Quantitative Models and Construction Methods - **Model Name**: Value Smart Beta Portfolio **Model Construction Idea**: The Value Smart Beta portfolios are constructed based on the goal of achieving high beta elasticity and long-term stable excess returns. The portfolios are designed to capture the value style with low historical correlation to other styles[7] **Model Construction Process**: Two portfolios are constructed under the value style: the "Value 50 Portfolio" and the "Value Balanced 50 Portfolio". These portfolios are selected and weighted to optimize for the value factor while maintaining diversification and minimizing correlation with other factors[7] **Model Evaluation**: The Value Smart Beta portfolios demonstrate a focus on capturing value-oriented excess returns, but their performance is sensitive to market conditions[7] - **Model Name**: Growth Smart Beta Portfolio **Model Construction Idea**: The Growth Smart Beta portfolios aim to capture the growth style with high beta elasticity and long-term stable excess returns. These portfolios are designed to have low historical correlation with other styles[7] **Model Construction Process**: Two portfolios are constructed under the growth style: the "Growth 50 Portfolio" and the "Growth Balanced 50 Portfolio". The portfolios are optimized to emphasize growth characteristics while maintaining diversification[7] **Model Evaluation**: The Growth Smart Beta portfolios are effective in capturing growth-oriented returns but may underperform in value-dominated market conditions[7] - **Model Name**: Small-Cap Smart Beta Portfolio **Model Construction Idea**: The Small-Cap Smart Beta portfolios are designed to capture the small-cap style with high beta elasticity and long-term stable excess returns. These portfolios are constructed to have low historical correlation with other styles[7] **Model Construction Process**: Two portfolios are constructed under the small-cap style: the "Small-Cap 50 Portfolio" and the "Small-Cap Balanced 50 Portfolio". The portfolios are optimized to emphasize small-cap characteristics while maintaining diversification[7] **Model Evaluation**: The Small-Cap Smart Beta portfolios show strong performance in capturing small-cap excess returns, particularly in favorable market environments[7] --- Model Backtesting Results - **Value 50 Portfolio**: - Weekly Absolute Return: -2.12% - Weekly Excess Return: -0.41% - Monthly Absolute Return: 0.20% - Monthly Excess Return: 0.33% - Year-to-Date Absolute Return: 12.44% - Year-to-Date Excess Return: 8.78% - Maximum Relative Drawdown: 2.35%[8] - **Value Balanced 50 Portfolio**: - Weekly Absolute Return: -0.46% - Weekly Excess Return: 1.26% - Monthly Absolute Return: 0.48% - Monthly Excess Return: 0.61% - Year-to-Date Absolute Return: 10.16% - Year-to-Date Excess Return: 6.50% - Maximum Relative Drawdown: 3.99%[8] - **Growth 50 Portfolio**: - Weekly Absolute Return: -1.48% - Weekly Excess Return: 0.68% - Monthly Absolute Return: -0.71% - Monthly Excess Return: -0.31% - Year-to-Date Absolute Return: 4.50% - Year-to-Date Excess Return: 2.38% - Maximum Relative Drawdown: 3.61%[8] - **Growth Balanced 50 Portfolio**: - Weekly Absolute Return: -1.64% - Weekly Excess Return: 0.53% - Monthly Absolute Return: 0.06% - Monthly Excess Return: 0.46% - Year-to-Date Absolute Return: 8.71% - Year-to-Date Excess Return: 6.59% - Maximum Relative Drawdown: 6.11%[8] - **Small-Cap 50 Portfolio**: - Weekly Absolute Return: 1.25% - Weekly Excess Return: 1.43% - Monthly Absolute Return: 1.07% - Monthly Excess Return: 0.85% - Year-to-Date Absolute Return: 36.52% - Year-to-Date Excess Return: 19.90% - Maximum Relative Drawdown: 6.23%[8] - **Small-Cap Balanced 50 Portfolio**: - Weekly Absolute Return: -1.09% - Weekly Excess Return: -0.90% - Monthly Absolute Return: 0.61% - Monthly Excess Return: 0.39% - Year-to-Date Absolute Return: 26.60% - Year-to-Date Excess Return: 9.98% - Maximum Relative Drawdown: 4.56%[8]

