns were 1.71% and -0.52%, respectively, with annual returns of 11.72% and 9.49% since the beginning of the year[3][6][20] - The **performance metrics** for these portfolios include absolute returns, excess returns relative to their benchmarks, and maximum relative drawdowns. For example, the "Small-Cap 50 Portfolio" achieved an excess return of 3.45% over the benchmark "CNI 2000" index during the week, with a maximum relative drawdown of 3.08%[6][20]

Quantitative Models and Construction Methods - **Model Name**: Value Smart Beta Portfolio **Model Construction Idea**: The model is based on selecting stocks with low historical correlation and aims to achieve high beta elasticity and long-term stable excess returns[5] **Model Construction Process**: The Value Smart Beta Portfolio includes two sub-portfolios: Value 50 Portfolio and Value Balanced 50 Portfolio. These portfolios are constructed by selecting stocks that align with the value style and optimizing for beta elasticity and excess return stability. The detailed construction process is referenced in a prior report[5] **Model Evaluation**: The Value Balanced 50 Portfolio outperformed the Value 50 Portfolio in terms of weekly, monthly, and yearly returns, demonstrating its superior performance in capturing value style excess returns[3][6] - **Model Name**: Growth Smart Beta Portfolio **Model Construction Idea**: Similar to the value model, this portfolio focuses on stocks with low historical correlation, targeting high beta elasticity and stable excess returns in the growth style[5] **Model Construction Process**: The Growth Smart Beta Portfolio includes Growth 50 Portfolio and Growth Balanced 50 Portfolio. Stocks are selected based on growth style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] **Model Evaluation**: The Growth Balanced 50 Portfolio consistently outperformed the Growth 50 Portfolio, indicating its effectiveness in capturing growth style excess returns[3][6] - **Model Name**: Small-Cap Smart Beta Portfolio **Model Construction Idea**: This portfolio targets small-cap stocks with low historical correlation, aiming for high beta elasticity and stable excess returns[5] **Model Construction Process**: The Small-Cap Smart Beta Portfolio includes Small-Cap 50 Portfolio and Small-Cap Balanced 50 Portfolio. Stocks are selected based on small-cap style characteristics, and the portfolios are optimized for beta elasticity and excess return stability. The detailed methodology is referenced in a prior report[5] **Model Evaluation**: The Small-Cap Balanced 50 Portfolio outperformed the Small-Cap 50 Portfolio, showcasing its ability to capture small-cap style excess returns effectively[3][6] --- Model Backtesting Results - **Value Smart Beta Portfolio** - **Value 50 Portfolio**: Weekly return: 1.38%, Monthly return: -0.11%, Yearly return: -0.11%, Maximum relative drawdown: 2.43%[6] - **Value Balanced 50 Portfolio**: Weekly return: 4.59%, Monthly return: 8.27%, Yearly return: 8.27%, Maximum relative drawdown: 0.56%[6] - **Growth Smart Beta Portfolio** - **Growth 50 Portfolio**: Weekly return: -0.37%, Monthly return: 5.13%, Yearly return: 5.13%, Maximum relative drawdown: 1.30%[6] - **Growth Balanced 50 Portfolio**: Weekly return: 3.79%, Monthly return: 10.01%, Yearly return: 10.01%, Maximum relative drawdown: 1.33%[6] - **Small-Cap Smart Beta Portfolio** - **Small-Cap 50 Portfolio**: Weekly return: 3.71%, Monthly return: 11.57%, Yearly return: 11.57%, Maximum relative drawdown: 3.08%[6] - **Small-Cap Balanced 50 Portfolio**: Weekly return: 4.27%, Monthly return: 12.88%, Yearly return: 12.88%, Maximum relative drawdown: 2.38%[6]

- The report focuses on the performance of Smart beta portfolios, specifically Value, Growth, and Small-cap styles, constructed based on high beta elasticity and long-term stable excess returns objectives[6][7][9] - Value Smart beta portfolios include Value 50 and Value Balanced 50 portfolios, with weekly returns of -1.15% and 0.38%, respectively, and annual returns of -1.47% and 3.52%[4][7][9] - Growth Smart beta portfolios include Growth 50 and Growth Balanced 50 portfolios, with weekly returns of 2.02% and 2.28%, respectively, and annual returns of 5.52% and 6.00%[4][7][16] - Small-cap Smart beta portfolios include Small-cap 50 and Small-cap Balanced 50 portfolios, with weekly returns of 3.24% and 1.70%, respectively, and annual returns of 7.58% and 8.26%[4][7][22] - The report highlights the relative performance of these portfolios against their respective benchmarks, such as the CSI Value Index, CSI Growth Index, and CSI 2000 Index, showcasing excess returns and maximum relative drawdowns[7][9][16]

