In recent years,private equity placement has been proved to have effect on future earnings of stocks.While previous investment strategies are still focusing on the fundamental analysis of single stock,in the paper a new strategy was proposed to choose the optimum portfolio from available private shares.Furthermore,an index was constructed to measure the earning potential of the optimum portfolio,and the experimental test in the back window from 2008 to 2011 was performed.It is shown that the annual excess return (benchmark for CSI 300 index) of the equal weight index is 10.3%,96.4%,32.4% and 5.6%,and the annual information ratio is 1.7,2.4, 2.0 and 0.8,respectively for the past four years.