CMS·2026-01-07 02:35Quantitative Models and Construction Methods 1. Model Name: Guozheng Commercial Satellite Communication Industry Index - Model Construction Idea: The index aims to reflect the price changes of securities related to the commercial satellite communication industry listed on the Shanghai, Shenzhen, and Beijing stock exchanges, enriching index investment tools[37] - Model Construction Process: - Index Base Date: December 31, 2002 - Index Release Date: February 17, 2015 - Weighting Method: Market capitalization weighting - adjusted free float market capitalization weighting - Sample Space: Includes A-shares and depositary receipts issued by red-chip companies that meet specific criteria, such as not being ST or *ST securities, having no major violations or financial issues in the past year, and being involved in commercial satellite manufacturing, launching, operation, and related fields[38] - Sample Selection Method: Securities are ranked by average daily trading volume over the past six months, with the top 50 selected as index samples. Adjustments are made semi-annually, with the number of adjustments not exceeding 20% of the total samples[38] - Model Evaluation: The index is highly focused on the commercial satellite communication industry, with a significant portion of its components in the electronics and communication sectors, making it more representative of the commercial space industry compared to other indices[45][46] Model Backtesting Results - Guozheng Commercial Satellite Communication Industry Index: - Three-Month Return: 44.27% - Six-Month Return: 68.48% - Three-Year Annualized Return: 29.62% - Sharpe Ratio (Three Years): 1.07 - Calmar Ratio (Three Years): 0.66[53] Quantitative Factors and Construction Methods 1. Factor Name: R&D Investment Ratio - Factor Construction Idea: The factor measures the proportion of R&D expenses to revenue, indicating the intensity of research and development efforts within the index components[47] - Factor Construction Process: - Formula: R&D Investment Ratio = (R&D Expenses / Revenue) * 100% - Data Source: 2024 annual report data[47] - Factor Evaluation: The R&D investment ratio of the Guozheng Commercial Satellite Communication Industry Index is significantly higher than that of similar and broad-based indices, indicating a strong focus on technological innovation within the index components[47] Factor Backtesting Results - R&D Investment Ratio: - Guozheng Commercial Satellite Communication Industry Index: 16.95% - Guozheng Satellite Industry Index: 16.73% - CSI Military Industry Index: 10.16% - ChiNext Index: 10.14% - CSI 500 Index: 9.01% - CSI 300 Index: 5.99%[47][52]