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]

- 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 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]

- 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]