银行业研思录之十五：高成长银行回报有多高

目录高业绩增速能否有更高回报？ 3业绩预测能否带来更高回报？ 8风险提示 14插图目录 15表格目录 15高业绩增速能否有更高回报？银行股的长期回报最终需要基本面支撑。业绩增速较高的银行通常具有更强速的选股效果，我们首先使用财报披露后真实可得的数据构建策略指数。10%20%的银从回测结果看，高业绩增速策略能够提高银行组合的长期回报。2008年123120268410%20%指数分649%96112.1214.36%，均高于银行指数9.52%的年化回报。高利润增速银行前10%和前20%指数的夏普比率分别为0.30和0.410.2810%和前20%460%525%，10.2810.97%，同样高于银行指数。相比之下，高利润增速策略的长期回报相对更高。从年度表现看，20092026841820%1410%20%1010%920%10%组合在较长时间内实际只持有一家银行，单一个股的表现会对指数产生较大影响。2008123120%指数的优势较为稳定，除2009年末年化回报略低于银行指数0.4920268410%指数在早期表现相对一般，但自2018年末以来，不同10%策略的表现明显改善。以不同年末为起始点持有至2026年8月41820%10%指数分别15162008回报。果优于营收增速。当前基于真实可得财报数据高利润增速银行指数的入选样本为苏银行。图1：真实得径各数计净（2008-12-31基日指为1） 资料来源：Wind，国联民生证券研究所图2：真实得径各数化回率（2008-12-31至2026-08-04）

14.36%12.12%12.12%10.97%10.28%9.52%8.79%7.57%7.89% 资料来源：Wind，国联民生证券研究所指数年化收益率指数年化收益率年化波动率夏普比率最大回撤最大回撤起始日最大回撤截止日万得全A高利润增速银行_真实可得_前20%10.6114.36%27.54%0.4144.17%2009/11/162012/9/26-31.61%高利润增速银行_真实可得_前10%7.4912.12%30.16%0.3050.59%2009/7/302013/6/24-28.32%高营收增速银行_真实可得_前20%6.2510.97%27.50%0.2846.30%2015/6/82015/8/25-46.03%高营收增速银行_真实可得_前10%5.6010.28%29.83%0.2455.21%2009/7/242012/9/26-30.25%银行指数4.959.52%22.95%0.2839.57%2009/7/312012/9/26-31.57%万得全A4.418.79%23.80%0.2455.99%2015/6/122018/10/18-55.99%沪深300全收益3.617.57%22.39%0.2046.06%2015/6/82016/1/28-50.57%中证800全收益3.817.89%22.66%0.2148.53%2015/6/122016/1/28-52.23%资料来源：Wind，国联民生证券研究所日期银行_真实可得_前20%日期银行_真实可得_前20%银行_真实可得_前10%银行_真实可得_前20%银行_真实可得_前10%银行指数沪深300全收益_20%银行指数_10%银行指数_20%银行指数_10%银行指数2009/12/31109.56%94.57%128.37%89.13%110.04%98.58%-0.49%-15.47%18.33%-20.91%2010/12/31-26.71%-26.92%-28.67%-30.03%-26.98%-11.58%0.27%0.06%-1.69%-3.06%2011/12/30-3.85%-13.41%-6.81%-10.14%-4.89%-24.05%1.04%-8.52%-1.92%-5.25%2012/12/3116.20%11.71%20.90%14.40%13.99%9.80%2.22%-2.27%6.91%0.42%2013/12/317.63%-11.75%4.06%0.98%-3.77%-5.33%11.41%-7.98%7.84%4.76%2014/12/3178.25%65.79%75.87%60.67%77.16%55.85%1.10%-11.37%-1.28%-16.49%2015/12/3130.18%38.08%9.71%24.81%5.01%7.22%25.17%33.07%4.71%19.80%2016/12/304.29%-0.20%5.56%8.80%0.11%-9.26%4.18%-0.30%5.45%8.69%2017/12/2919.06%13.08%-7.82%-7.21%11.88%24.25%7.18%1.20%-19.70%-19.08%2018/12/28-6.98%-8.34%-15.78%-9.51%-14.76%-23.64%7.78%6.41%-1.02%5.24%2019/12/3139.50%49.36%16.68%11.14%24.05%39.19%15.45%25.32%-7.37%-12.91%2020/12/3114.30%25.13%17.89%11.