国泰海通证券研究·2025-08-13 14:31Core Insights - The article discusses the use of a multi-factor model suitable for the CSI 300 index constituents, combined with a small-cap high-growth satellite strategy, to enhance the performance of the CSI 300 enhanced strategy [1][2] - Since 2016, the CSI 300 enhanced strategy has achieved an annualized excess return of 12.6% with a tracking error of 5.2% under a satellite allocation of 30% domestic and 10% foreign [1][2] Summary by Sections - Performance Analysis: The CSI 300 enhanced strategy has shown an annualized excess return of at least 10% since 2016, with an information ratio exceeding 2.0. The internal component of the strategy has lower tracking error and relative drawdown, while the external component offers greater return elasticity but with higher tracking error and drawdown [1][2] - Model Construction: The multi-factor model is constructed based on fundamental and momentum indicators, which has demonstrated better stock selection robustness compared to the all-A multi-factor model [1] - Satellite Strategy: The external component can be replaced with small-cap high-growth or GARP strategies. The optimal satellite allocation depends on the risk-return preference, with the most extreme case showing an annualized excess return of 17.5% when fully utilizing satellite strategies [2]