With the rapid development of the country's economy, people's disposable income is accumulating and the demand for financial management is growing. At the same time, the number of listed companies in China has exceeded 4,400 and the total market capitalization of the stock market. With a total market capitalization of over 91 trillion dollars, China has become the second largest stock market in the world [1] . Therefore, "how to select stocks scientifically and effectively" and "how to

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... tly beat the market in the stock market" are questions that stock market investors cannot avoid, and are also questions that people need to think about to improve their financial returns and control their investment risks. It is also a question that people need to think about to improve their financial returns and control investment risks. This paper focuses on stock selection strategies based on the style factors of the MSCI Barra China Equity Model (CNE5). The research target is the China A-share market. The logic of the study is to analyze the past market data by using the MSCI Barra China Equity Model (CNE5) style factors to identify the five factors that have a high degree of explanation and long-term validity in attributing performance to the Chinese equity market, and to verify the effectiveness of the stock selection strategy. The effectiveness of the stock selection strategy is verified by comparing the stock pool returns with the market indexes. The final results show that the strategy achieved 60.39%, with an annualized return of 10.17% and an excess return of 43.93% compared to the performance benchmark.