- The Growth 50 portfolio achieved the best performance last week with a weekly return of 3.71%, generating an excess return of 0.47% relative to the China Securities Growth Index[1][5] - The Value 50 portfolio and the Value Balanced 50 portfolio had weekly returns of 1.79% and 0.36%, respectively[5] - The Small Cap 50 portfolio and the Small Cap Balanced 50 portfolio had weekly returns of 1.13% and 3.53%, respectively[5] - The annual returns for the Value 50 portfolio and the Value Balanced 50 portfolio were 19.70% and 24.05%, respectively[5] - The annual returns for the Growth 50 portfolio and the Growth Balanced 50 portfolio were 28.75% and 33.90%, respectively[5] - The annual returns for the Small Cap 50 portfolio and the Small Cap Balanced 50 portfolio were 49.75% and 45.36%, respectively[5] - The maximum relative drawdown for the Value 50 portfolio was 5.19%, and for the Value Balanced 50 portfolio, it was 4.91%[8] - The maximum relative drawdown for the Growth 50 portfolio was 11.66%, and for the Growth Balanced 50 portfolio, it was 13.35%[8] - The maximum relative drawdown for the Small Cap 50 portfolio was 10.89%, and for the Small Cap Balanced 50 portfolio, it was 4.56%[8] - The Smart beta portfolios were constructed based on high beta elasticity and long-term stable excess returns, selecting historically low-correlated styles such as value, growth, and small cap[7]

Quantitative Models and Construction Methods 1. Model Name: Value Smart Beta Portfolio - **Model Construction Idea**: The Value Smart Beta Portfolio is constructed based on the goal of achieving high beta elasticity and long-term stable excess returns, focusing on the value style[7] - **Model Construction Process**: - The portfolio includes two variations: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio" - The "Value 50 Portfolio" is designed to capture the value factor, while the "Value Balanced 50 Portfolio" aims to balance the exposure to the value factor with reduced risk through diversification[7] - **Model Evaluation**: The Value Balanced 50 Portfolio demonstrated superior performance compared to the Value 50 Portfolio, with higher weekly and monthly returns, indicating better risk-adjusted returns[4][8] 2. Model Name: Growth Smart Beta Portfolio - **Model Construction Idea**: The Growth Smart Beta Portfolio is constructed to capture the growth style, targeting high beta elasticity and stable excess returns over the long term[7] - **Model Construction Process**: - The portfolio includes two variations: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio" - The "Growth 50 Portfolio" focuses on growth factor exposure, while the "Growth Balanced 50 Portfolio" balances growth exposure with diversification to reduce risk[7] - **Model Evaluation**: The Growth Balanced 50 Portfolio outperformed the Growth 50 Portfolio in terms of weekly and annual returns, suggesting better performance under the balanced approach[4][8] 3. Model Name: Small-Cap Smart Beta Portfolio - **Model Construction Idea**: The Small-Cap Smart Beta Portfolio is designed to capture the small-cap style, emphasizing high beta elasticity and long-term stable excess returns[7] - **Model Construction Process**: - The portfolio includes two variations: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio" - The "Small-Cap 50 Portfolio" targets small-cap factor exposure, while the "Small-Cap Balanced 50 Portfolio" balances small-cap exposure with diversification to mitigate risk[7] - **Model Evaluation**: The Small-Cap Balanced 50 Portfolio achieved the highest returns among all portfolios, demonstrating the effectiveness of the balanced approach in capturing small-cap factor returns[4][8] --- Model Backtesting Results 1. Value Smart Beta Portfolio - **Value 50 Portfolio**: - Weekly Return: 2.19% - Monthly Return: 2.40% - Annual Return: 14.90% - Excess Return (Annual): 9.41% - Maximum Relative Drawdown: 2.35%[8] - **Value Balanced 50 Portfolio**: - Weekly Return: 3.14% - Monthly Return: 3.64% - Annual Return: 13.62% - Excess Return (Annual): 8.13% - Maximum Relative Drawdown: 3.99%[8] 2. Growth Smart Beta Portfolio - **Growth 50 Portfolio**: - Weekly Return: 1.67% - Monthly Return: 0.95% - Annual Return: 6.11% - Excess Return (Annual): 2.48% - Maximum Relative Drawdown: 3.61%[8] - **Growth Balanced 50 Portfolio**: - Weekly Return: 2.16% - Monthly Return: 2.22% - Annual Return: 10.54% - Excess Return (Annual): 6.91% - Maximum Relative Drawdown: 6.11%[8] 3. Small-Cap Smart Beta Portfolio - **Small-Cap 50 Portfolio**: - Weekly Return: 3.34% - Monthly Return: 4.45% - Annual Return: 41.08% - Excess Return (Annual): 21.26% - Maximum Relative Drawdown: 6.23%[8] - **Small-Cap Balanced 50 Portfolio**: - Weekly Return: 3.85% - Monthly Return: 4.49% - Annual Return: 31.48% - Excess Return (Annual): 11.66% - Maximum Relative Drawdown: 4.56%[8]

- The report focuses on the performance of Smart Beta portfolios, specifically Value, Growth, and Small-cap styles, constructed based on high beta elasticity and long-term stable excess returns objectives[7][8][10] - Value Smart Beta portfolios include "Value 50 Portfolio" and "Value Balanced 50 Portfolio", with weekly returns of 1.13% and 0.32%, respectively, and annual returns of 5.80% and 1.55%[4][8][10] - Growth Smart Beta portfolios include "Growth 50 Portfolio" and "Growth Balanced 50 Portfolio", with weekly returns of 1.27% and 1.59%, respectively, and annual returns of 0.86% and 6.05%[4][8][16] - Small-cap Smart Beta portfolios include "Small-cap 50 Portfolio" and "Small-cap Balanced 50 Portfolio", with weekly returns of 1.39% and 1.49%, respectively, and annual returns of 8.87% and 10.70%[4][8][22] - Performance metrics for Smart Beta portfolios include absolute returns, excess returns relative to benchmarks, and maximum relative drawdowns, with detailed data provided for each portfolio[8][10][22]