银行业银行研思录之十六：低估值银行回报有多高

目录低估值银行能否取得高回报？ 3超额拨备还原能否提高回报？ 7调整换仓频率能否提高回报？ 13风险提示 18插图目录 19表格目录 19低估值银行能否取得高回报？率依然有较大差距，在本节中，我们首先考察低估值银行能否取得更高回报。430日、8月31日、10月31日的PE（TTM、PB和股息率对A股上市银行进行排序，分别选取PE（TTM）最低、PB最低和股息率最高的前10%和前20%银行，PEPB低估值策略能够提高银行组合的长期回报20081231202687PE（TTM）10%20%银行指数分别累计上涨639%和1006%，年化回报分别为12.03%和14.62%，夏普比率分别为0.37和0.50PB10%20%银行指数分别累计上涨307%622%，年化回报分别为8.30%和11.88%，夏普比率分别为0.21和0.39；高股息率前10%和前20%银行指数分别累计上涨842%和539%13.58%和11.11%，夏普比率分别为0.50和0.393919.46%，0.28PB10%组合外，其余五类低估值组合的年20%10%组合表现相对较好。从年度表现看，2009年至2026年8月7日的18个年度区间中，低PE20%15PB20%1110%13图1：各指累净（2008-12-31为日，为1） 资料来源：Wind，国联民生证券研究所图2：各指年回率（2008-12-31至2026-08-07） 14.62%13.58%12.03%14.62%13.58%12.03%11.88%11.11%8.30%9.46%14.00%12.00%10.00%8.00%6.00%4.00%2.00%0.00%资料来源：Wind，国联民生证券研究所指数截止日指数净值年化收益率指数截止日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最大回撤期间万得全A收益低PE（TTM）银行_前20%11.0614.62%23.14%0.5037.83%2009/7/312012/9/26-31.57%低PE（TTM）银行_前10%7.3912.03%23.74%0.3739.18%2009/7/312010/7/1-24.43%低PB银行_前20%7.2211.88%22.66%0.3936.18%2015/6/92015/8/25-45.88%低PB银行_前10%4.078.30%24.25%0.2146.28%2015/6/92015/8/25-45.88%高股息率银行_前20%6.3911.11%20.25%0.3933.80%2015/7/72015/8/25-13.38%高股息率银行_前10%9.4213.58%20.79%0.5032.23%2015/7/72015/8/25-13.38%银行指数4.919.46%22.94%0.2839.64%2009/7/312012/9/26-31.57%万得全A4.579.02%23.80%0.2555.99%2015/6/122018/10/18-55.99%沪深300全收益3.737.76%22.38%0.2146.06%2015/6/82016/1/28-50.57%中证800全收益3.988.16%22.66%0.2248.53%2015/6/122016/1/28-52.23%资料来源：Wind，国联民生证券研究所日期2009/12/31低PE（TTM）银行_前20%低PE日期2009/12/31低PE（TTM）银行_前20%低PE（TTM）银行_前10%低PB银行_前20%低PB银行_前10%高股息率银行_前20%高股息率银行_前10%银行指数沪深300全收益低PE（TTM）银行_前20%【减】银行指数低PB银行_前20%【减】银行指数高股息率银行_前10%【减】银行指数164.68%143.24%95.86%72.92%105.66%121.13%110.04%98.58%54.64%-14.18%11.09%2010/12/31-22.67%-21.58%-15.93%-7.43%-21.48%-22.77%-26.98%-11.58%4.31%11.05%4.21%2011/12/30-3.27%-6.78%2.46%6.82%0.35%1.87%-5.01%-24.05%1.73%7.46%6.88%2012/12/3125.15%36.76%19.93%16.22%8.66%14.63%13.99%9.80%11.17%5.94%0.65%2013/12/313.44%-2.97%7.68%-10.04%-1.61%4.22%-3.77%-5.33%7.22%11.46%7.99%2014/12/3175.67%76.43%104.54%89.73%63.29%76.83%77.16%55.85%-1.49%27.38%-0.33%2015/12/317.77%1.42%1.90%4.93%-7.16%-8.39%5.01%7.22%2.76%-3.10%-13.40%2016/12/305.73%12.00%0.85%-6.31%0.40%12.00%0.11%-9.26%5.62%0.74%11.89%2017/12