99%-1.53%29.89%15.83%26.66%19.42%13.52%2021/12/31-6.49%-9.09%1.15%17.07%-4.16%-3.52%-2.34%-4.93%5.31%21.23%2022/12/30-0.08%2.33%6.17%8.93%-2.54%-19.84%2.46%4.87%8.71%11.47%2023/12/29-12.03%-16.83%-12.43%-11.72%-1.02%-9.14%-11.00%-15.80%-11.41%-10.69%2024/12/3140.02%45.36%29.69%34.74%37.55%18.24%2.46%7.81%-7.86%-2.81%2025/12/319.63%9.95%13.24%13.86%10.15%20.98%-0.51%-0.19%3.09%3.72%2026/8/46.57%12.74%8.92%3.54%1.90%-0.40%4.67%10.84%7.02%1.64%资料来源：Wind，国联民生证券研究所日期银行_真实可得_前20%日期银行_真实可得_前20%银行_真实可得_前10%银行_真实可得_前20%银行_真实可得_前10%银行指数沪深300全收益_20%银行指数_10%银行指数_20%银行指数_10%银行指数2009/12/31109.56%94.57%128.37%89.13%110.04%98.58%-0.49%-15.47%18.33%-20.91%2010/12/3123.93%19.25%27.63%15.04%23.85%32.51%0.09%-4.60%3.78%-8.81%2011/12/3013.89%7.19%14.94%5.95%13.42%10.08%0.47%-6.24%1.52%-7.48%2012/12/3114.44%8.29%16.38%7.99%13.54%10.00%0.90%-5.25%2.83%-5.55%2013/12/3113.05%3.95%13.81%6.55%9.85%6.75%3.20%-5.90%3.96%-3.30%2014/12/3121.96%12.36%22.36%14.10%18.95%13.69%3.01%-6.60%3.41%-4.86%2015/12/3123.10%15.71%20.47%15.57%16.85%12.74%6.25%-1.14%3.62%-1.29%2016/12/3020.58%13.59%18.50%14.70%14.62%9.73%5.96%-1.02%3.88%0.08%2017/12/2920.41%13.54%15.24%12.03%14.31%11.26%6.10%-0.77%0.93%-2.28%2018/12/2817.35%11.14%11.69%9.67%11.01%7.15%6.34%0.13%0.68%-1.34%2019/12/3119.19%14.16%12.12%9.80%12.13%9.72%7.07%2.03%0.00%-2.33%2020/12/3118.77%15.03%12.59%9.97%10.92%11.27%7.85%4.11%1.67%-0.95%2021/12/3116.61%12.97%11.67%10.50%9.68%10.06%6.93%3.29%1.99%0.82%2022/12/3015.33%12.17%11.27%10.39%8.76%7.60%6.57%3.41%2.51%1.63%2023/12/2913.27%9.96%9.51%8.76%8.08%6.39%5.19%1.88%1.43%0.68%2024/12/3114.78%11.89%10.67%10.22%9.72%7.09%5.06%2.17%0.95%0.51%2025/12/3114.47%11.78%10.82%10.43%9.74%7.86%4.72%2.03%1.07%0.69%2026/8/414.36%12.12%10.97%10.28%9.52%7.57%4.84%2.60%1.45%0.77%资料来源：Wind，国联民生证券研究所日期银行_真实可得_前20%日期银行_真实可得_前20%银行_真实可得_前10%银行_真实可得_前20%银行_真实可得_前10%银行指数沪深300全收益_20%银行指数_10%银行指数_20%银行指数_10%银行指数2008/12/311.001.001.001.001.001.000.000.000.000.002009/12/312.101.952.281.892.101.990.00-0.150.18-0.212010/12/311.541.421.631.321.531.760.00-0.110.10-0.212011/12/301.481.231.521.191.461.330.02-0.230.06-0.272012/12/311.721.381.841.361.661.460.05-0.290.17-0.302013/12/311.851.211.911.371.601.390.25-0.390.31-0.232014/12/313.292.013.362.