CMS·2025-07-09 14:13Quantitative Models and Construction Methods - Model Name: Guozheng Aerospace and Aviation Industry Index (CN5082.CNI) Model Construction Idea: The index is designed to reflect the market performance of aerospace and aviation industry companies listed on the Shanghai, Shenzhen, and Beijing Stock Exchanges [41][42] Model Construction Process: 1. Sample Space: Select A-shares and red-chip enterprises' depositary receipts that meet the following conditions: - Non-ST/*ST securities - Listed for over 1 year (for STAR Market and Beijing Stock Exchange securities) or over 6 months (for other securities) - No major violations or financial reporting issues in the past year - No abnormal price fluctuations during the observation period - Belong to the aerospace and aviation industry under Guozheng's tertiary industry classification [43] 2. Candidate Pool: - Calculate the average daily free-float market capitalization and average daily trading volume over the past six months for eligible securities - Exclude the bottom 10% of securities ranked by trading volume if the pool exceeds 10 securities [43] 3. Sample Selection: - If the candidate pool contains ≤30 securities, all are included - If the pool contains 30<N≤50 securities, select securities covering 85% of free-float market capitalization, rounded to the nearest multiple of 10 [43] - If the pool contains >50 securities, select securities covering 85% of free-float market capitalization, rounded to the nearest multiple of 10, capped at 50 securities [43] 4. Weighting: Free-float market capitalization weighting [43] 5. Adjustment: Regular adjustments occur semi-annually, with temporary adjustments for special cases like delisting or corporate actions [44] Model Evaluation: The index is highly focused on the aerospace and aviation sector, with a strong representation of small-cap stocks and high exposure to the defense industry [44][47] Model Backtesting Results - Guozheng Aerospace and Aviation Industry Index: - Annualized Return: 6.26% (past five years) [61][62] - Sharpe Ratio: 0.33 (past five years) [61][62] - Maximum Drawdown: -55.93% (past five years) [61][62] - Annualized Volatility: 34.13% (past five years) [61][62] - Recent Performance: 33.78% return in the past year, outperforming other broad-based indices and military-themed indices [64][66] - Bull Market Elasticity: Demonstrated strong performance during bull market periods, with gains of 40.56%, 50.90%, and 38.36% in specific intervals [65] Quantitative Factors and Construction Methods - Factor Name: "Military Exposure" Factor Construction Idea: Focus on stocks with high exposure to the defense industry, particularly aerospace and aviation [47][55] Factor Construction Process: - Select stocks with significant involvement in defense-related activities, such as aircraft manufacturing, satellite technology, and unmanned systems [47][55] - Weight stocks based on their free-float market capitalization [43][55] Factor Evaluation: The factor achieves high representation of military-related stocks, with 97% of the index's components belonging to the defense industry [47][55] - Factor Name: "Aerospace Exposure" Factor Construction Idea: Emphasize stocks within the aerospace and aviation sub-sector [47][60] Factor Construction Process: - Identify stocks classified under the aerospace and aviation sub-sector [47][60] - Weight stocks based on their free-float market capitalization [43][60] Factor Evaluation: The factor has a high concentration in aerospace stocks, with 51% of the index's weight allocated to this sub-sector [47][60] Factor Backtesting Results - Military Exposure Factor: - Representation: 97% of index components belong to the defense industry [47][55] - Aerospace Exposure Factor: - Representation: 51% of index weight allocated to aerospace stocks [47][60] - Unmanned Systems Factor: - Representation: Over 12% of index weight allocated to stocks involved in unmanned systems, such as drones [60]