- The report highlights the strong performance of high-frequency factors, with notable multi-granularity factor returns and differentiated excess returns in AI-enhanced portfolios [6][10][11] - High-frequency factors such as intraday skewness, downside volatility proportion, and opening buy intention proportion recorded significant multi-long-short returns and excess returns across weekly, monthly, and YTD periods [6][10][11] - Multi-granularity models (5-day and 10-day labels) achieved robust multi-long-short returns, with the 5-day label model yielding 0.91% (weekly), 2.6% (monthly), and 10.22% (YTD), while the 10-day label model delivered 0.71% (weekly), 3.06% (monthly), and 8.9% (YTD) [6][10][11] - AI-enhanced portfolios, including the Air Index Increment and CSI 500/1000 AI Enhanced portfolios, demonstrated varying excess and absolute returns under both wide and strict constraints, with weekly and daily rebalancing strategies [6][15][73] - The optimization objective for AI-enhanced portfolios is to maximize expected returns, represented by the function: $$max\sum\mu_{i}w_{i}$$ where \(w_i\) is the weight of stock \(i\) in the portfolio, and \(\mu_i\) is the expected excess return of stock \(i\) [75][76]

Quantitative Models and Construction Methods 1. Model Name: Multi-Granularity Model (5-Day Label) - **Model Construction Idea**: This model leverages deep learning techniques to capture multi-granularity features of stock data over a 5-day horizon[66] - **Model Construction Process**: The factor is trained using a bidirectional AGRU (Attention Gated Recurrent Unit) model, which processes sequential data to extract temporal dependencies and patterns[66] - **Model Evaluation**: The model demonstrates stable performance across different time periods, indicating its robustness in capturing market dynamics[66] 2. Model Name: Multi-Granularity Model (10-Day Label) - **Model Construction Idea**: Similar to the 5-day label model, this model extends the horizon to 10 days to capture longer-term patterns in stock data[70] - **Model Construction Process**: The factor is also trained using a bidirectional AGRU model, with adjustments to accommodate the extended time horizon[70] - **Model Evaluation**: The model shows consistent performance, with slightly different characteristics compared to the 5-day label model, making it suitable for longer-term strategies[70] 3. Model Name: AI-Enhanced Index Strategies - **Model Construction Idea**: Combines multiple deep learning factors (e.g., 5-day and 10-day multi-granularity models) to construct AI-enhanced index strategies with risk constraints[72] - **Model Construction Process**: - The combined factor is a weighted sum: `0.5 * Multi-Granularity Model (5-Day Label) + 0.5 * Multi-Granularity Model (10-Day Label)`[72] - Optimization objective: Maximize expected returns, represented by the function: $$ max \sum \mu_{i} w_{i} $$ where \( w_{i} \) is the weight of stock \( i \), and \( \mu_{i} \) is the expected excess return of stock \( i \)[75] - Risk control constraints include limits on individual stock weights, industry weights, market capitalization, and turnover rates[73][75] - Backtesting assumes next-day average price execution and deducts a 0.3% transaction cost[76] - **Model Evaluation**: The model effectively balances return maximization and risk control, with different configurations (e.g., wide vs. strict constraints) tailored to specific index benchmarks[72][73] --- Model Backtesting Results 1. Multi-Granularity Model (5-Day Label) - **IC**: Historical: 0.079; 2026: 0.040[14] - **e^(-RankMAE)**: Historical: 0.343; 2026: 0.334[14] - **Long-Short Return**: March: 1.68%; 2026 YTD: 9.31%[14] - **Long-Only Excess Return**: March: 1.21%; 2026 YTD: 4.95%[14] - **Monthly Win Rate**: 9/10[14] 2. Multi-Granularity Model (10-Day Label) - **IC**: Historical: 0.072; 2026: 0.040[14] - **e^(-RankMAE)**: Historical: 0.342; 2026: 0.336[14] - **Long-Short Return**: March: 2.35%; 2026 YTD: 8.19%[14] - **Long-Only Excess Return**: March: 1.48%; 2026 YTD: 4.72%[14] - **Monthly Win Rate**: 8/10[14] 3. AI-Enhanced Index Strategies - **AI Air Quality Index Strategy**: - **Weekly Rebalancing**: Excess Return: -0.12% (last week), 0.65% (March), 4.17% (2026 YTD); Absolute Return: -5.47% (last week), -7.86% (March), 6.70% (2026 YTD)[15][81] - **Daily Rebalancing**: Excess Return: -0.78% (last week), -0.08% (March), 4.41% (2026 YTD); Absolute Return: -6.12% (last week), -8.59% (March), 6.94% (2026 YTD)[15][81] - **CSI 500 AI Enhanced (Wide Constraint)**: - **Weekly Rebalancing**: Excess Return: 1.43% (last week), 5.62% (March), 2.71% (2026 YTD); Absolute Return: -4.40% (last week), -4.76% (March), 6.66% (2026 YTD)[15][83] - **Daily Rebalancing**: Excess Return: 0.60% (last week), 1.79% (March), -2.71% (2026 YTD); Absolute Return: -5.23% (last week), -8.58% (March), 1.24% (2026 YTD)[15][83] - **CSI 500 AI Enhanced (Strict Constraint)**: - **Weekly Rebalancing**: Excess Return: 0.35% (last week), 3.51% (March), 2.73% (2026 YTD); Absolute Return: -5.47% (last week), -6.87% (March), 6.68% (2026 YTD)[15][89] - **Daily Rebalancing**: Excess Return: 0.31% (last week), 2.10% (March), 1.42% (2026 YTD); Absolute Return: -5.52% (last week), -8.27% (March), 5.37% (2026 YTD)[15][89] - **CSI 1000 AI Enhanced (Wide Constraint)**: - **Weekly Rebalancing**: Excess Return: 0.79% (last week), 3.52% (March), 4.19% (2026 YTD); Absolute Return: -4.46% (last week), -5.56% (March), 6.67% (2026 YTD)[15][91] - **Daily Rebalancing**: Excess Return: -0.20% (last week), 1.81% (March), 1.92% (2026 YTD); Absolute Return: -5.44% (last week), -7.27% (March), 4.40% (2026 YTD)[15][91] - **CSI 1000 AI Enhanced (Strict Constraint)**: - **Weekly Rebalancing**: Excess Return: 0.57% (last week), 2.55% (March), 3.67% (2026 YTD); Absolute Return: -4.68% (last week), -6.53% (March), 6.15% (2026 YTD)[15][97] - **Daily Rebalancing**: Excess Return: 0.75% (last week), 1.87% (March), 3.72% (2026 YTD); Absolute Return: -4.49% (last week), -7.21% (March), 6.20% (2026 YTD)[15][97]

- High-frequency factors showed differentiation, with large-order factors performing well and multi-granularity factors continuing to perform stably[1][2][5] - AI-enhanced portfolios continued to perform strongly[1][2][5] - The intra-day high-frequency skewness factor had a long-short return of -1.11% for the past week and February, and 2.89% for 2026[5] - The intra-day downside volatility proportion factor had a long-short return of -0.61% for the past week and February, and 4.14% for 2026[5] - The post-opening buying intention proportion factor had a long-short return of -0.04% for the past week and February, and 3.82% for 2026[5] - The post-opening buying intention intensity factor had a long-short return of -0.79% for the past week and February, and 3.56% for 2026[5] - The post-opening large-order net buying proportion factor had a long-short return of 0.34% for the past week and February, and 2.89% for 2026[5] - The post-opening large-order net buying intensity factor had a long-short return of 0.29% for the past week and February, and 2.15% for 2026[5] - The intra-day return factor had a long-short return of 0.19% for the past week and February, and 2.93% for 2026[5] - The end-of-day trading proportion factor had a long-short return of -0.4% for the past week and February, and 3.9% for 2026[5] - The average single outflow amount proportion factor had a long-short return of -0.43% for the past week and February, and -1.99% for 2026[5] - The large-order driven rise factor had a long-short return of -0.99% for the past week and February, and 0.41% for 2026[5] - The multi-granularity model (5-day label) factor had a long-short return of 0.65% for the past week and February, and 6.15% for 2026, with a long-only excess return of 0.18% for the past week and February, and 3.45% for 2026[5] - The multi-granularity model (10-day label) factor had a long-short return of 0.53% for the past week and February, and 4.6% for 2026, with a long-only excess return of 0.26% for the past week and February, and 3.01% for 2026[5] - The weekly rebalanced AI air value enhancement portfolio had an excess/absolute return of 3.63%/3.29% for the past week and February, and 6.18%/13.66% for 2026[5] - The daily rebalanced AI air value enhancement portfolio had an excess/absolute return of 3.83%/3.48% for the past week and February, and 6.60%/14.08% for 2026[5] - The weekly rebalanced CSI 500 AI-enhanced wide constraint portfolio had an excess/absolute return of 2.25%/-0.42% for