212.832.160.46-0.820.52-0.632015/12/314.292.783.692.752.982.321.31-0.200.71-0.222016/12/304.472.773.893.002.982.101.49-0.210.910.022017/12/295.323.143.592.783.332.611.99-0.200.25-0.552018/12/284.952.873.022.522.841.992.110.030.18-0.332019/12/316.914.293.522.803.522.783.380.770.00-0.732020/12/317.895.374.153.133.473.614.421.900.68-0.342021/12/317.384.884.203.673.333.484.051.560.880.342022/12/307.375.004.463.993.242.794.131.761.220.752023/12/296.494.163.913.533.212.533.280.950.700.322024/12/319.086.045.074.754.413.004.671.630.650.342025/12/319.966.645.745.414.863.625.101.780.880.552026/8/410.617.496.255.604.953.615.662.541.290.65资料来源：Wind，国联民生证券研究所起始日期2008/12/31银行_真实可得_前20%起始日期2008/12/31银行_真实可得_前20%银行_真实可得_前10%银行_真实可得_前20%银行_真实可得_前10%银行指数沪深300全收益_20%银行指数_10%银行指数_20%银行指数_10%银行指数14.36%12.12%10.97%10.28%9.52%7.57%4.84%2.60%1.45%0.77%2009/12/3110.26%8.46%6.25%6.76%5.30%3.67%4.96%3.15%0.95%1.45%2010/12/3113.19%11.24%9.00%9.69%7.80%4.73%5.38%3.43%1.19%1.88%2011/12/3014.46%13.16%10.17%11.19%8.73%7.06%5.73%4.43%1.44%2.46%2012/12/3114.34%13.27%9.43%10.97%8.36%6.86%5.98%4.91%1.07%2.61%2013/12/3114.89%15.54%9.86%11.80%9.39%7.89%5.50%6.15%0.48%2.42%2014/12/3110.62%12.00%5.50%8.36%4.93%4.53%5.68%7.06%0.57%3.43%2015/12/318.93%9.81%5.11%6.92%4.92%4.28%4.01%4.88%0.18%2.00%2016/12/309.43%10.90%5.06%6.73%5.44%5.80%3.99%5.46%-0.38%1.29%2017/12/298.35%10.65%6.67%8.48%4.71%3.84%3.64%5.94%1.96%3.77%2018/12/2810.55%13.42%10.03%11.09%7.58%8.12%2.96%5.84%2.45%3.51%2019/12/316.73%8.80%9.07%11.10%5.30%4.06%1.43%3.51%3.78%5.81%2020/12/315.44%6.12%7.57%10.95%6.57%0.02%-1.13%-0.45%1.00%4.38%2021/12/318.23%9.76%9.02%9.66%9.06%0.81%-0.83%0.70%-0.04%0.60%2022/12/3010.65%11.91%9.82%9.86%12.51%7.44%-1.86%-0.61%-2.69%-2.65%2023/12/2920.84%25.42%19.80%19.48%18.18%14.59%2.66%7.24%1.62%1.30%2024/12/3110.27%14.45%14.08%10.90%7.53%12.43%2.74%6.92%6.56%3.37%2025/12/3111.35%22.47%15.53%6.06%3.24%-0.67%8.11%19.23%12.29%2.82%资料来源：Wind，国联民生证券研究所业绩预测能否带来更高回报？高业绩增速银行可能在财报正式披露前已经开始上涨，财报公告当日也可能出现如果研究员能够在报告期结束后、财报披露前较准确地判断各家银行业绩增相较于财报披露后选股，提前预测业绩增速排序能否进一步提高组合回报。具体来看，我们假设研究员能够在每个报告期结束时准确判断各家银行当期归母净利润增速和营业收入增速的相对排序，并从报告期结束后的第一个交易日1020%回测结果显示，提前预测业绩增速排序能够显著提高组合回报。2008年123120268410%20%指数分2254%2035%，19.6618.99%，较对应的真7.544.630.54明显高于真实可得策略的0.30和0.41。