/2921.54%26.63%15.64%12.45%28.72%28.97%12.51%24.25%9.03%3.13%16.45%2018/12/28-11.97%-14.32%-8.99%-10.98%-7.43%-7.72%-14.45%-23.64%2.48%5.47%6.73%2019/12/3124.26%12.71%9.43%11.10%15.46%23.80%24.03%39.19%0.23%-14.60%-0.23%2020/12/31-6.41%-14.31%-9.00%-14.22%-2.42%-9.41%-1.30%29.89%-5.11%-7.70%-8.11%2021/12/31-0.99%1.03%-5.07%-5.71%-4.15%-3.11%-4.12%-3.52%3.13%-0.95%1.01%2022/12/302.27%0.42%1.01%-1.95%6.09%5.95%-2.45%-19.84%4.72%3.46%8.40%2023/12/2911.61%5.46%12.47%7.22%11.53%20.45%-1.01%-9.14%12.61%13.48%21.46%2024/12/3141.39%35.22%42.68%38.65%49.89%44.55%37.55%18.24%3.84%5.12%7.00%2025/12/317.66%4.40%0.74%-4.29%3.65%0.08%10.15%20.98%-2.49%-9.40%-10.07%2026/8/70.78%-1.32%-2.96%-2.71%2.43%4.60%-0.20%2.94%0.97%-2.77%4.80%资料来源：Wind，国联民生证券研究所截至日期低PE（TTM）银行_前20%低PE截至日期低PE（TTM）银行_前20%低PE（TTM）银行_前10%低PB银行_前20%低PB银行_前10%高股息率银行_前20%高股息率银行_前10%银行指数沪深300全收益低PE（TTM）银行_前20%【减】银行指数低PB银行_前20%【减】银行指数高股息率银行_前10%【减】银行指数2009/12/31164.68%143.24%95.86%72.92%105.66%121.13%110.04%98.58%54.64%-14.18%11.09%2010/12/3143.07%38.11%28.32%26.52%27.08%30.68%23.85%32.51%19.22%4.47%6.84%2011/12/3025.59%21.17%19.06%19.60%17.48%20.29%13.38%10.08%12.21%5.68%6.91%2012/12/3125.44%24.86%19.25%18.72%15.19%18.82%13.51%10.00%11.93%5.74%5.31%2013/12/3120.70%18.72%16.84%12.31%11.61%15.75%9.82%6.75%10.88%7.02%5.92%2014/12/3128.49%26.82%28.27%22.56%18.92%24.21%18.93%13.69%9.56%9.34%5.28%2015/12/3125.30%22.84%24.12%19.88%14.79%18.93%16.83%12.74%8.47%7.29%2.09%2016/12/3022.67%21.43%20.94%16.24%12.88%18.04%14.60%9.73%8.07%6.34%3.44%2017/12/2922.55%22.00%20.35%15.82%14.54%19.21%14.37%11.26%8.18%5.98%4.84%2018/12/2818.57%17.77%17.04%12.82%12.13%16.20%11.10%7.15%7.47%5.94%5.10%2019/12/3119.06%17.29%16.31%12.65%12.42%16.86%12.21%9.72%6.85%4.10%4.65%2020/12/3116.69%14.26%13.95%10.12%11.10%14.40%11.01%11.27%5.68%2.94%3.39%2021/12/3115.23%13.18%12.37%8.81%9.85%12.95%9.77%10.06%5.46%2.60%3.18%2022/12/3014.25%12.22%11.52%8.01%9.58%12.44%8.85%7.60%5.40%2.67%3.59%2023/12/2914.08%11.76%11.58%7.96%9.71%12.96%8.17%6.39%5.91%3.42%4.79%2024/12/3115.61%13.09%13.30%9.65%11.86%14.71%9.80%7.09%5.81%3.51%4.91%2025/12/3115.13%12.56%12.52%8.78%11.36%13.79%9.82%7.86%5.31%2.70%3.97%2026/8/714.62%12.03%11.88%8.30%11.11%13.58%9.46%7.76%5.17%2.42%4.12%资料来源：Wind