量化策略演进手记系列之一：中证500指数增强超额难度提升，传统多因子框架如何应对？

Group 1 - The core viewpoint of the report highlights the increasing difficulty in achieving excess returns from the CSI 500 index enhancement strategies, which have declined to levels comparable to the CSI 300 index since 2021 [1][15] - The report discusses the changes in the CSI 500 index, noting a rise in weight concentration and a decrease in error tolerance, which has made stock selection significantly more challenging [1][16] - The report identifies a decline in the effectiveness of various traditional factors within the CSI 500 stock pool, indicating a weakening of factor regularities and a reduction in the guiding significance of the 12-month ICIR for factor selection [1][24][30] Group 2 - The report proposes five improvement directions for enhancing the CSI 500 index, including stricter individual stock weight deviation limits, moderate relaxation of industry deviations, adjustments to factor exposure rules, changes in factor effectiveness judgment standards, and attempts to use certain factors in both directions [1][31] - The first improvement involves implementing stricter limits on individual stock weight deviations to mitigate the impact of increased concentration in top stocks, which has shown to improve excess returns and reduce maximum drawdown [1][34] - The second improvement suggests a moderate relaxation of industry deviation limits to enhance returns, particularly in a market characterized by high industry dispersion and frequent hot sectors [1][38] Group 3 - The report emphasizes the need to adjust factor exposure rules due to the limited effectiveness of existing factors, proposing two methods to restrict exposure based on the historical performance of factors [1][52] - The first method involves uniformly limiting exposure to 0.2 times the standard deviation for certain factors, while the second method adjusts limits based on the IC win rate of factors over the past two years [1][53] - The adjustments have shown to improve the information ratio of the enhanced portfolio, indicating a more stable performance despite some reduction in excess return elasticity [1][53]