Group 1 - The core idea of the report is to apply a "multi-factor cross-sectional stock selection" model to broad index allocation, constructing a style factor library based on a selected pool of broad indices and scoring them according to cross-sectional factor values to establish an optimal broad index combination [1][13]. Group 2 - The model construction involves three steps: first, building a rich factor library based on the selected broad index pool; second, creating a "composite evaluation index" for dynamic optimization of the style factor library; and third, scoring and ranking the broad index pool based on the optimized style factors [2][19]. Group 3 - The selected broad index pool includes six indices: Shanghai Stock Exchange 50, CSI 300, CSI 500, CSI 1000, CSI Dividend, and ChiNext [2][15]. - The style factor library consists of eight major categories: valuation, quality, growth, momentum, turnover rate, market beta, volatility, and market capitalization [2][27]. Group 4 - The backtesting results indicate that the model performs stably over the long term, achieving an annualized absolute return of 15.7% and an annualized excess return of 10.9% during the entire sample period [3][41]. - The out-of-sample annualized absolute return is 9.6%, with an annualized excess return of 10.0%, and since 2025, the absolute return has reached 32.0% with an excess return of 11.8% [3][41].