the past week and February, and -0.11%/9.01% for 2026[5] - The daily rebalanced CSI 500 AI-enhanced wide constraint portfolio had an excess/absolute return of 2.08%/-0.59% for the past week and February, and -1.01%/8.11% for 2026[5] - The weekly rebalanced CSI 500 AI-enhanced strict constraint portfolio had an excess/absolute return of 1.29%/-1.38% for the past week and February, and -0.21%/8.91% for 2026[5] - The daily rebalanced CSI 500 AI-enhanced strict constraint portfolio had an excess/absolute return of 1.46%/-1.22% for the past week and February, and 0.44%/9.56% for 2026[5] - The weekly rebalanced CSI 1000 AI-enhanced wide constraint portfolio had an excess/absolute return of 2.66%/0.20% for the past week and February, and 4.21%/10.22% for 2026[5] - The daily rebalanced CSI 1000 AI-enhanced wide constraint portfolio had an excess/absolute return of 2.43%/-0.03% for the past week and February, and 3.40%/9.40% for 2026[5] - The weekly rebalanced CSI 1000 AI-enhanced strict constraint portfolio had an excess/absolute return of 1.65%/-0.82% for the past week and February, and 2.55%/8.56% for 2026[5] - The daily rebalanced CSI 1000 AI-enhanced strict constraint portfolio had an excess/absolute return of 1.46%/-1.00% for the past week and February, and 3.90%/9.90% for 2026[5]

- The high-frequency skewness factor had long-short returns of 0.67% last week, -1.18% in December, and 22.39% year-to-date 2025[5] - The intraday downside volatility factor had long-short returns of 0.87% last week, -1.33% in December, and 19.08% year-to-date 2025[5] - The post-open buying intention proportion factor had long-short returns of 0.66% last week, 0.61% in December, and 21.12% year-to-date 2025[5] - The post-open buying intention intensity factor had long-short returns of 0.46% last week, 0.94% in December, and 28.09% year-to-date 2025[5] - The post-open large order net buying proportion factor had long-short returns of -0.21% last week, 0.17% in December, and 22.11% year-to-date 2025[5] - The post-open large order net buying intensity factor had long-short returns of -0.25% last week, 0.38% in December, and 12.5% year-to-date 2025[5] - The intraday return factor had long-short returns of 0.35% last week, 0.91% in December, and 22.33% year-to-date 2025[5] - The end-of-day trading proportion factor had long-short returns of -0.94% last week, 1.04% in December, and 16.73% year-to-date 2025[5] - The average single transaction outflow proportion factor had long-short returns of -1.15% last week, -2.15% in December, and -8.11% year-to-date 2025[5] - The large order push-up factor had long-short returns of 0.41% last week, -0.93% in December, and 7.19% year-to-date 2025[5] - The GRU(10,2)+NN(10) factor had long-short returns of 1.13% last week, -0.47% in December, and 47.04% year-to-date 2025, with long-only excess returns of -0.2% last week, -0.26% in December, and 7.1% year-to-date 2025[5] - The GRU(50,2)+NN(10) factor had long-short returns of 1.66% last week, 0.19% in December, and 47.39% year-to-date 2025, with long-only excess returns of 0.15% last week, 0.06% in December, and 8.92% year-to-date 2025[5] - The multi-granularity model (5-day label) factor had long-short returns of 2.46% last week, 1.12% in December, and 68.13% year-to-date 2025, with long-only excess returns of 0.74% last week, -0.18% in December, and 24.48% year-to-date 2025[5] - The multi-granularity model (10-day label) factor had long-short returns of 2.26% last week, 1.11% in December, and 62.71% year-to-date 2025, with long-only excess returns of 0.76% last week, -0.5% in December, and 24.3% year-to-date 2025[5] - The weekly rebalanced CSI 500 AI-enhanced wide constraint portfolio had excess returns of 0.41% last week, -2.64% in December, and 5.46% year-to-date 2025[5] - The weekly rebalanced CSI 500 AI-enhanced strict constraint portfolio had excess returns of 0.92% last week, -1.62% in December, and 9.23% year-to-date 2025[5] - The weekly rebalanced CSI 1000 AI-enhanced wide constraint portfolio had excess returns of 1.55% last week, -2.69% in December, and 15.39% year-to-date 2025[5] - The weekly rebalanced CSI 1000 AI-enhanced strict constraint portfolio had excess returns of 1.48% last week, -1.45% in December, and 19.02% year-to-date 2025[5]