国泰海通量化选股系列-让深度学习因子适应不同市场环境

目录多粒深学因局性 3多粒因表与格征分析 3正交格子多度子表现 9从特开的深学因子试 13多粒因的征择模型建架析 13多源度习子建 14多源度习子现 16多源度习子风因子露析 23添加格罚多深学习子 273. 总结 37风险示 38多粒度深度学习因子局限性多粒度因子表现与风格特征分析多粒度深度学习因子是过去很长时间有较优表现得深度学习因子，其模型GRUK线，1ICIC-IR多头收益多头胜率空头收益空头胜率ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率多粒度1周标签0.0855.7190.62%72.6%-1.24%17.1%1.86%83.2%多粒度2周标签0.0794.9450.50%69.4%-1.20%19.1%1.70%78.8%多粒度1、2周均值0.0845.4090.58%70.3%-1.25%17.6%1.83%80.9%资料来源：Wind，

从全市场来看，因子表现较为亮眼，有不错的IC以及多头收益，然而如果拆分到不同的选股范围，表现如下表：ICIC-IR多头收益多头胜率空头收益空头胜率ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率沪深300多粒度1周标签0.0492.2060.22%59.4%-0.46%35.3%0.68%60.9%多粒度2周标签0.0502.0990.22%56.2%-0.42%38.8%0.64%59.1%多粒度1、2周均值0.0522.1980.21%57.1%-0.43%39.1%0.65%58.5%中证500多粒度1周标签0.0492.5300.29%59.7%-0.53%31.8%0.83%66.2%多粒度2周标签0.0422.0620.20%57.6%-0.45%36.8%0.65%61.5%多粒度1、2周均值0.0482.3500.30%59.7%-0.49%35.9%0.79%65.0%中证1000多粒度1周标签0.0674.0070.51%66.5%-0.95%24.7%1.46%74.1%多粒度2周标签0.0613.2920.33%61.5%-0.91%23.8%1.25%70.9%多粒度1、2周均值0.0663.7280.44%65.3%-0.93%22.4%1.37%74.4%小市值多粒度1周标签0.0916.2310.63%71.5%-1.51%16.8%2.14%84.1%多粒度2周标签0.0865.3840.54%69.4%-1.47%18.5%2.01%80.9%多粒度1、2周均值0.0905.8700.62%70.6%-1.53%16.8%2.14%83.5%资料来源：Wind，

10003001000IC52图1：多粒度1周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）

图2：多粒度2周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）2.5%2.0%1.5%1.0%0.5%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629

1.6%1.4%1.2%1.0%0.8%0.6%0.4%0.2%0.0%-0.2%-0.4%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629全市场 沪深300 中证500中证1000 小市值资料来源：Wind， 资料来源

全市场 沪深300 中证500中证1000 小市值图252周滑动平均（2021.01-2026.08）2.0%1.5%1.0%0.5%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629

全市场 沪深300 中证500中证1000 小市值300,500以100020242920266明显偏低，300成分内表现波动反而更大，而1000与500成分内的表现整体呈现向下的趋势，并且表现越来越接近。增组合超额均以全A表3：多粒度因子空气指增组合表现（2020.01-2026.08）绝绝对收益超额收益多粒度1周标签2周标签1、2多粒度1周标签2周标签1、2年化收益15.40%41.87%23.81%4.02%27.88%11.60%夏普|信息比0.5791.4450.8640.4202.2121.045最大回撤41.29%44.48%42.53%21.57%25.18%21.37%收益回撤比0.3730.9410.5600.1871.1070.543资料来源：Wind，收益净值走势与分年度表现如下图：图4：多粒度因子空气指增组合绝对收益净值走势（2020.01-2026.08）

图5：多粒度因子空气指增组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）8.86.84.82.820191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%60%40%20%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%-45%-50%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图6：多粒度因子空气指增组合超额收益净值走势（2020.01-2026.08）

图7：多粒度因子空气指增组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）5.34.84.33.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%70%60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，22.244%25%2026年5728%10%。用多粒度因子构建500增强组合，其表现如下表：表4：多粒度因子500增强组合表现（2020.01-2026.08）绝绝对收益超额收益多粒度1周标签2周标签1、2多粒度1周标签2周标签1、2年化收益4.71%18.55%8.69%-1.56%11.45%2.18%夏普|信息比0.2180.8960.408-0.3062.0300.405最大回撤46.17%27.33%34.47%19.31%7.38%9.62%收益回撤比0.1020.6790.252-0.0811.5510.227资料来源：Wind，收益净值走势与分年度表现如下图：图8：多粒度因子500增强组合绝对收益净值走势（2020.01-2026.08）

