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]