Core Insights - The report indicates a general rebound in high-frequency factors, with significant improvement in multi-granularity factor long positions, and AI-enhanced portfolios showing stable performance with positive returns across multiple combinations [2][5]. High-Frequency Factors and Deep Learning Factors Summary - High-frequency skew factor returns for the last week, November, and 2025 YTD are 1.93%, 1.29%, and 23.56% respectively [5][10]. - Downward volatility proportion factor returns for the last week, November, and 2025 YTD are 1.63%, 1.44%, and 20.42% respectively [5][10]. - Opening buy intention proportion factor returns for the last week, November, and 2025 YTD are 1.21%, 1.17%, and 20.51% respectively [5][10]. - Opening buy intention strength factor returns for the last week, November, and 2025 YTD are 1.17%, 1.36%, and 27.15% respectively [5][10]. - Opening large order net buy proportion factor returns for the last week, November, and 2025 YTD are 1.35%, 1.00%, and 21.94% respectively [5][10]. - Opening large order net buy strength factor returns for the last week, November, and 2025 YTD are 0.97%, -0.49%, and 12.12% respectively [5][10]. - Daily return factor for the last week, November, and 2025 YTD is 0.01%, -0.60%, and 21.42% respectively [5][10]. - End-of-day transaction proportion factor returns for the last week, November, and 2025 YTD are 1.64%, -0.07%, and 15.70% respectively [5][10]. - Average single outflow amount proportion factor returns for the last week, November, and 2025 YTD are 0.02%, -2.91%, and -5.96% respectively [5][10]. - Large order driving increase factor returns for the last week, November, and 2025 YTD are -0.34%, -0.49%, and 8.12% respectively [5][10]. AI Enhanced Portfolio Performance - The weekly rebalancing of the CSI 500 AI enhanced wide constraint portfolio shows excess returns of -0.08%, 4.36%, and 8.33% for the last week, November, and 2025 YTD respectively [5][13]. - The weekly rebalancing of the CSI 500 AI enhanced strict constraint portfolio shows excess returns of 0.19%, 2.75%, and 11.02% for the last week, November, and 2025 YTD respectively [5][13]. - The weekly rebalancing of the CSI 1000 AI enhanced wide constraint portfolio shows excess returns of 0.11%, 4.58%, and 18.58% for the last week, November, and 2025 YTD respectively [5][13]. - The weekly rebalancing of the CSI 1000 AI enhanced strict constraint portfolio shows excess returns of 0.11%, 1.93%, and 20.77% for the last week, November, and 2025 YTD respectively [5][13].
高频选股因子周报-20251201
GUOTAI HAITONG SECURITIES·2025-12-01 12:15