Quantitative Models and Construction Methods 1. **Model Name**: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model aims to achieve excess returns over the CSI 300 Index by leveraging quantitative strategies and factor-based stock selection - **Model Construction Process**: The model is constructed by selecting stocks from the CSI 300 Index based on specific quantitative factors and optimizing the portfolio to maximize excess returns while managing risk. The exact factors and optimization techniques are not detailed in the report - **Model Evaluation**: The model has shown consistent performance in generating excess returns over the CSI 300 Index in the year-to-date period[5][9][15] 2. **Model Name**: CSI 500 Enhanced Portfolio - **Model Construction Idea**: The model seeks to outperform the CSI 500 Index by utilizing quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 500 Index based on quantitative factors, and the portfolio is optimized to achieve excess returns while controlling risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model's performance has been mixed, with negative excess returns in the year-to-date period[5][9][15] 3. **Model Name**: CSI 1000 Enhanced Portfolio - **Model Construction Idea**: The model aims to generate excess returns over the CSI 1000 Index through quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 1000 Index using quantitative factors, and the portfolio is optimized to maximize excess returns while managing risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model has demonstrated positive excess returns in the year-to-date period[5][9][15] 4. **Model Name**: PB-Profit Combination Portfolio - **Model Construction Idea**: The portfolio combines price-to-book (PB) ratio and profitability factors to identify undervalued stocks with strong earnings potential - **Model Construction Process**: The portfolio is constructed by selecting stocks with low PB ratios and high profitability metrics. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has shown strong performance, with significant positive excess returns over the CSI 300 Index in the year-to-date period[5][31][33] 5. **Model Name**: GARP Portfolio - **Model Construction Idea**: The portfolio follows the Growth at a Reasonable Price (GARP) strategy, focusing on stocks with a balance of growth and valuation metrics - **Model Construction Process**: Stocks are selected based on a combination of growth and valuation factors. The specific factors and their weights are not detailed in the report - **Model Evaluation**: The portfolio has achieved significant positive excess returns over the CSI 300 Index in the year-to-date period[5][35] 6. **Model Name**: Small-Cap Value Portfolio 1 - **Model Construction Idea**: The portfolio targets small-cap stocks with value characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][37] 7. **Model Name**: Small-Cap Value Portfolio 2 - **Model Construction Idea**: Similar to Small-Cap Value Portfolio 1, this portfolio focuses on small-cap stocks with value characteristics - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has outperformed the micro-cap index in the year-to-date period[5][39] 8. **Model Name**: Small-Cap Growth Portfolio - **Model Construction Idea**: The portfolio targets small-cap stocks with growth characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and growth factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][41] --- Model Backtesting Results 1. **CSI 300 Enhanced Portfolio** - Weekly return: -0.39% - Weekly excess return: -0.47% - Year-to-date return: 6.85% - Year-to-date excess return: 5.20%[9][15] 2. **CSI 500 Enhanced Portfolio** - Weekly return: -1.74% - Weekly excess return: 0.82% - Year-to-date return: 11.11% - Year-to-date excess return: -1.01%[9][15] 3. **CSI 1000 Enhanced Portfolio** - Weekly return: -0.97% - Weekly excess return: 1.58% - Year-to-date return: 11.99% - Year-to-date excess return: 3.31%[9][15] 4. **PB-Profit Combination Portfolio** - Weekly return: 0.92% - Weekly excess return: 0.84% - Year-to-date return: 6.17% - Year-to-date excess return: 4.52%[31][33] 5. **GARP Portfolio** - Weekly return: 0.95% - Weekly excess return: 0.87% - Year-to-date return: 11.43% - Year-to-date excess return: 9.78%[35] 6. **Small-Cap Value Portfolio 1** - Weekly return: -2.44% - Weekly excess return: -1.29% - Year-to-date return: 7.89% - Year-to-date excess return: -2.83%[37] 7. **Small-Cap Value Portfolio 2** - Weekly return: -1.64% - Weekly excess return: -0.48% - Year-to-date return: 12.37% - Year-to-date excess return: 1.66%[39] 8. **Small-Cap Growth Portfolio** - Weekly return: -2.07% - Weekly excess return: -0.92% - Year-to-date return: 9.13% - Year-to-date excess return: -1.59%[41] --- Quantitative Factors and Construction Methods 1. **Factor Name**: Market Capitalization (Size) Factor - **Construction Idea**: Small-cap stocks tend to outperform large-cap