中证500指数增强组合

Search documents
量化选股策略周报:指增组合本周超额回撤-20250816
CAITONG SECURITIES· 2025-08-16 13:04
指增组合本周超额回撤 分析师 缪铃凯 SAC 证书编号:S0160525060003 miaolk@ctsec.com 相关报告 1. 《沪深 300 增强超额收益创年内新高》 2025-08-09 2. 《 指 增 组 合 本 周 抗 跌 效 果 显 著 》 2025-08-02 3. 《深度学习因子选股体系》 2025- 08-01 证券研究报告 量化选股策略周报/ 2025.08.16 核心观点 ❖ 风险提示:因子失效风险,模型失效风险,市场风格变动风险。 请阅读最后一页的重要声明! ❖ 本周市场指数表现:截至 2025-08-15,本周上证指数上涨 1.70%,深证 成指上涨 4.55%,沪深 300 上涨 2.37%,上证指数创 2022 年以来新高。 ❖ 我们基于深度学习框架构建 alpha 和风险模型,打造 AI 体系下的低 频指数增强策略,组合周度调仓,年单边换手率约 5.5 倍。最终,通 过组合优化勾连深度学习 alpha 信号与风险信号构建沪深 300、中证 500 和中证 1000 指数增强组合。 ❖ 截至 2025-08-15,今年以来沪深 300 指数上涨 6.8%,沪深 300 指 ...
中证 1000 增强组合年内超额9.41%【国信金工】
量化藏经阁· 2025-06-01 03:19
Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 1.06% this week and 4.21% year-to-date [1][5] - The CSI 500 index enhanced portfolio recorded an excess return of -0.05% this week and 6.45% year-to-date [1][5] - The CSI 1000 index enhanced portfolio had an excess return of 0.72% this week and 9.41% year-to-date [1][5] - The CSI A500 index enhanced portfolio reported an excess return of 0.36% this week and 6.44% year-to-date [1][5] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month volatility, one-month volatility, and standardized unexpected earnings performed well [1][6] - In the CSI 500 component stocks, factors like quarterly revenue growth year-on-year, standardized unexpected revenue, and non-liquidity shocks showed strong performance [1][6] - For the CSI 1000 component stocks, factors such as EPTTM one-year percentile, SPTTM, and BP performed well [1][6] - In the CSI A500 index component stocks, factors like BP, quarterly EP, and three-month volatility showed good performance [1][6] - Among publicly offered fund heavy stocks, factors like quarterly unexpected magnitude, standardized unexpected earnings, and standardized unexpected revenue performed well [1][6] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 1.37%, a minimum of -0.21%, and a median of 0.32% this week [1][19] - The CSI 500 index enhanced products had a maximum excess return of 0.92%, a minimum of -0.09%, and a median of 0.35% this week [1][20] - The CSI 1000 index enhanced products had a maximum excess return of 0.98%, a minimum of -0.21%, and a median of 0.24% this week [1][22] - The CSI A500 index enhanced products had a maximum excess return of 0.70%, a minimum of -0.19%, and a median of 0.36% this week [1][24]
中证 1000 增强组合年内超额8.10%【国信金工】
量化藏经阁· 2025-05-18 02:44
Group 1 - The core viewpoint of the article is to track the performance of index enhancement portfolios and the effectiveness of various stock selection factors across different indices [1][2][3] Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.37% for the week and 2.84% year-to-date [5] - The performance of the Zhongzheng 500 index enhancement portfolio showed an excess return of 1.06% for the week and 5.87% year-to-date [5] - The Zhongzheng 1000 index enhancement portfolio had an excess return of 1.73% for the week and 8.10% year-to-date [5] - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.53% for the week and 5.78% year-to-date [5] Group 3 - In the HuShen 300 component stocks, factors such as one-month reversal, expected PEG, and expected EPTTM performed well [6] - In the Zhongzheng 500 component stocks, one-month reversal, single-quarter SP, and SPTTM factors showed strong performance [6] - For Zhongzheng 1000 component stocks, factors like DELTAROA, executive compensation, and standardized expected external earnings performed well [6] - In the Zhongzheng A500 index component stocks, three-month reversal, single-quarter ROE, and one-month reversal factors were effective [6] - Among public fund heavy stocks, one-month reversal, three-month reversal, and single-quarter EP factors performed well [6] Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.10%, a minimum of -0.76%, and a median of 0.06% for the week [19] - The Zhongzheng 500 index enhancement products had a maximum excess return of 0.99%, a minimum of -0.08%, and a median of 0.40% for the week [21] - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.81%, a minimum of -0.28%, and a median of 0.26% for the week [20] - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.39%, a minimum of -0.52%, and a median of 0.23% for the week [22] Group 5 - The total number of public fund HuShen 300 index enhancement products is 67, with a total scale of 778 billion [16] - There are 70 Zhongzheng 500 index enhancement products with a total scale of 454 billion [16] - The Zhongzheng 1000 index enhancement products consist of 46 products with a total scale of 150 billion [16] - The Zhongzheng A500 index enhancement products have 35 products with a total scale of 223 billion [16]