图9：多粒度因子500增强组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）3.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图10：多粒度因子500增强组合超额收益净值走势（2020.01-2026.08）

图11：多粒度因子500增强组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）2.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

25%20%15%10%

2020 2021 2022 2023 2024 2025

0%-1%-2%-3%-4%-5%-6%-7%-8%-9%-10%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，用多粒度因子构建1000增强组合，其表现如下表：表5：多粒度因子1000增强组合表现（2020.01-2026.08）绝绝对收益超额收益多粒度1周标签2周标签1、2多粒度1周标签2周标签1、2年化收益7.82%23.75%14.78%2.57%17.72%9.18%夏普|信息比0.3311.0210.6350.4392.6811.506最大回撤41.48%30.15%31.93%13.07%8.68%10.08%收益回撤比0.1890.7880.4630.1962.0400.911资料来源：Wind，收益净值走势与分年度表现如下图：图12：多粒度因子1000增强组合绝对收益净值走势（2020.01-2026.08）

图13：多粒度因子1000增强组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）5.34.84.33.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图14：多粒度因子1000增强组合超额收益净值走势（2020.01-2026.08）

图15：多粒度因子1000增强组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）3.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

35%30%25%20%15%10%

2020 2021 2022 2023 2024 2025

0%-2%-4%-6%-8%-10%-12%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，250010002026500202610001.55%8%2026A5001000合的高波动是造成2026年超额收益不尽人意的重要原因。表6：多粒度因子与风格因子相关性（2020.01-2026.08）市值 市值平方 估值 特质波动 换手均值 标准差 均值 标准差 均值 标准差 均值 标准差 均值 标准多粒度1周标签 -0.313 0.176 0.197 0.057 -0.152 0.179 0.270 0.123 -0.224 0.130多粒度2周标签 -0.307 0.173 0.223 0.053 -0.188 0.185 0.313 0.120 -0.316 0.117多粒度1、2周均值 -0.313 0.173 0.212 0.053 -0.174 0.184 0.295 0.122 -0.277 0.122资料来源：Wind，图16：多粒度1周标签因子与风格因子相关性趋势（2021.01-2026.08）

图17：多粒度2周标签因子与风格因子相关性趋势（2021.01-2026.08）0.80.60.40.20.0-0.2-0.4-0.620200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731

0.80.60.40.20.0-0.2-0.4-0.620200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731市值 市值平方 估值 特质波动 换手 市值 市值平方 估值 特质波动 换手资料来源：Wind， 资料来源：Wind，图18：多粒度1、2周均值因子与风格因子相关性趋势（2021.01-2026.08）0.80.60.40.20.0-0.2-0.4-0.620200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731市值 市值平方 估值 特质波动 换手资料来源：Wind，整体来看，多粒度因子与市值，估值，换手的相关性是逐渐提高的，尤其2022-0.40.3其是2026年组合极不稳定的重要原因。我们进一步拆解各个空气值增组合在各个风格因子上的分位数情况，以周度进行采样，如下表：表7：多粒度空气值增组合多头风格因子分位数（2020.01-2026.08）市值 市值平方 估值 特质波动 换手均值 标准差 均值 标准差 均值 标准差 均值 标准差 均值 标准多粒度1周标签 32.0% 12.0% 62.8% 9.3% 52.5% 8.1% 49.8% 7.1% 54.5% 7.8%多粒度2周标签 18.9% 11.0% 75.2% 10.0% 49.7% 10.4% 60.8% 11.7% 49.4% 多粒度1、2周均值 26.3% 12.4% 68.0% 10.7% 51.3% 8.6% 52.7% 9.7% 51.9% 9.2%资料来源：Wind，由上表可见，多粒度2周标签组合会有非常显著的小市值暴露和特质波动暴露，因此我们再考察其分位数趋势，如下图：图19：多粒度1周标签空气值增组合多头风格因子分位数趋势（2021.01-2026.08）