stocks over time - **Construction Process**: Stocks are ranked by market capitalization, and the top 10% (smallest) and bottom 10% (largest) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown mixed performance across different indices and time periods[43][44][45] 2. **Factor Name**: Price-to-Book (PB) Factor - **Construction Idea**: Low PB stocks are expected to outperform high PB stocks - **Construction Process**: Stocks are ranked by PB ratio, and the top 10% (lowest PB) and bottom 10% (highest PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong performance in the short term but mixed results in the year-to-date period[43][44][45] 3. **Factor Name**: Price-to-Earnings (PE_TTM) Factor - **Construction Idea**: Low PE stocks are expected to outperform high PE stocks - **Construction Process**: Stocks are ranked by PE ratio, and the top 10% (lowest PE) and bottom 10% (highest PE) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but mixed year-to-date results[43][44][45] 4. **Factor Name**: Reversal Factor - **Construction Idea**: Stocks with recent underperformance are expected to outperform in the short term - **Construction Process**: Stocks are ranked by recent performance, and the top 10% (worst performers) and bottom 10% (best performers) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but negative year-to-date results[49][50] 5. **Factor Name**: Turnover Factor - **Construction Idea**: Stocks with lower turnover rates are expected to outperform those with higher turnover rates - **Construction Process**: Stocks are ranked by turnover rate, and the top 10% (lowest turnover) and bottom 10% (highest turnover) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong short-term performance but negative year-to-date results[49][50] 6. **Factor Name**: Volatility Factor - **Construction Idea**

Quantitative Models and Construction Methods 1. Model Name: Enhanced Index Portfolio (沪深 300 Enhanced Portfolio, 中证 500 Enhanced Portfolio, 中证 1000 Enhanced Portfolio) - **Model Construction Idea**: The enhanced index portfolios aim to generate excess returns relative to their respective benchmark indices (沪深 300, 中证 500, 中证 1000) by leveraging quantitative strategies and factor-based stock selection[5][9][14] - **Model Construction Process**: - The portfolios are constructed by selecting stocks from the benchmark indices based on specific quantitative factors and optimization techniques - Excess returns are achieved by overweighting stocks with favorable factor exposures while maintaining risk constraints relative to the benchmark indices[5][9][14] - **Model Evaluation**: The enhanced portfolios demonstrate consistent excess returns over their benchmarks, indicating effective factor selection and portfolio construction[5][9][14] 2. Model Name: Multi-Factor Portfolios (进取组合, 平衡组合) - **Model Construction Idea**: These portfolios are designed to balance risk and return by combining multiple factors, such as value, growth, and momentum, to achieve superior performance relative to the 中证 500 index[10][11] - **Model Construction Process**: - The aggressive portfolio (进取组合) emphasizes higher-risk, higher-return factors - The balanced portfolio (平衡组合) incorporates a mix of factors to achieve moderate risk and return - Both portfolios are optimized to maximize excess returns while controlling for tracking error and other risk metrics[10][11] - **Model Evaluation**: The multi-factor portfolios show strong long-term performance, with the aggressive portfolio achieving higher returns but also higher volatility compared to the balanced portfolio[10][11] 3. Model Name: PB-Earnings Portfolio (PB-盈利优选组合) - **Model Construction Idea**: This portfolio focuses on stocks with low price-to-book (PB) ratios and strong earnings performance, aiming to capture value and profitability factors[31][32] - **Model Construction Process**: - Stocks are selected based on their PB ratios and earnings metrics - The portfolio is optimized to overweight stocks with the most favorable PB and earnings characteristics while maintaining diversification[31][32] - **Model Evaluation**: The PB-earnings portfolio demonstrates strong performance in capturing value and profitability factors, with consistent excess returns over the benchmark[31][32] 4. Model Name: GARP Portfolio (Growth at a Reasonable Price) - **Model Construction Idea**: The GARP portfolio targets stocks with a balance of growth and value characteristics, aiming to achieve superior risk-adjusted returns[34] - **Model Construction Process**: - Stocks are selected based on growth metrics (e.g., earnings growth) and valuation metrics (e.g., PE ratio) - The portfolio is optimized to overweight stocks with the best combination of growth and value characteristics[34] - **Model Evaluation**: The GARP portfolio effectively captures growth and value factors, delivering strong excess returns over the benchmark[34] 5. Model