量化选股策略周报：本周市场普跌，指增组合收益承压-20251122

Core 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 21, 2025, the Shanghai Composite Index fell by 3.90%, the Shenzhen Component Index decreased by 5.13%, and the CSI 300 dropped by 3.77%, indicating a significant decline in market sentiment [5][8] - Year-to-date performance shows the CSI 300 Index has risen by 13.2%, while the CSI 300 enhanced portfolio has increased by 23.7%, resulting in an excess return of 10.5% [20] Index Enhancement Fund Performance - For the week ending November 21, 2025, the CSI 300 index enhancement fund reported an excess return ranging from -1.07% (minimum) to 3.22% (maximum), with a median of 0.29% [12][13] - Year-to-date, the CSI 500 index has increased by 19.1%, while the enhanced portfolio has risen by 26.7%, yielding an excess return of 7.7% [25][26] 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 CSI 1000 index has shown a year-to-date increase of 18.6%, while the enhanced portfolio has risen by 32.9%, resulting in an excess return of 14.2% [37][38]