图20：多粒度2周标签空气值增组合多头风格因子分位数趋势（2021.01-2026.08）90%80%70%60%50%40%30%20%10%20200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731

90%80%70%60%50%40%30%20%10%20200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731市值 市值平方 估值 特质波动 换手 市值 市值平方 估值 特质波动 换手资料来源：Wind， 资料来源：Wind，图21：多粒度1、2周均值空气值增组合多头风格因子分位数趋势（2021.01-2026.08）90%80%70%60%50%40%30%20%10%20200103202004032020010320200403202006242020091820201211202103052021052820210820202111122022021120220506202207292022102820230120202304212023071420231013202401052024040320240628202409202024121320250307202505302025082220251114202602062026050820260731市值 市值平方 估值 特质波动 换手资料来源：Wind，

220245001000正交风格因子的多粒度因子表现ICIC-IR多头收益多头胜率空头收益空头胜率ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率多粒度1周标签0.0719.1220.51%73.5%-1.09%16.5%1.60%88.8%多粒度2周标签0.0667.9500.39%73.5%-1.03%17.4%1.42%84.4%多粒度1、2周均值0.0718.7310.49%75.6%-1.09%16.2%1.58%86.2%资料来源：Wind，IC-IR有显ICIC-IR多头收益多头胜率空头收益空头胜率ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率沪深300多粒度1周标签0.0422.6330.29%57.4%-0.43%33.2%0.72%63.5%多粒度2周标签0.0432.5870.31%57.4%-0.42%34.7%0.72%62.4%多粒度1、2周均值0.0452.7500.34%58.5%-0.46%34.4%0.81%65.6%中证500多粒度1周标签0.0473.7260.36%58.2%-0.53%32.4%0.89%68.2%多粒度2周标签0.0413.3070.26%54.4%-0.47%34.7%0.73%66.5%多粒度1、2周均值0.0463.6720.33%58.2%-0.53%32.6%0.86%69.4%中证1000多粒度1周标签0.0636.1220.51%68.2%-0.87%22.6%1.38%80.9%多粒度2周标签0.0585.4630.37%65.9%-0.83%22.4%1.20%76.8%多粒度1、2周均值0.0646.0120.48%69.4%-0.86%22.1%1.34%78.8%小市值多粒度1周标签0.0799.1740.53%75.3%-1.31%13.2%1.85%90.0%多粒度2周标签0.0748.0320.42%71.8%-1.28%15.6%1.69%86.5%多粒度1、2周均值0.0798.7900.52%77.6%-1.32%15.0%1.85%88.8%资料来源：Wind，ICIC-IR500影响空头表现。进一步考察多粒度因子多头的时序表现，如下图：图22：正交风格多粒度1周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）

图23：正交风格多粒度2周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）2.0%1.5%1.0%0.5%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629

1.4%1.2%1.0%0.8%0.6%0.4%0.2%0.0%-0.2%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629全市场 沪深300 中证500中证1000 小市值资料来源：Wind， 资料来源

全市场 沪深300 中证500中证1000 小市值图24：正交风格多粒度1、2周均值因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）2.0%1.5%1.0%0.5%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629

全市场 沪深300 中证500中证1000 小市值表10：正交风格多粒度因子空气指增组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益多粒度1周标签13.38%0.50248.72%0.275多粒度2周标签28.97%1.08437.23%0.778多粒度1、2周均值12.43%0.47150.87%0.244超额收益多粒度1周标签2.20%0.26927.43%0.080多粒度2周标签16.25%2.01212.96%1.254多粒度1、2周均值1.35%0.17429.20%0.046资料来源：Wind，收益净值走势与分年度表现如下图：图25：正交风格多粒度因子空气指增组合绝对收益净值走势（2020.01-2026.08）

图26：正交风格多粒度因子空气指增组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）6.85.84.83.82.81.820191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%60%40%20%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图27：正交风格多粒度因子空气指增组合超额收益净值走势（2020.01-2026.08）

