Caitong Securities(SH:601108) CAITONG SECURITIES·2025-11-15 08:34Core Insights - The report emphasizes the construction of an AI-based low-frequency index enhancement strategy using deep learning frameworks to build alpha and risk models [3] Market Index Performance - As of November 14, 2025, the Shanghai Composite Index decreased by 0.18%, the Shenzhen Component Index fell by 1.40%, and the CSI 300 Index dropped by 1.08%, indicating a turbulent market with most indices declining [5][8] - Year-to-date performance shows the CSI 300 Index has risen by 17.6%, while the CSI 300 enhanced portfolio has increased by 28.5%, yielding an excess return of 10.9% [20] - The CSI 500 Index has increased by 26.4% year-to-date, with its enhanced portfolio up by 35.0%, resulting in an excess return of 8.6% [25] - The CSI 1000 Index has risen by 25.9% this year, while its enhanced portfolio has surged by 41.7%, achieving an excess return of 15.8% [31] Index Enhancement Fund Performance - For the week ending November 14, 2025, the CSI 300 enhanced fund had an excess return ranging from -1.98% to 1.21%, with a median of 0.24% [12][13] - The CSI 500 enhanced fund's excess return ranged from -0.59% to 2.09%, with a median of 0.32% [12][13] - The CSI 1000 enhanced fund showed an excess return between -0.92% and 1.86%, with a median of 0.03% [12][13] Tracking Portfolio Performance - The report outlines the construction of enhanced portfolios for the CSI 300, CSI 500, and CSI 1000 indices using deep learning frameworks, with weekly rebalancing and a maximum turnover rate of 10% [16] - The alpha signals are derived from a multi-source feature set and stacked multi-model strategies, while risk signals are identified using neural networks [16] CSI 300 Enhanced Portfolio Performance - As of November 14, 2025, the CSI 300 enhanced portfolio has achieved a year-to-date return of 28.5%, compared to the CSI 300's 17.6%, resulting in an excess return of 10.9% [20][21] CSI 500 Enhanced Portfolio Performance - The CSI 500 enhanced portfolio has recorded a year-to-date return of 35.0%, outperforming the CSI 500's 26.4% return, leading to an excess return of 8.6% [25][26] CSI 1000 Enhanced Portfolio Performance - The CSI 1000 enhanced portfolio has increased by 41.7% year-to-date, significantly surpassing the CSI 1000's 25.9% return, resulting in an excess return of 15.8% [31][32]