，国联民生证券研究所日期低PE（TTM）银行_前20%低PE（TTM）银行_前10%日期低PE（TTM）银行_前20%低PE（TTM）银行_前10%低PB银行_前20%低PB银行_前10%高股息率银行_前20%高股息率银行_前10%银行指数沪深300全收益低PE（TTM）银行_前20%【减】银行指数低PB银行_前20%【减】银行指数高股息率银行_前10%【减】银行指数2008/12/3114.62%12.03%11.88%8.30%11.11%13.58%9.46%7.76%5.17%2.42%4.12%2009/12/318.99%6.92%8.17%5.29%7.06%9.11%5.24%3.87%3.75%2.93%3.87%2010/12/3111.42%9.06%9.93%6.16%9.21%11.56%7.74%4.95%3.68%2.19%3.82%2011/12/3012.50%10.24%10.46%6.12%9.84%12.25%8.67%7.29%3.83%1.79%3.58%2012/12/3111.62%8.51%9.80%5.41%9.93%12.08%8.29%7.12%3.33%1.51%3.79%2013/12/3112.30%9.47%9.97%6.75%10.90%12.73%9.31%8.17%2.99%0.66%3.42%2014/12/318.05%5.06%4.24%1.59%7.27%8.44%4.86%4.82%3.20%-0.61%3.59%2015/12/318.08%5.41%4.47%1.28%8.74%10.18%4.84%4.60%3.24%-0.37%5.34%2016/12/308.33%4.75%4.85%2.10%9.65%9.99%5.35%6.16%2.98%-0.49%4.65%2017/12/296.89%2.47%3.66%0.96%7.62%7.98%4.54%4.23%2.34%-0.88%3.43%2018/12/289.64%4.90%5.45%2.64%9.77%10.22%7.33%8.58%2.31%-1.88%2.89%2019/12/317.60%3.78%4.87%1.42%8.95%8.32%5.02%4.58%2.58%-0.15%3.30%2020/12/3110.32%7.39%7.56%4.50%11.11%11.83%6.19%0.61%4.13%1.37%5.64%2021/12/3112.94%8.82%10.52%6.86%14.74%15.37%8.57%1.53%4.37%1.94%6.80%2022/12/3016.08%11.26%13.30%9.44%17.25%18.12%11.84%8.41%4.24%1.46%6.28%2023/12/2917.83%13.56%13.61%10.29%19.50%17.21%17.18%16.00%0.65%-3.57%0.03%2024/12/315.23%1.88%-1.41%-4.36%3.82%2.90%6.10%14.70%-0.87%-7.50%-3.20%2025/12/311.30%-2.18%-4.89%-4.48%4.09%7.78%-0.33%4.95%1.63%-4.56%8.11%资料来源：Wind，国联民生证券研究所超额拨备还原能否提高回报？银行计提拨备会直接减少当期净利润与净资产，不同银行之间拨备水平也有（TTM、PB和股息率来判断银行的估值水平，会忽略掉银行的潜在利润，从而对银行真实的估值水平产生偏差。为了提高考虑拨备之后银行估值的可比性，我们将超额拨备还原至净利润和P（TTMPB超额拨备贷款拨备－广义风险贷款阶段，其中：广义风险贷款＝MAX（额；非信贷资产三阶段＝金融投资三阶段资产＋同业资产三阶段资产。PEPBPE（TTM）前10%和前20%指数的年化回报分别由12.03%和14.62%提高至14.6015.682.571.06PB10%20%指8.3011.8810.872.57和2.58个百分点；高股息率前10%和前20%指数的年化回报分别由13.58%和11.1114.701.121.80夏普比率也总体有所改善。拨备还原后，低PE（TTM）前10%和前20%指数的夏普比率分0.370.500.450.52PB10%20%0.210.390.300.4820%0.390.47，高股息10%0.500.51。以不同年末为起始点持有至2026年8月7日，在表8所列的超额拨备还原前与超额拨备还原后的低PE、低PB和高股息率策略中，超额拨备还原后的高股息率前10%银行指数在最近一些年取得了相对较高的年化收益率，从2008年底以来，从年末起始日至今（2026年8月7日）的年化收益率均能达到9%以上。