图28：正交风格多粒度因子空气指增组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）2.82.62.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-2%-4%-6%-8%-10%-12%-14%-16%-18%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，整体来看，中性化后多粒度1周标签的空气值增表现在2026年有显著提升，224用正交风格的多粒度因子构建500增强组合，其表现如下表：表11：正交风格多粒度因子500增强组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益多粒度1周标签7.25%0.30945.62%0.159多粒度2周标签13.41%0.56937.68%0.356多粒度1、2周均值8.84%0.37743.23%0.204超额收益多粒度1周标签0.82%0.17611.01%0.075多粒度2周标签6.62%1.3406.07%1.092多粒度1、2周均值2.32%0.4878.26%0.281资料来源：Wind，收益净值走势与分年度表现如下图：图29：正交风格多粒度因子500增强组合绝对收益净值走势（2020.01-2026.08）

图30：正交风格多粒度因子500增强组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）2.82.62.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图31：正交风格多粒度因子500增强组合超额收益净值走势（2020.01-2026.08）

图32：正交风格多粒度因子500增强组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）1.71.61.51.41.31.21.11.00.920191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

25%20%15%10%

0%-1%-2%-3%-4%-5%-6%-10%

2020 2021 2022 2023 2024 2025

-7%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，用正交风格的多粒度因子构建1000增强组合，其表现如下表：表12：正交风格多粒度因子1000增强组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益多粒度1周标签8.86%0.34749.74%0.178多粒度2周标签18.30%0.70538.30%0.478多粒度1、2周均值9.37%0.36647.20%0.198超额收益多粒度1周标签3.55%0.68311.89%0.299多粒度2周标签12.53%2.3006.55%1.912多粒度1、2周均值4.03%0.7668.92%0.452资料来源：Wind，收益净值走势与分年度表现如下图：图33：正交风格多粒度因子1000增强组合绝对收益净值走势（2020.01-2026.08）

图34：正交风格多粒度因子1000增强组合绝对收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）3.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

70%60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图35：正交风格多粒度因子1000增强组合超额收益净值走势（2020.01-2026.08）

图36：正交风格多粒度因子1000增强组合超额收益分年度表现（2020.01-2026.08，左：收益率，右：回撤）2.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

40%35%30%25%20%15%10%

2020 2021 2022 2023 2024 2025

0%-1%-2%-3%-4%-5%-6%-7%-8%-9%-10%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，从特征开始的新深度学习因子尝试多粒度因子的特征选择，模型构建框架解析图37：多粒度因子构建原理图资料来源：

由上图可见，多粒度因子与风格因子高相关与以下几个因素有关：519由于不同源特征都会在同一个注意力机制的GRU整个模型网络中，完全没有对于风格因子的惩罚，因此训练过程中天然会把风格择时带入到模型当中。在未来市场环境与训练数据市场环境相类似时，这样的风格择时会带来不菲的组合收益，多源深度学习因子构建首先我们从特征与模型结构的角度出发，构建多源深度学习模型如下图：图38：单输出多源深度因子构建原理图资料来源：

