- The report tracks high-frequency stock selection factors, including Price Range Factor, Price-Volume Divergence Factor, Regret Avoidance Factor, and Slope Convexity Factor, with their out-of-sample performance showing overall excellence[2][3][11] - Price Range Factor measures the activity level of stocks traded within different intraday price ranges, reflecting investors' expectations for future stock trends. It demonstrates strong predictive power and stable performance this year[3][11][17] - Price-Volume Divergence Factor evaluates the correlation between stock prices and trading volumes. Lower correlation typically indicates higher potential for future stock price increases. However, its performance has been unstable in recent years, with multi-long net value curves flattening[3][22][26] - Regret Avoidance Factor examines the proportion and degree of stock rebounds after being sold by investors, showcasing good predictive power. Its out-of-sample excess returns are stable, indicating that A-share investors' regret avoidance sentiment significantly impacts stock price expectations[3][27][36] - Slope Convexity Factor analyzes the slope and convexity of order books to assess the impact of investor patience and supply-demand elasticity on expected returns. It is constructed using high-frequency snapshot data from limit order books[3][37][42] - The report combines three high-frequency factors into an equal-weighted "Gold" portfolio for CSI 1000 Index enhancement strategy, achieving an annualized excess return rate of 10.51% and a maximum excess drawdown of 6.04%[3][44][45] - To further enhance strategy performance, the report integrates high-frequency factors with three effective fundamental factors (Consensus Expectations, Growth, and Technical Factors) to construct a high-frequency & fundamental resonance portfolio for CSI 1000 Index enhancement strategy. This strategy achieves an annualized excess return rate of 14.57% and a maximum excess drawdown of 4.52%[4][49][51] Factor Backtesting Results - Price Range Factor: Weekly excess return 0.40%, monthly excess return 0.51%, annual excess return 5.86%[2][13][17] - Price-Volume Divergence Factor: Weekly excess return -0.24%, monthly excess return 1.53%, annual excess return 9.00%[2][13][26] - Regret Avoidance Factor: Weekly excess return 0.27%, monthly excess return -0.49%, annual excess return 2.32%[2][13][36] - Slope Convexity Factor: Weekly excess return -1.74%, monthly excess return -2.46%, annual excess return -5.90%[2][13][42] Strategy Performance Metrics - "Gold" Portfolio: Annualized return 9.49%, annualized excess return 10.51%, Sharpe ratio 0.39, IR 2.47, maximum excess drawdown 6.04%[45][47][48] - High-frequency & Fundamental Resonance Portfolio: Annualized return 13.62%, annualized excess return 14.57%, Sharpe ratio 0.58, IR 3.50, maximum excess drawdown 4.52%[51][53][55]

Core Viewpoint - The article discusses the construction of three categories of all-market stock selection combinations and two categories of industry stock selection combinations, focusing on expected marginal improvement, expected risks, and high-quality operations as key investment logic [1][2]. Group 1: All-Market Stock Selection - The three categories of all-market stock selection combinations are designed to identify investment opportunities through multi-dimensional analysis of analyst expectations [2]. - The approach to expected risks involves effectively selecting "high-low wave" assets to respond to a "barbell-type" market [2]. - High-quality operations are emphasized, focusing on industries with upward business cycles and companies with high operational efficiency [2]. Group 2: Industry Stock Selection - In the TMT (Technology, Media, and Telecommunications) sector, the core logic for stock selection is based on an upward growth cycle supported by valuation fundamentals [3]. - For the new energy industry chain, companies with fundamental support and market recognition are selected [3]. Group 3: Multi-Strategy Index Enhancement - The multi-strategy enhancement of the CSI 1000 index is based on historical holdings from the three all-market and two industry stock selection combinations, with monthly rebalancing [4]. - The strategy allocates 80% of the index components according to their weight in the index and 20% based on an internal equal-weight configuration [4]. - Historical performance from October 31, 2014, to February 28, 2025, shows an annualized excess return of 14.6% relative to the CSI 1000 index, with a Sharpe ratio of 2.5 and a maximum drawdown of only 8.3% [4].