图3：超额备原低PE（TTM）指累净（2008-12-31为基，为1） 低PE（TTM）银行_前20% 低PE（TTM）银行_前10%超额拨备还原后低PE（TTM）银行_前20% 超额拨备还原后低PE（TTM）银行_前银行指1资料来源：Wind，国联民生证券研究所图4：超额备原低PB指数计值（2008-12-31为日指为1） 低PB银行_前20% 低PB银行_前10% 超额拨备还原后低PB银_前20%超额拨备还原后低PB银_前10% 银行指料来源：Wind，国联民生证券研究所图5：超额备原后股率指累净（2008-12-31为日，为1） 高股息率银行_前20% 高股息率银行_前10% 超额拨备还原后高股息银行_20%超额拨备还原后高股息银行_10% 银行指料来源：Wind，国联民生证券研究所图6：超额备原后类数年回率（2008-12-31至2026-08-07） 超额拨备还原前 超额拨备还原后14.62%15.68%14.60%14.62%15.68%14.60%12.03%14.46%14.70%13.58%11.88%10.87%8.30%12.91%11.11%9.46%16.00%14.00%12.00%10.00%8.00%6.00%4.00%2.00%0.00%资料来源：Wind，国联民生证券研究所指数年化收益率年化波动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最大回撤期间万得全A收益低PE（TTM）银行_前20%11.0614.62%23.14%0.5037.83%2009/7/312012/9/26-31.57%低PE（TTM）银行_前10%7.3912.03%23.74%0.3739.18%2009/7/312010/7/1-24.43%超额拨备还原后低PE（TTM）银行_前20%13.0015.68%24.29%0.5235.48%2009/7/312010/9/29-12.89%超额拨备还原后低PE（TTM）银行_前10%11.0314.60%25.30%0.4538.83%2009/7/312011/8/8-14.37%低PB银行_前20%7.2211.88%22.66%0.3936.18%2015/6/92015/8/25-45.88%低PB银行_前10%4.078.30%24.25%0.2146.28%2015/6/92015/8/25-45.88%超额拨备还原后低PB银行_前20%10.7814.46%23.61%0.4837.93%2009/12/302012/9/26-31.97%超额拨备还原后低PB银行_前10%6.1510.87%25.54%0.3049.59%2009/12/302012/9/26-31.97%高股息率银行_前20%6.3911.11%20.25%0.3933.80%2015/7/72015/8/25-13.38%高股息率银行_前10%9.4213.58%20.79%0.5032.23%2015/7/72015/8/25-13.38%超额拨备还原后高股息率银行_前20%8.4912.91%21.00%0.4733.80%2015/7/72015/8/25-13.38%超额拨备还原后高股息率银行_前10%11.2014.70%22.83%0.5134.61%2013/2/62013/6/24-15.17%银行指数4.919.46%22.94%0.2839.64%2009/7/312012/9/26-31.57%资料来源：Wind，国联民生证券研究所日期低PE（TTM）_前20%低PE（TTM）_前10%日期低PE（TTM）_前20%低PE（TTM）_前10%低PB_前20%低PB_前10%高股息_前20%高股息_前10%银行指数超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后164.68%160.22%143.24%119.55%95.86%150.56%72.92%137.02%105.66%105.66%121.13%121.13%110.04%-22.67%-24.78%-21.58%-21.96%-15.93%-28.00%-7.43%-40.56%-21.48%-21.86%-22.77%-22.77%-26.98%-3.27%5.44%-6.78%6.20%2.46%2.93%6.82%2.91%0.35%0.35%1.87%1.87%-5.01%25.15%28.28%36.76%36.76%19.93%10.33%16.22%10.30%8.66%15.20%14.63%16.14%13.99%3.44%3.94%-2.97%-2.97%7.68%0.62%-10.04%-4.93%-1.61%13.81%4.22%7.33%-3.77%75.67%73.04%76.43%57.95%104.54%113.74%89.73%89.73%63.29%60.90%76.83%75.22%77.16%7.77%16.62%1.42%17.55%1.90%10.86%4.93%21.90%-7.16%-7.16%-8.39%-12.34%5.01%5.73%5.91%12.00%12.51%0.85%4.05%-6.31%8.50%0.40%0.67%12.00%16.02%0.11%21.54%19.04%26.63%8.87%15.64%16.17%12.45%12.53%28.72%31.32%28.97%24.25%12.51%-11.97%-12.08%-14.32%-11.93%-8.99%-4.34%-10.98%-6.06%-7.43%