Guotou Securities·2025-07-27 10:29Quantitative Models and Construction Methods Model Name: Central Enterprise Innovation Index (000861.CSI) - Model Construction Idea: The index selects 100 representative listed companies under the State-owned Assets Supervision and Administration Commission (SASAC) based on their innovation and profitability to reflect the overall performance of innovative central enterprises[8] - Model Construction Process: - Sample Space: All listed companies under SASAC[9] - Step 1: Rank the securities in the sample space by average daily trading volume over the past year and exclude the bottom 20%[9] - Step 2: Select the remaining securities controlled by SASAC and its subsidiaries[9] - Step 3: Exclude securities with negative operating cash flow in the past year and negative net profit excluding non-recurring items in the past two years[9] - Step 4: Calculate the innovation score for non-financial companies based on R&D expenditure, R&D personnel ratio, patent quality score, and participation in national or industry standards. For financial companies, use revenue, net profit, patent quality score, and participation in standards[9] - Step 5: Rank the remaining securities by innovation score and select the top 50% as innovation-themed securities[9] - Step 6: Calculate the quality score for non-financial companies based on ROE, net profit growth, earnings quality, and financial leverage. For financial companies, use ROE and net profit growth. Combine the quality score with the scale score (based on market cap) to get a comprehensive score[9] - Step 7: Select the top 100 securities by comprehensive score as index samples[9] - Adjustment: The index samples are adjusted semi-annually[9] - Model Evaluation: The index is designed to reflect the performance of innovative central enterprises, with a focus on maintaining representativeness and accuracy through regular adjustments[8][9] Model Backtesting Results - Central Enterprise Innovation Index: - Cumulative Return Since Inception: 138.08%[5][10] - Excess Return Over Major Indices: - CSI 300: 79.25%[5] - SSE Composite Index: 83.67%[5] - CSI 500: 54.40%[5] - CSI 800: 74.09%[5] - 5-Year Cumulative Return: 33.70%[10] - Excess Return Over Major Indices in 5 Years: - CSI 300: 49.24%[10] - SSE Composite Index: 29.47%[10] - CSI 800: 47.94%[10] Quantitative Factors and Construction Methods Factor Name: Innovation Score - Factor Construction Idea: Evaluate the innovation capability of non-financial and financial companies based on specific indicators[9] - Factor Construction Process: - Non-Financial Companies: - R&D expenditure to market cap ratio (40% weight) - R&D personnel ratio (10% weight) - Patent quality score (40% weight) - Participation in national or industry standards (10% weight)[9] - Financial Companies: - Revenue (40% weight) - Net profit (10% weight) - Patent quality score (40% weight) - Participation in national or industry standards (10% weight)[9] - Calculation: Sum the weighted scores to get the innovation score[9] Factor Name: Quality Score - Factor Construction Idea: Assess the financial quality of companies based on profitability and financial stability[9] - Factor Construction Process: - Non-Financial Companies: - ROE (30% weight) - Net profit growth (35% weight) - Earnings quality (25% weight) - Financial leverage (10% weight)[9] - Financial Companies: - ROE (50% weight) - Net profit growth (50% weight)[9] - Calculation: Sum the weighted scores to get the quality score[9] Factor Backtesting Results - Innovation Score: - Top 50% Selection: Used to identify innovation-themed securities[9] - Quality Score: - Comprehensive Score Calculation: Combined with scale score to select top 100 securities[9]