上述新模型主要做了两处变更：不同源的特征分别输入注意力机制的GRUFNNFNN图39：多输出多源深度因子构建原理图资料来源：

FNN33个IC333.5%3衍生特L23多源深度学习因子表现ICIC-IR多头收益多头胜率空头收益空头胜率多空收益ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率单输出1周标签0.0846.3180.54%74.4%-1.27%14.4%1.81%84.7%单输出2周标签0.0775.3600.46%70.9%-1.18%17.1%1.64%81.2%单输出1、2周均值0.0835.8700.50%71.5%-1.26%15.0%1.76%82.4%多输出1周标签0.0967.6270.53%74.1%-1.25%14.4%1.78%83.8%多输出2周标签0.0865.9770.44%69.7%-1.20%16.8%1.64%79.7%多输出1、2周均值0.0946.7850.51%73.2%-1.23%15.6%1.74%81.8%资料来源：Wind，ICICIC-IR多头收益多头胜率空头收益空头胜率多空收益ICIC-IR多头收益多头胜率空头收益空头胜率多空收益多空胜率沪深300单输出1周标签0.0643.1260.29%57.4%-0.67%28.2%0.96%64.1%单输出2周标签0.0572.6080.39%61.8%-0.55%31.2%0.94%64.4%单输出1、2周均值0.0632.9220.40%60.3%-0.65%30.6%1.04%65.9%多输出1周标签0.0542.8260.20%54.1%-0.61%29.4%0.81%62.4%多输出2周标签0.0552.6180.31%59.4%-0.54%33.2%0.85%65.6%多输出1、2周均值0.0572.7780.29%60.0%-0.58%32.9%0.87%64.7%中证500单输出1周标签0.0603.4800.36%60.9%-0.73%30.0%1.09%66.2%单输出2周标签0.0522.8030.30%57.4%-0.62%34.7%0.92%63.2%单输出1、2周均值0.0583.1810.36%58.5%-0.71%29.7%1.08%65.6%多输出1周标签0.0543.3350.37%63.2%-0.63%32.1%1.01%65.3%多输出2周标签0.0512.8460.28%58.2%-0.58%34.7%0.86%63.5%多输出1、2周均值0.0553.1510.40%62.4%-0.65%32.1%1.05%65.3%中证1000单输出1周标签0.0684.5220.49%66.5%-1.01%21.8%1.50%78.8%单输出2周标签0.0633.8810.37%62.9%-0.92%23.8%1.29%74.4%单输出1、2周均值0.0684.2620.44%61.2%-1.00%20.9%1.44%75.9%多输出1周标签0.0664.5900.49%64.7%-0.99%21.2%1.47%79.7%多输出2周标签0.0633.9150.40%64.4%-0.94%22.4%1.34%76.2%多输出1、2周均值0.0674.3060.45%67.1%-1.00%23.2%1.45%77.1%小市值单输出1周标签0.0877.1210.53%73.2%-1.50%13.5%2.03%85.9%单输出2周标签0.0836.1160.47%70.0%-1.42%18.2%1.89%81.8%单输出1、2周均值0.0876.6200.51%74.1%-1.49%14.4%2.00%84.4%多输出1周标签0.0867.2130.53%75.6%-1.48%15.3%2.00%86.8%多输出2周标签0.0815.9360.45%69.7%-1.40%19.1%1.85%82.4%多输出1、2周均值0.0856.5300.50%73.5%-1.45%16.8%1.96%83.8%资料来源：Wind，

整体来看，单输出多源深度学习因子与多输出多源深度学习因子各有优劣但比较接近，而1周标签与2周标签也没有多粒度因子那样差异巨大。5001000图40：多源深度学习1周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）

图41：多源深度学习2周标签因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）1.8%1.6%1.4%1.2%1.0%0.8%0.6%0.4%0.2%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629

1.6%1.4%1.2%1.0%0.8%0.6%0.4%0.2%0.0%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629 单输出全市场 单输出500 单输出多输出全市场 多输出500 多输出

单输出全市场 单输出500 单输出多输出全市场 多输出500 多输出资料来源：Wind， 资料来源：Wind，图42：多源深度学习1、2周均值因子不同选股范围多头超额52周滑动平均（2021.01-2026.08）1.6%1.4%1.2%1.0%0.8%0.6%0.4%0.2%20210104202103152021010420210315202105242021080220211011202112202022030720220516202207252022101020221219202303062023051520230724202310092023121820240304202405132024072220240930202412092025021720250428202507072025091520251124202602022026042020260629 单输出全市场 单输出500 单输出多输出全市场 多输出500 多输出资料来源：Wind，2最后，我们考察多源深度学习因子的空气指增组合表现，如下表：表15：多源深度学习因子空气指增组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益单输出1周标签23.12%0.89339.46%0.586单输出2周标签27.78%1.04238.57%0.720单输出1、2周均值30.82%1.14538.15%0.808多输出1周标签29.93%1.15939.28%0.762多输出2周标签32.21%1.18940.68%0.792多输出1、2周均值31.82%1.19540.36%0.788超额收益单输出1周标签10.98%1.21514.26%0.770单输出2周标签15.18%1.35314.32%1.060单输出1、2周均值17.92%1.64214.18%1.264多输出1周标签17.12%1.81514.93%1.146多输出2周标签19.17%1.74216.62%1.153多输出1、2周均值18.82%1.83115.48%1.216资料来源：Wind，2签复合之后其收益回撤比略有提升，多因子复合对稳定性增强的效果更为10%。考察单输出多源深度学习因子的空气指增组合收益净值走势与分年度表现如下图：图43：单输出多源深度学习因子空气指增组合绝对收益净值走势（2020.01-2026.08）

图44：单输出多源深度学习因子空气指增组合绝对收7.86.85.84.83.82.81.820191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%60%40%20%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图45：单输出多源深度学习因子空气指增组合超额收益净值走势（2020.01-2026.08）

