GUOTAI HAITONG SECURITIES·2026-02-14 06:10Quantitative Models and Construction Methods 1. Model Name: CSI 300 Enhanced Portfolio - Model Construction Idea: Enhance the performance of the CSI 300 index by selecting stocks with superior characteristics[5][13] - Model Construction Process: - Select stocks from the CSI 300 index - Apply quantitative factors to enhance stock selection - Construct the portfolio based on the enhanced stock selection - Model Evaluation: The model aims to outperform the CSI 300 index by leveraging quantitative factors[5][13] 2. Model Name: CSI 500 Enhanced Portfolio - Model Construction Idea: Enhance the performance of the CSI 500 index by selecting stocks with superior characteristics[5][13] - Model Construction Process: - Select stocks from the CSI 500 index - Apply quantitative factors to enhance stock selection - Construct the portfolio based on the enhanced stock selection - Model Evaluation: The model aims to outperform the CSI 500 index by leveraging quantitative factors[5][13] 3. Model Name: CSI 1000 Enhanced Portfolio - Model Construction Idea: Enhance the performance of the CSI 1000 index by selecting stocks with superior characteristics[5][13] - Model Construction Process: - Select stocks from the CSI 1000 index - Apply quantitative factors to enhance stock selection - Construct the portfolio based on the enhanced stock selection - Model Evaluation: The model aims to outperform the CSI 1000 index by leveraging quantitative factors[5][13] Model Backtesting Results CSI 300 Enhanced Portfolio - Weekly Return: 1.51%[13] - Monthly Return: 0.01%[15] - Annual Return: 6.86%[15] - Excess Return: 6.20%[15] CSI 500 Enhanced Portfolio - Weekly Return: 2.28%[13] - Monthly Return: 0.59%[15] - Annual Return: 11.77%[15] - Excess Return: 0.60%[15] CSI 1000 Enhanced Portfolio - Weekly Return: 2.32%[13] - Monthly Return: -0.14%[15] - Annual Return: 11.84%[15] - Excess Return: 3.81%[15] Quantitative Factors and Construction Methods 1. Factor Name: Market Capitalization - Factor Construction Idea: Differentiate stocks based on their market capitalization[47] - Factor Construction Process: - Rank stocks by market capitalization - Construct long and short portfolios based on the top and bottom 10% of stocks - Factor Evaluation: Large-cap stocks outperformed small-cap stocks[47] 2. Factor Name: Price-to-Book Ratio (PB) - Factor Construction Idea: Differentiate stocks based on their PB ratio[47] - Factor Construction Process: - Rank stocks by PB ratio - Construct long and short portfolios based on the top and bottom 10% of stocks - Factor Evaluation: High PB stocks outperformed low PB stocks[47] 3. Factor Name: Price-to-Earnings Ratio (PE_TTM) - Factor Construction Idea: Differentiate stocks based on their PE ratio[47] - Factor Construction Process: - Rank stocks by PE ratio - Construct long and short portfolios based on the top and bottom 10% of stocks - Factor Evaluation: High PE stocks outperformed low PE stocks[47] Factor Backtesting Results Market Capitalization Factor - Weekly Long-Short Return: -0.69%[47] - Monthly Long-Short Return: 3.16%[47] - Annual Long-Short Return: 6.82%[48] Price-to-Book Ratio (PB) Factor - Weekly Long-Short Return: -2.58%[47] - Monthly Long-Short Return: -0.94%[47] - Annual Long-Short Return: -2.39%[48] Price-to-Earnings Ratio (PE_TTM) Factor - Weekly Long-Short Return: -2.15%[47] - Monthly Long-Short Return: -1.03%[47] - Annual Long-Short Return: -0.82%[48]