Guoxin Securities·2026-02-25 08:44Quantitative Models and Construction Methods 1. Model Name: CSI SWS Non-ferrous Metal Index (000819.SH) - Model Construction Idea: The index is designed to reflect the overall performance of listed companies in the non-ferrous metal industry on the Shanghai and Shenzhen markets. It includes 50 securities from the SWS non-ferrous metal and non-metallic materials industry[31][32] - Model Construction Process: - Sample Space: Securities from the CSI All Share Index sample space listed on the Shanghai and Shenzhen markets[32] - Selection Method: 1. Rank securities by average daily trading volume over the past year and exclude the bottom 20%[32] 2. Select securities from the SWS non-ferrous metal and non-metallic materials industry classification[32] 3. Rank the remaining securities by average daily total market capitalization over the past year and select the top 50 as index samples[32] - Sample Adjustment: If the free-float market capitalization of the index samples is less than 70% of the free-float market capitalization of the SWS non-ferrous metal industry, the number of index samples can be increased to improve industry representation[32] - Regular Adjustments: The index samples are adjusted semi-annually, with implementation on the trading day following the second Friday of June and December each year[32] - Model Evaluation: The index covers all subcategories of the non-ferrous metal sector, including precious metals (gold, silver), industrial metals (copper, aluminum), and minor metals (tin, indium). It demonstrates better long-term returns and higher elasticity compared to the CSI 300 Index[33][48] --- Model Backtesting Results CSI SWS Non-ferrous Metal Index - P/E Ratio: 30.79 (41.26% percentile as of February 11, 2026)[37][40] - P/B Ratio: 4.33 (historically high percentile)[37] - Net Profit Growth: - 2024: -1.12% - 2025E: 55.23% - 2026E: 27.81%[40] - Revenue Growth: - 2024: 7.38% - 2025E: 8.61% - 2026E: 5.02%[40] - Average Market Cap: 1,017.31 billion RMB as of February 11, 2026[43] - Top 10 Constituents Weight: 47.89%[46] - Performance Comparison with CSI 300 Index: - 2020: 36.31% vs. 27.21% - 2021: 31.31% vs. -5.20% - 2022: -21.69% vs. -21.63% - 2023: -12.67% vs. -11.38% - 2024: 2.19% vs. 14.68% - 2025: 97.48% vs. 17.66% - 2026 YTD: 17.24% vs. 1.81%[51] - 5-Year Annualized Volatility: 30.63% (vs. 17.79% for CSI 300 Index)[51] - 5-Year Maximum Drawdown: -54.27% (vs. -45.33% for CSI 300 Index)[51] --- Quantitative Factors and Construction Methods 1. Factor Name: Sector Representation Factor - Factor Construction Idea: The factor aims to represent the performance of the non-ferrous metal sector by including securities from all subcategories of the industry, ensuring comprehensive coverage[33] - Factor Construction Process: - Weight distribution by subcategories: - Industrial Metals: 52.42% - Rare Metals: 29.59% - Precious Metals: 14.75%[33] - Adjust weights semi-annually to maintain sector representation[32] - Factor Evaluation: The factor ensures a balanced representation of the non-ferrous metal industry, capturing the performance of various subcategories effectively[33] --- Factor Backtesting Results Sector Representation Factor - Weight Distribution: - Industrial Metals: 52.42% - Rare Metals: 29.59% - Precious Metals: 14.75%[33] - Top Constituents: - Zijin Mining: 9.67% - China Molybdenum: 8.06% - Northern Rare Earth: 4.96% - Aluminum Corporation of China: 4.25% - Huayou Cobalt: 4.15%[47]