Quantitative Models and Construction Methods - **Model Name**: Value Smart Beta Portfolio **Model Construction Idea**: The model selects stocks based on the value style, aiming for high beta elasticity and long-term stable excess returns[8] **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 with low historical correlation and aligning with the value style. The detailed construction process is based on the methodology outlined in the October 5, 2024, report on Smart Beta portfolio construction[8] - **Model Name**: Growth Smart Beta Portfolio **Model Construction Idea**: The model focuses on the growth style, targeting high beta elasticity and long-term stable excess returns[8] **Model Construction Process**: The Growth Smart Beta Portfolio includes two sub-portfolios: Growth 50 Portfolio and Growth Balanced 50 Portfolio. Stocks are selected based on their alignment with the growth style and low historical correlation. The methodology follows the principles outlined in the October 5, 2024, report on Smart Beta portfolio construction[8] - **Model Name**: Small-Cap Smart Beta Portfolio **Model Construction Idea**: The model emphasizes the small-cap style, aiming for high beta elasticity and long-term stable excess returns[8] **Model Construction Process**: The Small-Cap Smart Beta Portfolio includes two sub-portfolios: Small-Cap 50 Portfolio and Small-Cap Balanced 50 Portfolio. Stocks are chosen based on their small-cap characteristics and low historical correlation. The construction process adheres to the methodology described in the October 5, 2024, report on Smart Beta portfolio construction[8] Model Backtesting Results - **Value Smart Beta Portfolio** - **Value 50 Portfolio**: - Weekly Absolute Return: 0.09% - Weekly Excess Return: -1.24% - Monthly Absolute Return: 3.51% - Monthly Excess Return: 0.03% - Year-to-Date Absolute Return: 14.88% - Year-to-Date Excess Return: 9.41% - Maximum Relative Drawdown: 2.34%[9] - **Value Balanced 50 Portfolio**: - Weekly Absolute Return: 1.72% - Weekly Excess Return: 0.39% - Monthly Absolute Return: 5.31% - Monthly Excess Return: 1.82% - Year-to-Date Absolute Return: 10.67% - Year-to-Date Excess Return: 5.20% - Maximum Relative Drawdown: 3.99%[9] - **Growth Smart Beta Portfolio** - **Growth 50 Portfolio**: - Weekly Absolute Return: 1.67% - Weekly Excess Return: -1.12% - Monthly Absolute Return: 5.00% - Monthly Excess Return: -1.20% - Year-to-Date Absolute Return: 6.07% - Year-to-Date Excess Return: 1.69% - Maximum Relative Drawdown: 3.61%[9] - **Growth Balanced 50 Portfolio**: - Weekly Absolute Return: 1.19% - Weekly Excess Return: -1.60% - Monthly Absolute Return: 2.09% - Monthly Excess Return: -4.12% - Year-to-Date Absolute Return: 10.52% - Year-to-Date Excess Return: 6.14% - Maximum Relative Drawdown: 6.11%[9] - **Small-Cap Smart Beta Portfolio** - **Small-Cap 50 Portfolio**: - Weekly Absolute Return: 1.30% - Weekly Excess Return: -0.82% - Monthly Absolute Return: 9.84% - Monthly Excess Return: 4.30% - Year-to-Date Absolute Return: 34.84% - Year-to-Date Excess Return: 18.00% - Maximum Relative Drawdown: 6.23%[9] - **Small-Cap Balanced 50 Portfolio**: - Weekly Absolute Return: 1.82% - Weekly Excess Return: -0.29% - Monthly Absolute Return: 5.54% - Monthly Excess Return: 0.00% - Year-to-Date Absolute Return: 27.99% - Year-to-Date Excess Return: 11.15% - Maximum Relative Drawdown: 4.56%[9]