-8.17%-7.72%-13.81%-14.45%24.26%29.39%12.71%33.05%9.43%19.43%11.10%4.03%15.46%16.46%23.80%23.44%24.03%-6.41%-5.25%-14.31%-5.93%-9.00%-8.90%-14.22%-7.81%-2.42%-5.36%-9.41%-3.77%-1.30%-0.99%1.12%1.03%2.19%-5.07%1.42%-5.71%-0.43%-4.15%-5.58%-3.11%2.38%-4.12%2.27%2.19%0.42%5.35%1.01%2.51%-1.95%-1.13%6.09%8.83%5.95%9.33%-2.45%11.61%9.52%5.46%6.24%12.47%11.39%7.22%14.76%11.53%10.86%20.45%13.45%-1.01%41.39%41.28%35.22%51.35%42.68%45.42%38.65%44.18%49.89%51.36%44.55%55.89%37.55%7.66%6.07%4.40%4.65%0.74%5.94%-4.29%-1.36%3.65%13.95%0.08%6.96%10.15%2026/8/70.78%1.56%-1.32%0.57%-2.96%-1.62%-2.71%-0.98%2.43%2.25%4.60%7.60%-0.20%资料来源：Wind，国联民生证券研究所截至日期低PE（TTM）_前20%低PE（TTM）_前10%截至日期低PE（TTM）_前20%低PE（TTM）_前10%低PB_前20%低PB_前10%高股息_前20%高股息_前10%银行指数超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后164.68%160.22%143.24%119.55%95.86%150.56%72.92%137.02%105.66%105.66%121.13%121.13%110.04%43.07%39.91%38.11%30.89%28.32%34.32%26.52%18.69%27.08%26.77%30.68%30.68%23.85%25.59%27.35%21.17%22.10%19.06%22.94%19.60%13.19%17.48%17.29%20.29%20.29%13.38%25.44%27.54%24.86%25.58%19.25%19.63%18.72%12.44%15.19%16.74%18.82%19.21%13.51%20.70%22.43%18.72%19.27%16.84%15.56%12.31%8.73%11.61%16.15%15.75%16.73%9.82%28.49%29.69%26.82%24.98%28.27%28.03%22.56%19.30%18.92%22.63%24.21%24.91%18.93%25.30%27.74%22.84%23.89%24.12%25.42%19.88%19.67%14.79%17.85%18.93%18.75%16.83%22.67%24.78%21.43%22.41%20.94%22.53%16.24%18.21%12.88%15.55%18.04%18.40%14.60%22.55%24.14%22.00%20.83%20.35%21.81%15.82%17.57%14.54%17.21%19.21%19.04%14.37%18.57%19.94%17.77%17.08%17.04%18.91%12.82%14.97%12.13%14.39%16.20%15.27%11.10%19.06%20.75%17.29%18.43%16.31%18.94%12.65%13.92%12.42%14.56%16.86%15.97%12.21%16.69%18.33%14.26%16.18%13.95%16.32%10.12%11.92%11.10%12.75%14.40%14.18%11.01%15.23%16.91%13.18%15.04%12.37%15.10%8.81%10.92%9.85%11.22%12.95%13.23%9.77%14.25%15.80%12.22%14.32%11.52%14.16%8.01%10.02%9.58%11.05%12.44%12.95%8.85%14.08%15.37%11.76%13.77%11.58%13.97%7.96%10.33%9.71%11.04%12.96%12.98%8.17%15.61%16.83%13.09%15.80%13.30%15.71%9.65%12.18%11.86%13.21%14.71%15.27%9.80%15.13%16.17%12.56%15.12%12.52%15.11%8.78%11.34%11.36%13.25%13.79%14.77%9.82%2026/8/414.62%15.68%12.03%14.60%11.88%14.46%8.30%10.87%11.11%12.91%13.58%14.70%9.46%资料来源：Wind，国联民生证券研究所日期低PE