2 道合 国泰海通证券2026年度策略会 F 川 道合全程实时直播 2025.11.4 周二 13:20 国泰海通证券 牆彩议题 《《《《《 13:30-14-00 14:00-14:30 《2026年度中国权益投资策略展望》 方 奕 国泰海通证券策略研究首席分析师 《2026年度港股投资策略展望》 14:30-15:00 吴信坤 国泰海通证券海外策略研究首席分析师 (2026年度宏观展望) 型中华 国泰海通证券宏观研究首席分析师 《2026年IPO市场展望》 王政之 国泰海通证券新股研究首席分析师 《2026年度基金评价展望》 16:00-16:30 《2026年度金融工程策略展望》 15:00-15:30 郑雅斌 国泰海通证券金融工程研究首席分析师 15:30-16:00 法律声明 国泰海通证券研究所官方公众号 海量研报 | 热门活动 | 视听内容 更多国泰海通研究和服务 亦可联系对口销售获取 重要提醒 本订阅号所载内容仅面向国泰海通证券研究服务签约客户。因本资料暂时无法设置访问限制，根据《证 券期货投资者适当性管理办法》的要求，若您并非国泰海通证券研究服务签约客户，为保证服务质量、 控制投资风险，还请取 ...

Core Insights - The article discusses the correlation between high-frequency factors and stock indices, highlighting that large buy/sell and small buy/large sell factors show strong positive correlation in the short term due to short-term capital effects [1] - It emphasizes the effectiveness of composite strategies over single-factor strategies, suggesting that aggressive composite strategies yield higher win rates in stable indices, while more conservative strategies are advisable in highly volatile indices [1] Summary by Sections High-Frequency Factors - Short-term large buy/sell and small buy/large sell factors exhibit strong positive correlation, driven by short-term capital movements [1] - The short-term negative correlation of large net buy factors may stem from pronounced short-term overbought conditions, leading to potential short-term declines in indices [1] Capital Flow Factor Processing - Short-term averages can quickly respond to changes in high-frequency factors, while medium-term averages serve as a reference benchmark, amplifying deviations from medium-term trends and effectively capturing short-term excess signals [1] Timing Effectiveness of High-Frequency Factors - The timing effectiveness of three high-frequency factors (small buy/large sell at open, small buy/large sell excluding close, and large buy/sell at open) is noted to be strong [1] - The annualized returns for constructed portfolios are as follows: over 15% for the CSI 300 long position (benchmark 5%), over 10% for the CSI 500 long position (benchmark 6.8%), and over 11% for the CSI 1000 long position (benchmark 5.1%) [1] - The Sharpe ratios for these combinations significantly exceed the benchmarks [1] Stability of Composite Strategies - Composite strategies demonstrate superior return stability compared to single-factor strategies [1] - In stable indices, aggressive composite strategies can achieve higher win rates, while in more volatile indices, a more conservative approach is recommended to mitigate uncertainty [1]