Core Insights - The report indicates a high probability of a slight rebound in the market next week, based on quantitative timing and crowding alerts [2] - The performance of small-cap factors has seen a pullback, while other common stock selection factors have generally yielded positive returns [2] Summary by Sections Value Smart Beta Portfolio - For the week of March 24 to March 28, 2025, the Value 50 portfolio achieved a weekly return of 0.70%, while the Value Equal Weight 50 portfolio had a return of 1.02% [3][8] - The excess returns relative to the benchmark indices were 0.64% for the Value 50 portfolio and 0.97% for the Value Equal Weight 50 portfolio [3][8] - Year-to-date, the Value 50 portfolio has a return of 1.10% and the Value Equal Weight 50 portfolio has a return of 2.85% [8] Growth Smart Beta Portfolio - The Growth 50 portfolio recorded a weekly return of 0.77%, and the Growth Equal Weight 50 portfolio had a return of 0.39% for the same week [3][8] - The excess returns compared to the benchmark were 1.08% for the Growth 50 portfolio and 0.70% for the Growth Equal Weight 50 portfolio [3][8] - Year-to-date performance shows a return of 3.29% for the Growth 50 portfolio and 8.71% for the Growth Equal Weight 50 portfolio [8] Small Cap Smart Beta Portfolio - The Small Cap 50 portfolio experienced a significant weekly decline of -5.63%, while the Small Cap Equal Weight 50 portfolio fell by -2.30% [3][8] - The excess returns relative to the benchmark were -2.65% for the Small Cap 50 portfolio and 0.69% for the Small Cap Equal Weight 50 portfolio [3][8] - Year-to-date, the Small Cap 50 portfolio has a return of 7.22%, and the Small Cap Equal Weight 50 portfolio has a return of 11.92% [8]

- Model Name: Value Smart Beta Portfolio; Model Construction Idea: Based on high beta elasticity and long-term stable excess returns, selecting historically low-correlated value style; Model Construction Process: Constructed Value 50 Portfolio and Value Balanced 50 Portfolio based on the above idea[9]; Model Evaluation: Demonstrates stable performance with excess returns over the benchmark[9] - Model Name: Growth Smart Beta Portfolio; Model Construction Idea: Based on high beta elasticity and long-term stable excess returns, selecting historically low-correlated growth style; Model Construction Process: Constructed Growth 50 Portfolio and Growth Balanced 50 Portfolio based on the above idea[9]; Model Evaluation: Shows potential for high returns with some volatility[9] - Model Name: Small Cap Smart Beta Portfolio; Model Construction Idea: Based on high beta elasticity and long-term stable excess returns, selecting historically low-correlated small cap style; Model Construction Process: Constructed Small Cap 50 Portfolio and Small Cap Balanced 50 Portfolio based on the above idea[9]; Model Evaluation: High returns with higher risk compared to other styles[9] Model Backtest Results - Value Smart Beta Portfolio, Weekly Return: 1.57%, Monthly Return: 1.57%, Yearly Return: -1.44%, Excess Return: 0.26%, Maximum Relative Drawdown: 2.26%[10] - Value Balanced 50 Portfolio, Weekly Return: 2.67%, Monthly Return: 2.67%, Yearly Return: -0.76%, Excess Return: 1.36%, Maximum Relative Drawdown: 3.99%[10] - Growth Smart Beta Portfolio, Weekly Return: 0.64%, Monthly Return: 0.64%, Yearly Return: 3.96%, Excess Return: -1.09%, Maximum Relative Drawdown: 2.49%[10] - Growth Balanced 50 Portfolio, Weekly Return: 2.40%, Monthly Return: 2.40%, Yearly Return: 10.72%, Excess Return: 0.66%, Maximum Relative Drawdown: 1.77%[10] - Small Cap Smart Beta Portfolio, Weekly Return: 1.68%, Monthly Return: 1.68%, Yearly Return: 8.39%, Excess Return: -2.32%, Maximum Relative Drawdown: 6.23%[10] - Small Cap Balanced 50 Portfolio, Weekly Return: 4.67%, Monthly Return: 4.67%, Yearly Return: 13.21%, Excess Return: 0.67%, Maximum Relative Drawdown: 3.67%[10]