Core Insights - The report highlights that the market indices have shown positive performance, with the Shanghai Composite Index rising by 1.70% and the Shenzhen Component Index increasing by 4.55% as of August 15, 2025, marking a new high since 2022 [5][8] - The report emphasizes the construction of an AI-based low-frequency index enhancement strategy using deep learning frameworks, which has resulted in significant outperformance of enhanced index portfolios compared to their respective benchmarks [5][13] Market Index Performance - As of August 15, 2025, the Shanghai Composite Index increased by 1.70%, the Shenzhen Component Index by 4.55%, and the CSI 300 Index by 2.37%, with the Shanghai Composite Index reaching a new high since 2022 [5][9] - Year-to-date performance shows the CSI 300 Index up by 6.8%, while the CSI 300 enhanced portfolio has risen by 17.1%, yielding an excess return of 10.3% [5][17] - The CSI 500 Index has increased by 14.7% year-to-date, with its enhanced portfolio up by 21.6%, resulting in an excess return of 6.9% [5][22] - The CSI 1000 Index has seen a year-to-date increase of 19.5%, with its enhanced portfolio rising by 29.4%, leading to an excess return of 9.9% [5][29] Enhanced Portfolio Performance - The report details the performance of the CSI 300 enhanced portfolio, which has achieved a return of 17.1% year-to-date compared to the CSI 300's 6.8% [17][18] - The CSI 500 enhanced portfolio has delivered a year-to-date return of 21.6%, outperforming the CSI 500's 14.7% [22][23] - The CSI 1000 enhanced portfolio has recorded a year-to-date return of 29.4%, significantly higher than the CSI 1000's 19.5% [29][30] Sector Performance - The report notes that the telecommunications, electronics, and non-bank financial sectors performed well this week, with weekly returns of 7.66%, 7.02%, and 6.48% respectively [9][10] - Conversely, the banking, steel, and textile sectors underperformed, with weekly returns of -3.19%, -2.04%, and -1.37% respectively [9][10]

Core Insights - The report emphasizes the development of a deep learning factor selection system for stock prediction and portfolio optimization, shifting from traditional logic-driven methods to data-driven approaches [7][10]. - The system integrates diverse data sources, including daily and minute market data, to enhance the performance of alpha signals [7][10]. - The report outlines the construction of multiple models that utilize different network architectures to extract unique alpha signals, demonstrating low correlation among them [8][54]. Data and Network - The input data consists of three categories: daily market data, minute market data, and manually crafted features, with neural networks independently extracting alpha features from each dataset [11]. - The report describes the use of Long Short-Term Memory (LSTM) networks combined with self-attention mechanisms to capture long-term dependencies in time series data [19]. - A Graph Attention Network (GAT) is employed to model the complex relationships between stocks, providing a global analysis perspective [20]. Alpha Models - The report presents various alpha models, including simple equal-weight, tree model weighting, and network weighting, with a focus on combining multiple signals to enhance robustness [3][3.1][3.2]. - The average Information Coefficient (IC) for the combined factors since 2019 is reported as 11.3% for 5-day IC and 12.4% for 10-day IC, indicating strong predictive power [31][32]. Risk Models - The report highlights the use of neural networks to identify high-dimensional non-linear risk patterns directly from raw price and volume data, enhancing risk control in portfolio construction [9]. Index Enhancement Strategies - The report details the performance of enhanced index strategies based on deep learning alpha signals, with annualized returns reported as follows: - CSI 300 enhanced portfolio: 18.2% annualized return, 14.2% excess return over the index [3][5.1]. - CSI 500 enhanced portfolio: 22.4% annualized return, 17.2% excess return over the index [3][5.2]. - CSI 1000 enhanced portfolio: 29.8% annualized return, 24.5% excess return over the index [3][5.3].