Core Insights - The report highlights the strong performance of the CSI 1000 index, which achieved a return of 1.18% during the week of October 27-31, 2025, making it one of the top-performing indices [3][7]. - For the year, the CSI 1000 index has shown a return of 29.99%, outperforming the benchmark index by 3.99% [4][15]. Market Performance - In the week of October 27-31, 2025, the CSI 1000 and CSI 500 indices led in returns, with gains of 1.18% and 1.00%, respectively, while the STAR 50 and SSE 50 indices lagged with returns of -3.19% and -1.12% [3][7]. - Year-to-date, the Micro Index and ChiNext Index have performed exceptionally well, with returns of 67.31% and 48.84%, while the CSI Dividend and SSE 50 indices have underperformed, returning 0.83% and 12.17% [8]. Strategy Performance - The CSI 1000 index enhancement strategy yielded a return of 1.03% for the week, slightly underperforming the index return of 1.18%, resulting in an excess return of -0.15% [4][12]. - In October, the strategy achieved a return of 0.27%, outperforming the index, which had a return of -0.90%, leading to an excess return of 1.17% [14]. - For the year, the strategy's return stands at 29.99%, compared to the index's 26.00%, resulting in an excess return of 3.99% [15]. Investment Recommendations - The CSI 1000 index is noted for its strong performance in 2025, attributed to its strategic focus on sectors such as new energy, semiconductors, and medical devices, which are considered frontier industries [5][18]. - The index is characterized by significant valuation elasticity and policy expectations, making it a high-risk, high-volatility investment option as market risk appetite is expected to tighten towards year-end [5][18].

- The report tracks the performance of style factors, including Beta, liquidity, leverage, profitability, and market capitalization, with Beta and liquidity showing strong long positions, while leverage, profitability, and market capitalization exhibit strong short positions [2][16] - Style factors are constructed using various metrics, such as historical Beta, logarithm of total market capitalization, historical excess return averages for momentum, and a weighted combination of volatility measures for the volatility factor. For example, the volatility factor is calculated as $ 0.74 * historical excess return volatility + 0.16 * cumulative excess return deviation + 0.1 * historical residual return volatility $ [15] - Fundamental factors, including growth-related financial metrics and static financial metrics, are tested across different stock pools (e.g., CSI 300, CSI 500, CSI 1000). Growth-related financial factors generally show mixed or negative performance, while static financial factors exhibit varied results depending on the stock pool [3][4][5][6][18][20][23][25] - Technical factors, such as momentum and volatility, generally show positive performance across stock pools, with high-volatility and high-momentum stocks being dominant. For example, the 120-day momentum factor and 20-day volatility factor are highlighted for their significant contributions [3][4][5][6][18][20][23][26] - GRU factors are tested using different models (e.g., barra1d, barra5d, close1d), with performance varying across stock pools. For instance, barra1d shows strong positive performance in CSI 500 and CSI 1000 pools, while close1d experiences significant drawdowns in CSI 1000 [3][4][5][6][18][20][23][26] - Multi-factor strategies and GRU-based long portfolios are evaluated against the CSI 1000 index. GRU long portfolios show weak performance this week, with relative drawdowns of 0.11%-0.25%, while the barra5d model demonstrates strong year-to-date performance, achieving an excess return of 8.36% [7][30][31]