季末预测高营收增速银行前10%和前20%指数分别累计上涨1025%和827%，年化回报分别为14.74%和13.49%，较对应的真实可得策略分别提高4.46和2.52个百分点，夏普比率分别为0.39和0.38。相比营收增速，利润增速预测带来的回报提升更加明显。从年度表现看，20092026841810%和前20%指数分别有15和16个年度跑赢对应的真实可得指数；季末预测高营收增速前10%和前20%指数分别有13和11个年度跑赢对应的真实可得指数。从统一起点、不同截止日的结果看，预测策略的优势具有较好的稳定性。以20081231200920%10从不同起始日持有至2026年8月4日的结果看，利润增速预测策略的表现2008202520%10速预测策略在多数起点下也具有优势，但在部分较近的起始时点表现不及真实可得策略，其稳定性弱于利润增速预测策略。总体来看，基于真实可得数据筛选出的高业绩增速银行已经可以获取更高回图3：高利增指累净（2008-12-31为日指为1） 资料来源：Wind，国联民生证券研究所图4：高营增指累净（2008-12-31为日指为1） 资料来源：Wind，国联民生证券研究所图5：各类数化报（2008-12-31至2026-08-04） 25.00%14.36%13.49%14.36%13.49%14.74%10.97%10.28%9.52%12.12%15.00%

18.99% 19.66%10.00%5.00%0.00%资料来源：Wind，国联民生证券研究所指数截止日标准化指数净值年化收益率年化波动率指数截止日标准化指数净值年化收益率年化波动率夏普比率最大回撤最大回撤起始日最大回撤截止日全A收益高利润增速银行_真实可得_前20%10.6114.36%27.54%0.4144.17%2009/11/162012/9/26-31.61%高利润增速银行_真实可得_前10%7.4912.12%30.16%0.3050.59%2009/7/302013/6/24-28.32%高利润增速银行_季末预测_前20%21.3518.99%27.68%0.5745.07%2015/6/82015/8/25-46.03%高利润增速银行_季末预测_前10%23.5419.66%30.52%0.5446.45%2015/6/302015/8/25-33.10%高营收增速银行_真实可得_前20%6.2510.97%27.50%0.2846.30%2015/6/82015/8/25-46.03%高营收增速银行_真实可得_前10%5.6010.28%29.83%0.2455.21%2009/7/242012/9/26-30.25%高营收增速银行_季末预测_前20%9.2713.49%27.37%0.3839.56%2015/6/82015/8/25-46.03%高营收增速银行_季末预测_前10%11.2514.74%30.12%0.3946.45%2015/6/302015/8/25-33.10%银行指数4.959.52%22.95%0.2839.57%2009/7/312012/9/26-31.57%资料来源：Wind，国联民生证券研究所日期高利润增速银行_真实可得高营收增速银行_真实可得日期高利润增速银行_真实可得高营收增速银行_真实可得高利润增速银行_季末预测高营收增速银行_季末预测银行指数高利润增速银行_季末预测【减】真实可得季末预测【减】真实可得前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%94.57%89.13%117.94%8.39%36.98%0.61%29.43%-26.71%-26.92%-28.67%-30.03%-15.55%-14.72%-24.34%-17.07%-26.98%11.16%12.20%4.33%12.97%-3.85%-13.41%-6.81%-10.14%5.09%-8.15%9.71%-0.10%-4.89%8.94%5.26%16.52%10.04%16.20%11.71%20.90%14.40%19.73%14.21%18.33%16.40%13.99%3.53%2.49%-2.57%1.99%7.63%-11.75%4.06%0.98%4.39%-8.78%5.81%5.66%-3.77%-3.24%2.97%1.75%4.68%78.25%65.79%75.87%60.67%98.47%72.14%64.09%77.16%20.21%46.29%-3.73%3.42%30.18%38.08%9.71%24.81%17.04%23.39%21.09%24.81%5.01%-13.14%-14.68%11.38%0.00%4.29%-0.20%5.56%8.80%4.33%4.06%5.27%13.79%0.11%0.04%4.26%-0.29%4.99%19.06%13.08%-7.82%-7.21%20.59%4.83%-6.31%-10.81%11.88%1.54%-8.25%1.51%-3.60%-6.98%-8.34%-15.78%-9.51%-6.69%-6.86%-16.95%-8.33%-14.76%0.29%1