Key Points - The core viewpoint of the report emphasizes a three-dimensional comprehensive evaluation system based on quality, valuation, and trading characteristics to select stocks and construct enhanced index investment strategies [1][3] - The comprehensive evaluation strategy shows an annual compound return rate of 25.6534%, an alpha value of 18.7955, a beta value of 3.7407, a maximum drawdown of 20.95%, and a Sharpe ratio of 0.8156, indicating excellent performance [1][20][28] Group 1: Three-Dimensional Comprehensive Evaluation System - The three dimensions of the evaluation system are quality, valuation, and trading characteristics, which can be further subdivided into various indicators [3][6] - The quality dimension focuses on the belief that high-quality companies will provide superior returns over time [3] - The valuation dimension is based on the premise that a company priced significantly below its intrinsic value offers good value and potential returns during valuation recovery [3] - The trading characteristics dimension suggests that certain market behaviors can significantly influence future price movements [3] Group 2: Evaluation Indicators - The quality dimension includes indicators such as return on equity (ROE), return on assets (ROA), and profit margins [6][7] - The valuation dimension utilizes absolute and relative valuation methods, including price-to-earnings (PE) ratio, price-to-book (PB) ratio, and enterprise value to EBITDA [6][9] - The trading characteristics dimension assesses factors like market capitalization, liquidity, and price momentum [6][9] Group 3: Strategy Construction Steps - The main steps to construct the comprehensive evaluation investment strategy include determining the sample space, selection method, sample size, stock weight allocation, and trading plan [1][9] - The sample space consists of stocks from the CSI All Share Index that meet specific criteria, such as positive year-on-year net profit growth [10][12] - The strategy employs an equal-weight allocation for the selected stocks [13] Group 4: Performance Evaluation - The strategy's performance is benchmarked against the CSI All Share Index, showing a significant outperformance with a total return of 5550.41% over 17.67 years compared to the index's 223.27% [24][28] - The strategy achieved positive excess returns in 43 out of 53 trading periods, resulting in a success rate of 81.13% [27][35] - The rolling three-year and five-year evaluations indicate consistent positive excess returns, with success rates of 93.75% and 100% respectively [42][46]