量化选股策略周报：本周市场震荡，指增组合涨跌互现-20260202

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][15] - The market indices showed mixed performance, with the Shanghai Composite Index declining by 0.44% and the Shenzhen Component Index dropping by 1.62% as of January 30, 2026 [6][9] - The report provides detailed performance metrics for various index enhancement funds, highlighting their excess returns compared to their respective benchmarks [12][13] Market Index Performance - As of January 30, 2026, the Shanghai Composite Index was at 4117.9 points, down 0.44% for the week, while the Shenzhen Component Index was at 14205.9 points, down 1.62% [10] - The CSI 300 Index increased by 0.08% to 4706.3 points, while the CSI 500 Index decreased by 2.56% to 8370.5 points [10] - The report notes that the oil and petrochemical, telecommunications, and coal industries performed well, with weekly returns of 7.95%, 5.83%, and 3.68% respectively [10][11] Index Enhancement Fund Performance - The CSI 300 index enhancement fund had an excess return range from -1.05% to 1.08%, with a median of -0.04% for the week ending January 30, 2026 [12][13] - The CSI 500 index enhancement fund showed a median excess return of 0.42%, with a maximum of 1.85% [12][13] - Year-to-date, the CSI 300 index enhancement fund has an excess return of -0.4%, while the CSI 500 index enhancement fund has an excess return of -2.6% [19][25] Tracking Portfolio Performance - The report outlines the use of deep learning frameworks to create tracking portfolios for the CSI 300, CSI 500, and CSI 1000 indices, with a weekly rebalancing strategy [15][19][23] - The CSI 300 index enhancement portfolio has a year-to-date return of 1.2%, while the CSI 500 index enhancement portfolio has a return of 9.5% [19][25] - The report indicates that the tracking error for the CSI 300 index enhancement strategy is 1.2% as of January 30, 2026 [20]