.48%-1.18%1.18%39.50%49.36%16.68%11.14%43.29%49.10%25.77%21.32%24.05%3.79%-0.26%9.10%10.18%14.30%25.13%17.89%11.99%17.86%34.05%19.55%26.14%-1.53%3.56%8.92%1.66%14.15%-6.49%-9.09%1.15%17.07%7.74%2.15%6.74%18.23%-4.16%14.24%11.24%5.58%1.15%-0.08%2.33%6.17%8.93%9.90%24.73%3.95%7.88%-2.54%9.98%22.40%-2.22%-1.04%-12.03%-16.83%-12.43%-11.72%-9.23%-6.11%-11.97%-6.91%-1.02%2.80%10.71%0.47%4.80%40.02%45.36%29.69%34.74%42.00%50.16%27.25%23.08%37.55%1.98%4.79%-2.44%-11.66%9.63%9.95%13.24%13.86%16.69%13.52%14.39%17.04%10.15%7.05%3.57%1.15%3.18%2026/8/46.57%12.74%8.92%3.54%7.68%14.98%6.76%1.34%1.90%1.11%2.24%-2.16%-2.20%资料来源：Wind，国联民生证券研究所日期高利润增速银行_真实可得高营收增速银行_真实可得日期高利润增速银行_真实可得高营收增速银行_真实可得高利润增速银行_季末预测高营收增速银行_季末预测银行指数季末季末前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%2009/12/31109.56%94.57%128.37%89.13%117.94%131.55%128.98%118.56%110.04%8.39%36.98%0.61%29.43%2010/12/3123.93%19.25%27.63%15.04%35.67%40.52%31.63%34.63%23.85%11.74%21.28%4.00%19.60%2011/12/3013.89%7.19%14.94%5.95%24.62%21.98%23.90%21.91%13.42%10.73%14.79%8.95%15.96%2012/12/3114.44%8.29%16.38%7.99%23.34%19.95%22.45%20.48%13.54%8.90%11.66%6.07%12.48%2013/12/3113.05%3.95%13.81%6.55%19.30%13.56%18.92%17.36%9.85%6.25%9.61%5.12%10.80%2014/12/3121.96%12.36%22.36%14.10%29.86%26.02%26.48%24.10%18.95%7.90%13.66%4.12%10.00%2015/12/3123.10%15.71%20.47%15.57%27.94%25.64%25.70%24.20%16.85%4.84%9.93%5.22%8.63%2016/12/3020.58%13.59%18.50%14.70%24.72%22.71%22.94%22.85%14.62%4.15%9.12%4.44%8.15%2017/12/2920.41%13.54%15.24%12.03%24.27%20.59%19.29%18.56%14.31%3.85%7.05%4.05%6.53%2018/12/2817.35%11.14%11.69%9.67%20.76%17.52%15.05%15.55%11.01%3.41%6.38%3.36%5.88%2019/12/3119.19%14.16%12.12%9.80%22.64%20.08%15.98%16.05%12.13%3.44%5.92%3.85%6.26%2020/12/3118.77%15.03%12.59%9.97%22.23%21.18%16.27%16.86%10.92%3.45%6.15%3.68%6.88%2021/12/3116.61%12.97%11.67%10.50%21.05%19.60%15.50%16.96%9.68%4.44%6.63%3.84%6.46%2022/12/3015.33%12.17%11.27%10.39%20.22%19.96%14.64%16.29%8.76%4.88%7.79%3.37%5.90%2023/12/2913.27%9.96%9.51%8.76%17.99%18.02%12.64%14.58%8.08%4.72%8.06%3.14%5.82%2024/12/3114.78%11.89%10.67%10.22%19.35%19.80%13.50%15.09%9.72%4.58%7.91%2.83%4.87%2025/12/3114.47%11.78%10.82%10.43%19.20%19.42%13.55%15.20%9.74%4.73%7.65%2.73%4.77%2026/8/414.36%12