（TTM）_前20%低PE（TTM）_前10%日期低PE（TTM）_前20%低PE（TTM）_前10%低PB_前20%低PB_前10%高股息_前20%高股息_前10%银行指数超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后超额拨备还原前超额拨备还原后2008/12/3114.62%15.68%12.03%14.60%11.88%14.46%8.30%10.87%11.11%12.91%13.58%14.70%9.46%2009/12/318.99%10.17%6.92%10.20%8.17%9.18%5.29%5.91%7.06%8.91%9.11%10.26%5.24%2010/12/3111.42%12.89%9.06%12.67%9.93%12.14%6.16%9.90%9.21%11.25%11.56%12.80%7.74%2011/12/3012.50%13.42%10.24%13.12%10.46%12.79%6.12%10.40%9.84%12.04%12.25%13.59%8.67%2012/12/3111.62%12.40%8.51%11.56%9.80%12.98%5.41%10.41%9.93%11.81%12.08%13.41%8.29%2013/12/3112.30%13.10%9.47%12.80%9.97%14.02%6.75%11.73%10.90%11.66%12.73%13.91%9.31%2014/12/318.05%9.04%5.06%9.58%4.24%8.02%1.59%6.74%7.27%8.20%8.44%9.76%4.86%2015/12/318.08%8.35%5.41%8.85%4.47%7.75%1.28%5.42%8.74%9.77%10.18%12.11%4.84%2016/12/308.33%8.60%4.75%8.48%4.85%8.14%2.10%5.10%9.65%10.76%9.99%11.71%5.35%2017/12/296.89%7.45%2.47%8.43%3.66%7.25%0.96%4.27%7.62%8.59%7.98%10.34%4.54%2018/12/289.64%10.32%4.90%11.43%5.45%8.87%2.64%5.71%9.77%11.01%10.22%13.97%7.33%2019/12/317.60%7.70%3.78%8.50%4.87%7.36%1.42%5.97%8.95%10.22%8.32%12.62%5.02%2020/12/3110.32%10.19%7.39%11.30%7.56%10.56%4.50%8.64%11.11%13.26%11.83%15.83%6.19%2021/12/3112.94%12.27%8.82%13.38%10.52%12.65%6.86%10.72%14.74%17.83%15.37%18.98%8.57%2022/12/3016.08%15.22%11.26%15.71%13.30%15.63%9.44%14.24%17.25%20.44%18.12%21.79%11.84%2023/12/2917.83%17.47%13.56%19.54%13.61%17.28%10.29%14.02%19.50%24.30%17.21%25.12%17.18%2024/12/315.23%4.76%1.88%3.24%-1.41%2.62%-4.36%-1.47%3.82%10.02%2.90%9.18%6.10%2025/12/311.30%2.62%-2.18%0.95%-4.89%-2.69%-4.48%-1.63%4.09%3.78%7.78%12.98%-0.33%资料来源：Wind，国联民生证券研究所调整换仓频率能否提高回报？银行财务数据按季度更新，但是股价每天都在调整，PE（TTM、PB和股息P（TTMP10BP2015.4816.9916.930.510.5810%指数在三种调仓频率下的年化回报分别为14.36%、15.2116.38%，以周度调仓表现最好。超额拨备还原后低PB前20%指数在财报披露截止日、月度和周度调仓下的14.2515.330.53PB10%指数的年化回报分别为10.63%、13.9513.59%，其中月度调仓表现相对较好。超额拨备还原后高股息率前20%指数在三种调仓频率下的年化回报分别为12.7613.3210%指数的年化回报分别为14.39%、15.3612.88%，其中月度调仓表现最好。总体来看，适度提高调仓频率可以在一定程度上提高组合回报。在计入单边10BP交易成本后，表现最好的组合是月度调仓的超额拨备还原后低PE（TTM）20%10%组合，年化回报为15.36%，夏普比0.5830.74%。20%备还原后低PB前20%组合入选样本为民生银行、贵阳银行、北京银行、光大银（20%）海银行、沪农商行、张家港行。/按照超额拨备还原前和还原后的估值指标构建组合，考察增加拨备安全垫筛选能否改善低估值策略的回报。具体来看，我们按照超额拨备/7050%PEPB20%10%的入选数量均按照全样本银行数量计算，而不是按照筛选后的剩余样本数量计算。