- Model Name: RuiLian Market Cap Weighted Index ETF - Model Construction Idea: The index still uses market cap weighting but selects stocks based on four fundamental indicators: sales, cash flow, dividends and buybacks, and book value including intangible assets, focusing on the economic efficiency of enterprises[11] - Model Construction Process: The model involves screening stocks using the four fundamental indicators mentioned above, and then applying market cap weighting to the selected stocks[11] - Model Evaluation: The model aims to achieve better returns with relatively small tracking errors compared to broad-based indices[11] - Factor Name: Sales - Factor Construction Idea: Select stocks based on their sales performance[11] - Factor Construction Process: The factor is constructed by evaluating the sales figures of companies and selecting those with strong sales performance[11] - Factor Name: Cash Flow - Factor Construction Idea: Select stocks based on their cash flow performance[11] - Factor Construction Process: The factor is constructed by evaluating the cash flow figures of companies and selecting those with strong cash flow performance[11] - Factor Name: Dividends and Buybacks - Factor Construction Idea: Select stocks based on their dividends and buybacks performance[11] - Factor Construction Process: The factor is constructed by evaluating the dividends and buybacks figures of companies and selecting those with strong performance in these areas[11] - Factor Name: Book Value Including Intangible Assets - Factor Construction Idea: Select stocks based on their book value including intangible assets[11] - Factor Construction Process: The factor is constructed by evaluating the book value including intangible assets of companies and selecting those with strong performance in this area[11] Model Backtest Results - RuiLian Market Cap Weighted Index ETF, tracking error: relatively small[11] Factor Backtest Results - Sales factor, performance: strong[11] - Cash Flow factor, performance: strong[11] - Dividends and Buybacks factor, performance: strong[11] - Book Value Including Intangible Assets factor, performance: strong[11]