.12%10.97%10.28%18.99%19.66%13.49%14.74%9.52%4.63%7.54%2.52%4.46%资料来源：Wind，国联民生证券研究所日期高利润增速银行_真实可得高营收增速银行_真实可得日期高利润增速银行_真实可得高营收增速银行_真实可得高利润增速银行_季末预测_季末预测银行指数季末测【减】真实可得前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%2008/12/311.001.001.001.001.001.001.001.001.000.000.000.000.002009/12/312.101.952.281.892.182.322.292.192.100.080.370.010.292010/12/311.541.421.631.321.841.971.731.811.530.300.550.100.492011/12/301.481.231.521.191.931.811.901.811.460.460.580.380.622012/12/311.721.381.841.362.322.072.252.111.660.600.700.410.752013/12/311.851.211.911.372.421.892.382.231.600.570.680.470.852014/12/313.292.013.362.214.804.014.103.652.831.511.990.741.452015/12/314.292.783.692.755.624.944.964.562.981.332.171.281.812016/12/304.472.773.893.005.865.155.225.192.981.392.371.332.192017/12/295.323.143.592.787.075.394.894.633.331.742.261.311.852018/12/284.952.873.022.526.595.024.064.242.841.642.151.041.732019/12/316.914.293.522.809.457.495.115.153.522.543.201.592.352020/12/317.895.374.153.1311.1310.046.116.493.473.244.671.963.362021/12/317.384.884.203.6712.0010.266.527.683.334.625.372.324.012022/12/307.375.004.463.9913.1812.796.788.283.245.817.802.324.292023/12/296.494.163.913.5311.9712.015.977.713.215.487.852.064.182024/12/319.086.045.074.7516.9918.037.599.494.417.9111.992.534.742025/12/319.966.645.745.4119.8320.478.6911.114.869.8713.832.955.702026/8/410.617.496.255.6021.3523.549.2711.254.9510.7416.053.025.65资料来源：Wind，国联民生证券研究所日期高利润增速银行_真实可得高营收增速银行_真实可得日期高利润增速银行_真实可得高营收增速银行_真实可得高利润增速银行_季末预测高营收增速银行_季末预测银行指数季末季末前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%前20%前10%2008/12/3114.36%12.12%10.97%10.28%18.99%19.66%13.49%14.74%9.52%4.63%7.54%2.52%4.46%2009/12/3110.26%8.46%6.25%6.76%14.73%14.99%8.79%10.37%5.30%4.47%6.53%2.54%3.62%2010/12/3113.19%11.24%9.00%9.69%17.01%17.21%11.35%12.42%7.80%3.82%5.98%2.35%2.73%2011/12/3014.46%13.16%10.17%11.19%17.87%19.18%11.46%13.32%8.73%3.41%6.03%1.29%2.13%2012/12/3114.34%13.27%9.43%10.97%17.74%19.57%10.98%13.11%8.36%3.41%6.30%1.55%2.14%2013/12/3114.89%15.54%9.86%11.80%18.87%22.16%11.40%13.72%9.39%3.99%6.63%1.53%1.92%2014/12/3110.62%12.00%5.50%8.36%13.73%16.49%7.30%10.18%4.93%3.12%4.49%1.80%1.82%2015/12/318.93%9.81%5.11%6.92%13.43%15.86%6.08%8.90%4.92%4.50%