量化选股策略周报：红利微盘哑铃型策略回归，指增超额表现回暖-20251108

Core Insights - The report emphasizes the construction of an AI-driven low-frequency index enhancement strategy using deep learning frameworks to build alpha and risk models [3] - The performance of major market indices shows positive trends, with the Shanghai Composite Index rising by 1.08% and the Shenzhen Component Index by 0.19% as of November 7, 2025 [5][8] - Year-to-date performance indicates that the CSI 300 Index has increased by 18.9%, while the CSI 300 enhanced portfolio has outperformed with a rise of 28.4%, yielding an excess return of 9.5% [19] Market Index Performance - As of November 7, 2025, the CSI 500 Index has seen a year-to-date increase of 28.0%, with its enhanced portfolio rising by 35.3%, resulting in an excess return of 7.3% [24] - The CSI 1000 Index has increased by 26.6% year-to-date, while its enhanced portfolio has risen by 40.9%, achieving an excess return of 14.4% [30] - The report highlights that sectors such as electric equipment, coal, and oil & petrochemicals performed well, with weekly returns of 4.98%, 4.52%, and 4.47% respectively [9][10] Index Enhancement Fund Performance - The CSI 300 enhanced fund reported a minimum excess return of -1.49%, a median of -0.22%, and a maximum of 0.84% for the week ending November 7, 2025 [11] - The CSI 500 enhanced fund had a minimum excess return of -1.05%, a median of 0.04%, and a maximum of 1.43% for the same period [11] - The CSI 1000 enhanced fund showed a minimum excess return of -1.69%, a median of -0.32%, and a maximum of 0.92% [11] Tracking Portfolio Performance - The report details that the AI-driven strategy involves weekly rebalancing with a maximum turnover rate of 10%, optimizing the combination of deep learning alpha signals and risk signals [15] - The CSI 300 enhanced portfolio has achieved a year-to-date return of 28.4%, significantly outperforming the CSI 300 index's 18.9% increase [19] - Historical performance data indicates that the CSI 500 enhanced portfolio has consistently outperformed its benchmark, with a year-to-date return of 35.3% compared to the CSI 500's 28.0% [25]