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]

- The report discusses a multi-factor model suitable for the constituents of the CSI 300 Index, combined with a small-cap high-growth portfolio as an external satellite strategy to improve the performance of the CSI 300 enhanced strategy[1][3][5] - The internal part of the enhanced strategy uses a multi-factor model based on fundamental and momentum indicators, including factors such as ROE, ROE YoY, SUE, expected net profit adjustment, accelerated growth, cash flow ratio, value (dividend yield and BP equal weight composite), momentum, buy-in strength after opening, and large order-driven rise[16][17] - The external part of the enhanced strategy uses a small-cap high-growth portfolio, constructed using factors such as SUE, EAV, expected net profit adjustment, cumulative R&D investment, PB_INT, small-cap, late trading volume ratio, and large order net buy-in ratio after opening[35][36] - The internal multi-factor model shows more stable stock selection performance within the CSI 300 Index constituents compared to the all-A multi-factor model, with higher IC and RankIC information ratios[16][17] - The small-cap high-growth portfolio has an annualized return of 25.0% since 2016, with an annualized excess return of 24.4% relative to the CSI 300 Index, but also higher tracking error[35][36] - The GARP strategy, which balances growth potential and reasonable pricing, is also considered as an external satellite strategy, showing an annualized return of 20.9% for the GARP 20 portfolio and 17.4% for the GARP 50 portfolio since 2016[39][40][42] - Combining the internal multi-factor model and external satellite strategies (small-cap high-growth or GARP) can significantly improve the performance of the CSI 300 enhanced strategy, with annualized excess returns not less than 10% and information ratios above 2.0 since 2016[29][45][55] Model and Factor Construction Process - **Internal Multi-Factor Model**: Constructed using fundamental and momentum indicators, including ROE, ROE YoY, SUE, expected net profit adjustment, accelerated growth, cash flow ratio, value (dividend yield and BP equal weight composite), momentum, buy-in strength after opening, and large order-driven rise[16][17] - **Small-Cap High-Growth Portfolio**: Constructed using factors such as SUE, EAV, expected net profit adjustment, cumulative R&D investment, PB_INT, small-cap, late trading volume ratio, and large order net buy-in ratio after opening[35][36] - **GARP Strategy**: Constructed by excluding high-risk stocks, using PB and dividend yield as value factors, and ROE, SUE, EAV, expected net profit adjustment, and two-year compound growth rate as growth factors, selecting the top 20 or 50 stocks based on composite scores[41][42] Model and Factor Performance Metrics - **Internal Multi-Factor Model**: IC monthly average 6.36%, IC monthly win rate 67.0%, annualized ICIR 1.67; RankIC monthly average 7.53%, RankIC monthly win rate 72.2%, annualized ICIR 2.00[17] - **Small-Cap High-Growth Portfolio**: Annualized return 25.0%, annualized excess return 24.4%, tracking error 20.3%, information ratio 1.21, relative drawdown 39.6%, monthly win rate 61.4%[36] - **GARP 20 Portfolio**: Annualized return 20.9%, annualized excess return 20.3%, tracking error 15.8%, information ratio 1.26, relative drawdown 36.0%[42] - **GARP 50 Portfolio**: Annualized return 17.4%, annualized excess return 16.8%, tracking error 14.6%, information ratio 1.14, relative drawdown 37.2%[42] Combined Strategy Performance - **Internal 20% + External 10% (Small-Cap High-Growth)**: Annualized excess return 11.7%, information ratio 2.35, tracking error 5.2%, relative drawdown 21.9%[45][48] - **Internal 20% + External 10% (GARP)**: Annualized excess return 11.3%, information ratio 2.41, tracking error 4.3%, relative drawdown 5.8%[50][53]

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]

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]