Core Viewpoint - The article emphasizes the importance of combining quality and valuation factors in bank stock investments, highlighting that strategies based on high ROE/PB and high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" have achieved cumulative excess returns exceeding 300% since 2011, indicating the significance of "quality" and "value" in bank stock investments [1][12]. Summary by Sections Quantitative Backtesting Overview - The report introduces a quantitative backtesting approach tailored for bank stocks, utilizing industry-specific fundamental, financial, and operational indicators to develop effective trading strategies [2][4]. Methodology - The core of quantitative strategies lies in identifying specific indicators (factors) to select stocks that aim to optimize the risk-return profile, with backtesting serving as a method to evaluate these strategies using historical data [3]. Investment Strategy Analysis - A total of 11 bank stock investment strategies were backtested, revealing that: 1. Valuation factors showed effectiveness in controlling drawdowns, with low PE strategies outperforming high dividend strategies and low PB strategies in terms of excess returns [6]. 2. Profitability factors had limited impact during periods of declining valuations, with high ROE and profit growth strategies yielding less than 50% excess returns [6]. 3. Quality factors contributed significantly to excess returns, particularly the high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio)" strategy, which achieved a cumulative excess return of 201% [6]. 4. The combination of fundamental and valuation factors improved portfolio performance, with high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" and high ROE/PB strategies achieving excess returns of 326% and 309%, respectively [6]. Insights from Backtesting Results - Key insights include: 1. Profitability, asset quality, and reasonable valuation are critical for bank investments, with ROE and asset quality being significant drivers of relative returns [7]. 2. Different market styles lead to significant variations in strategy performance, with low PB and high profit growth strategies dominating in rising markets, while high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" strategies excel in core asset styles [7]. Performance Metrics - The performance metrics of various strategies indicate that: - The low PB strategy achieved a total return of 313.71% with an excess return of 74.15% [8]. - The high ROE/PB strategy yielded a total return of 548.19% with an excess return of 308.63% [8]. - The high "(loan-to-deposit ratio - non-performing loan ratio - attention ratio) × dividend yield" strategy reached a total return of 565.15% with an excess return of 325.59% [8].