In-depth Analysis of Multi-Factor Combination Mechanisms and Bull-Bear Market Performance of Strategy-Based Value Indices

Strategy-based value indices effectively improve A-share investment win rates through systematic multi-factor combinations, with core mechanisms reflected in four dimensions:

: Screen undervalued stocks based on valuation indicators such as PE, PB, PS to provide a margin of safety for the portfolio [0]

: Select high-quality companies through financial indicators such as ROE, ROA, and cash flow to enhance long-term profit stability

: Introduce low volatility factors to reduce portfolio systemic risk and provide defensive capabilities during market declines

: Combine price momentum trends to capture short-term upward momentum and improve medium-term returns

As can be seen from the chart, multi-factor value strategies achieve risk-return optimization through scientific factor weight allocation:

• Value Factor
  (30% weight): Provides basic margin of safety
• Quality Factor
  (30% weight): Ensures healthy corporate fundamentals
• Low Volatility Factor
  (20% weight): Reduces portfolio volatility
• Momentum Factor
  (20% weight): Captures trend opportunities

This balanced weight design allows the strategy to maintain the core of value investing while significantly improving adaptability in different market environments.

Traditional market capitalization weighting has a “large-cap bias” problem, while strategy-based value indices adopt innovative methods such as

, , or :

• Factor Weighting
  : Allocates weights based on comprehensive factor scores, with advantageous factors receiving higher allocations
• Equal Weighting
  : Avoids over-concentration and reduces individual stock risk
• Fundamental Weighting
  : Allocates weights based on fundamental indicators such as revenue and profit

In bull market environments, the performance of various strategies shows significant differences:

performed the most outstandingly, with an annualized bull market return of 25.54% and a win rate of 75%, reflecting the advantages of selected individual stock strategies in bull markets

as a broad-based benchmark had the highest bull market return of 28.06%, but also the largest volatility (14.73%), with moderate risk-adjusted returns

and showed balanced performance, with returns of 15.12% and 14.97% respectively

had relatively conservative bull market performance (11.44%) but the lowest volatility (7.73%)

In bear market environments, defensiveness becomes a key consideration:

showed the strongest defensive capability, with an annualized bear market decline of only 4.95% and a win rate of 38.3%, significantly outperforming other strategies

ranked second in bear market performance, with a decline of 6.01% and a win rate of 40%, reflecting the rationality of its “stable” naming

, although excellent in bull markets, had the largest decline in bear markets (13.61%), reflecting the double-edged sword nature of high-offensive strategies

Based on risk-return analysis, strategies can be divided into three categories:

(Huazheng Preferred 50, CSI 300): Excellent bull market returns but large bear market volatility, suitable for investors with higher risk preferences

(CSI Smart Select, CSI Value 100): Relatively balanced returns and risks, suitable for long-term value investment

(Dividend Value Index): Outstanding bear market defensive capability and highest win rate stability, suitable for risk-averse investors

Based on historical data analysis, it is recommended to adopt a

:

• Bull Market Phase
  : Prioritize allocation to high-offensive strategies such as Huazheng Value Preferred 50
• Volatile Phase
  : Allocate to balanced strategies such as CSI Smart Select 300 Value Stable
• Bear Market Phase
  : Focus on allocation to defensive strategies such as the Dividend Value Index

For long-term investors, it is recommended to adopt a

:

(60-70%): CSI Smart Select 300 Value Stable Index, providing a stable return foundation

(30-40%): Dynamically adjust based on market environment, increase Huazheng Preferred 50 in bull markets and Dividend Value Index in bear markets

1. Multi-Factor Combinations Are Effective
   : Through scientific multi-factor combinations, strategy-based value indices significantly improve investment win rates

2. No Perfect Single Strategy
   : Different strategies have their own advantages in different market environments, so selection needs to be based on market conditions

3. Clear Risk-Return Characteristics
   : Huazheng Preferred 50 is suitable for offense, Dividend Value for defense, and CSI Smart Select for balance

4. Obvious Long-Term Allocation Value
   : From a 10-year perspective, these strategy-based value indices generally outperform market benchmarks

[0] Gilin AI Financial Data API - Multi-Factor Analysis and Bull-Bear Market Performance Evaluation of Strategy-Based Value Indices

[1] Stock Market Dynamic Analysis Weekly - Value Investment Strategy and Index Performance Analysis in the A-Share Market

[2] Index Investment Era Special Topic - Development Status and Prospect Analysis of Strategy-Based Index Products