回测结果显示，剔除超额拨备/净资产较低的银行后，低PE和低PB组合的年化回报多数有所提高，其中低PB前10%组合的改善较为明显。超额拨备还原后，低PE前20%组合在财报披露截止日、月度和周度调仓下的年化回报分别为15.48%、16.9916.93%；保留超额拨备/70%的银行后，分别提高16.4417.2150%16.8516.39%和17.31%。低PE前10%组合在三种调仓频率下的年化回报分别为14.36%、15.21%和16.3870%的银行后分别提高至14.9316.09%和16.67%；保留前50%的银行后分别为17.49%、16.45%和16.74%。超额必备还原后，低PB10%10.63%、13.95%和13.59/净资产前70%15.99%、17.0850%15.6617.0419.00%。对于超额拨备还原后高股息率前20%组合，保留超额拨备/净资产前50%的银行12.7613.3213.69%13.9614.7810%组合在剔除超额拨备/净资产较低的银行后，年化回报反而有所下降。/50%前20%组合入选样本为苏农银行、无锡银行、常熟银行、瑞丰银行、江阴银行、成都银行、杭州银行、张家港行；超额拨备还原后低PB前2020%）招商银行、北京银行、渝农商行、沪农商行、张家港行、苏州银行、江阴银行。图7：不同调仓频率下各类指数化回率（2008-12-31至2026-08-07） 财报截止日调仓 月度调仓 周度调仓18.00%16.00%14.00%12.00%10.00%8.00%6.00%4.00%2.00%0.00%资料来源：Wind，国联民生证券研究所指数调仓频率截止日指数净值年化收益率年化波动率指数调仓频率截止日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最大回撤期间万得全A收益（TTM）20%财报截止日调仓12.6215.48%24.29%0.5135.75%2009/7/312010/9/29-12.89%（TTM）20%月度调仓15.8516.99%24.07%0.5832.54%2009/7/312009/8/31-21.21%（TTM）20%周度调仓15.7216.93%23.80%0.5831.08%2013/2/62013/7/29-11.62%（TTM）10%财报截止日调仓10.6214.36%25.30%0.4439.19%2009/7/312011/8/8-14.37%（TTM）10%月度调仓12.0915.21%25.65%0.4744.51%2009/7/312010/7/1-24.43%（TTM）10%周度调仓14.4516.38%25.48%0.5245.22%2009/7/312010/7/1-24.43%超额拨备还原后低PB银行_前20%财报截止日调仓10.4514.25%23.61%0.4738.27%2009/12/302012/9/26-31.97%超额拨备还原后低PB银行_前20%月度调仓12.3215.33%23.31%0.5234.15%2015/6/92015/8/25-45.88%超额拨备还原后低PB银行_前20%周度调仓12.2015.26%22.96%0.5334.07%2015/6/92015/8/25-45.88%超额拨备还原后低PB银行_前10%财报截止日调仓5.9210.63%25.54%0.2950.09%2009/12/302012/9/26-31.97%超额拨备还原后低PB银行_前10%月度调仓9.9613.95%24.45%0.4434.75%2010/3/302012/9/26-30.32%超额拨备还原后低PB银行_前10%周度调仓9.4313.59%24.35%0.4331.90%2015/7/92015/8/25-13.64%超额拨备还原后高股息率银行_前20%财报截止日调仓8.2912.76%21.00%0.4633.80%2015/7/72015/8/25-13.38%超额拨备还原后高股息率银行_前20%月度调仓9.0413.32%20.17%0.5030.74%2015/7/72015/8/25-13.38%超额拨备还原后高股息率银行_前20%周度调仓9.5813.69%19.91%0.5332.00%2015/7/72015/8/25-13.38%超额拨备还原后高股息率银行前10%财报截止日调仓10.6714.39%22.84%0.4934.74%2013/2/62013/6/24-15.17%超额拨备还原后高股息率银行前10%月度调仓12.3815.36%21.25%0.5830.74%2015/4/282015/8/25-30.02%超额拨备还原后高股息率银行前10%周度调仓8.4412.88%20.71%0.4730.97%2015/7/92016/2/29-20.03%银行指数银行指数4.919.46%22.94%0.2839.64%2009/7/312012/9/26-31.57%资料来源：Wind，国联民生证券研究所指数调仓频率超额拨备还原前超额拨备还原后全样本指数调仓频率超额拨备还原前超额拨备还原后全样本超额拨备/净资产前70%超额拨备/净资产前50%全样本超额拨备/净资产前7