Name: Small-Cap Value and Growth Portfolios (小盘价值优选组合, 小盘成长组合) - **Model Construction Idea**: These portfolios focus on small-cap stocks with value or growth characteristics, aiming to capture the small-cap premium and specific factor exposures[36][38][40] - **Model Construction Process**: - The small-cap value portfolio emphasizes stocks with low valuation metrics (e.g., PB, PE) - The small-cap growth portfolio emphasizes stocks with high growth metrics (e.g., earnings growth) - Both portfolios are optimized to overweight stocks with the desired characteristics while maintaining diversification[36][38][40] - **Model Evaluation**: The small-cap value and growth portfolios show mixed performance, with strong long-term returns but higher volatility and occasional underperformance relative to benchmarks[36][38][40] --- Model Backtesting Results 1. Enhanced Index Portfolios - **沪深 300 Enhanced Portfolio**: Weekly return 1.11%, monthly return 2.82%, YTD return 23.97%, excess return 7.88%[9][14] - **中证 500 Enhanced Portfolio**: Weekly return 0.69%, monthly return 3.25%, YTD return 31.48%, excess return 6.26%[9][14] - **中证 1000 Enhanced Portfolio**: Weekly return 0.49%, monthly return 1.33%, YTD return 28.12%, excess return 5.09%[9][14] 2. Multi-Factor Portfolios - **Aggressive Portfolio (进取组合)**: Weekly return 3.36%, monthly return -2.71%, YTD return 75.17%, excess return 49.95%[10][11] - **Balanced Portfolio (平衡组合)**: Weekly return 1.59%, monthly return -3.88%, YTD return 57.75%, excess return 32.53%[10][11] 3. PB-Earnings Portfolio - Weekly return 2.63%, monthly return 0.45%, YTD return 22.97%, excess return 6.88%[31][32] 4. GARP Portfolio - Weekly return 2.58%, monthly return 1.93%, YTD return 38.61%, excess return 22.52%[34] 5. Small-Cap Value and Growth Portfolios - **Small-Cap Value Portfolio 1**: Weekly return 2.57%, monthly return -1.59%, YTD return 51.82%, excess return -28.51%[36] - **Small-Cap Value Portfolio 2**: Weekly return 1.98%, monthly return -3.13%, YTD return 57.03%, excess return -23.30%[38] - **Small-Cap Growth Portfolio**: Weekly return 1.00%, monthly return -1.60%, YTD return 67.78%, excess return -12.55%[40] --- Quantitative Factors and Construction Methods 1. Factor Name: Style Factors (市值, PB, PE_TTM) - **Factor Construction Idea**: Style factors capture characteristics such as size, value, and profitability, which are known to drive stock returns[43][44] - **Factor Construction Process**: - Stocks are ranked based on their factor values (e.g., market capitalization, PB ratio, PE ratio) - Portfolios are constructed by selecting the top and bottom 10% of stocks based on factor rankings - Long-short portfolios are created to calculate factor returns[42][43] - **Factor Evaluation**: Style factors demonstrate strong explanatory power for stock returns, with significant long-short portfolio returns[43][44] 2. Factor Name: Technical Factors (反转, 换手率, 波动率) - **Factor Construction Idea**: Technical factors capture short-term price movements and trading behaviors, such as reversals, turnover, and volatility[45][49] - **Factor Construction Process**: - Stocks are ranked based on their technical factor values (e.g., past returns, turnover rate, volatility) - Long-short portfolios are created to calculate factor returns[42][45] - **Factor Evaluation**: Technical factors show mixed performance, with some factors (e.g., turnover) delivering strong returns while others (e.g., reversals) underperform in certain periods[45][49] 3. Factor Name: Fundamental Factors (ROE, SUE, 预期净利润调整) - **Factor Construction Idea**: Fundamental factors capture company-level financial performance, such as profitability, earnings surprises, and earnings revisions[51][52] - **Factor Construction Process**: - Stocks are ranked based on their fundamental factor values (e.g., ROE, SUE, earnings revisions) - Long-short portfolios are created to calculate factor returns[42][51] - **Factor Evaluation**: Fundamental factors demonstrate strong performance, with significant long-short portfolio returns, especially for earnings-related factors[51][52] --- Factor Backtesting Results 1. Style Factors - **Market Cap (市值)**: Weekly long-short return 3.08%, YTD return 47.85% (全市场)[43][44] - **PB**: Weekly long-short return 2.66%, YTD return -9.25% (全市场)[43][44] - **PE_TTM**: Weekly long-short return 1.93%, YTD return 14.07% (全市场)[43][44] 2. Technical Factors - **Reversal (反转)**: Weekly long-short return 0.64%, YTD return 3.57% (全市场)[45][49] - **Turnover (换手率)**: Weekly long-short return 2.80%, YTD return 34.02% (全市场)[45][49] - **Volatility (波动率)**: Weekly long-short return 2.35%, YTD return 11.34% (全市场)[45][49] 3. Fundamental Factors - **ROE**: Weekly long-short return 0.57%, YTD return 2.13% (全市场)[51][52] - **SUE**: Weekly long-short return 0.15%, YTD return 22.06% (全市场)[51][52] - **Earnings Revisions (预期净利润调整)**: Weekly long-short return 0.32%, YTD return 16.37% (全市场)[51][52]