Guoxin Securities·2026-02-25 11:02Quantitative 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-metal material industries[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-metal material industries[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 SWS non-ferrous metal industry, the number of samples can be increased to improve industry representation[32] - Periodic Adjustment: The index samples are adjusted semi-annually, implemented on the second Friday of June and December[32] - Model Evaluation: The index comprehensively covers all subcategories of the non-ferrous metal field, including precious metals (gold, silver), industrial metals (copper, aluminum), and minor metals (tin, indium), providing broad industry representation[33] --- Model Backtesting Results CSI SWS Non-ferrous Metal Index - P/E Ratio: 30.79, at the 41.26% percentile as of February 11, 2026[37][40] - P/B Ratio: 4.33, at a 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%, with major holdings such as Zijin Mining and CMOC showcasing strong profitability and resource reserves[46] - Performance Comparison: - Outperformed the CSI 300 Index in most periods since 2020 - Past 6 months return: 98.55% - Past 3 months return: 30.05% - Past 1 month return: 8.12% - 5-year annualized volatility: 30.63% - 5-year maximum drawdown: -54.27%[50][51] --- Quantitative Factors and Construction Methods 1. Factor Name: Industry Representation Factor - Factor Construction Idea: Ensure comprehensive representation of the non-ferrous metal industry by including all subcategories such as industrial metals, rare metals, and precious metals[33] - Factor Construction Process: - Weight distribution by industry: - Industrial metals: 52.42% - Rare metals: 29.59% - Precious metals: 14.75%[33] - Factor Evaluation: The factor ensures balanced exposure across key sub-industries, enhancing the index's representativeness and diversification[33] --- Factor Backtesting Results Industry Representation Factor - Weight Distribution: - Industrial metals: 52.42% - Rare metals: 29.59% - Precious metals: 14.75%[33]