图46：单输出多源深度学习因子空气指增组合超额收3.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-2%-4%-6%-8%-10%-12%-14%-16%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，多输出多源深度学习因子的空气指增组合收益净值走势与分年度表现如下图：图47：多输出多源深度学习因子空气指增组合绝对收益净值走势（2020.01-2026.08）

图48：多输出多源深度学习因子空气指增组合绝对收7.86.85.84.83.82.81.820191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%60%40%20%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%-45%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图49：多输出多源深度学习因子空气指增组合超额收益净值走势（2020.01-2026.08）

图50：多输出多源深度学习因子空气指增组合超额收3.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-2%-4%-6%-8%-10%-12%-14%-16%-18%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，2026年来看，单输出因子收益略高而多输出因子的回撤更小。单输出因子的1周标签与两周标签有显著差异，而多输出因子的1周与2周标签差异很小。考察多源深度学习因子的500增强组合表现，如下表：表16：多源深度学习因子500增强组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益单输出1周标签11.28%0.51338.72%0.291单输出2周标签16.17%0.74030.93%0.523单输出1、2周均值14.27%0.65432.11%0.444多输出1周标签17.71%0.81436.01%0.492多输出2周标签16.21%0.74829.95%0.541多输出1、2周均值20.42%0.93530.34%0.673超额收益单输出1周标签4.62%0.9089.45%0.489单输出2周标签9.21%1.6997.35%1.253单输出1、2周均值7.43%1.4086.85%1.084多输出1周标签10.66%2.04713.04%0.818多输出2周标签9.25%1.7416.35%1.458多输出1、2周均值13.21%2.4676.06%2.179资料来源：Wind，很明显，多输出多源深度学习因子在500增强中的表现要显著优于单输出多源深度学习因子，而与多粒度2轴标签因子相比较，超额收益更高而回撤与波动均更小，因此其信息比与超额收益的收益回撤比均更为优异。考察单输出多源深度学习因子的500增强组合收益净值走势与分年度表现如下图：图51：单输出多源深度学习因子500增强组合绝对收益净值走势（2020.01-2026.08）

图52：单输出多源深度学习因子5003.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

50%40%30%20%10%

0%-5%-10%-15%-20%-25%-30%-20%

2020 2021 2022 2023 2024 2025

-35%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图53：单输出多源深度学习因子500增强组合超额收益净值走势（2020.01-2026.08）

图54：单输出多源深度学习因子5002.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

35%30%25%20%15%10%

2020 2021 2022 2023 2024 2025

0%-1%-2%-3%-4%-5%-6%-7%-8%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，多输出多源深度学习因子的500增强组合绝对收益净值走势与分年度表现如下图：图55：多输出多源深度学习因子500增强组合绝对收益净值走势（2020.01-2026.08）

图56：多输出多源深度学习因子5004.33.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

50%40%30%20%10%

0%-5%-10%-15%-20%-25%-20%

2020 2021 2022 2023 2024 2025

-30%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图57：多输出多源深度学习因子500增强组合超额收益净值走势（2020.01-2026.08）

图58：多输出多源深度学习因子5002.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

25%20%15%10%

0%-2%-4%-6%-8%-10%0%2020

2021 2022

2024 2025

-12%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，2026最后考察多源深度学习因子的1000增强组合表现，如下表：表17：多源深度学习因子1000增强组合表现（2020.01-2026.08）年化收益夏普|信息比最大回撤收益回撤比绝对收益单输出1周标签14.02%0.57840.83%0.343单输出2周标签19.57%0.80238.17%0.513单输出1、2周均值19.48%0.79835.57%0.548多输出1周标签19.21%0.79237.19%0.517多输出2周标签20.96%0.86632.92%0.637多输出1、2周均值21.70%0.89835.04%0.620超额收益单输出1周标签8.46%1.5266.57%1.287单输出2周标签13.74%2.2727.24%1.897单输出1、2周均值13.66%2.3114.66%2.933多输出1周标签13.40%2.3908.66%1.546多输出2周标签15.06%2.5365.44%2.767多输出1、2周均值15.77%2.6847.54%2.091资料来源：Wind，1000221000图59：单输出多源深度学习因子1000增强组合绝对收益净值走势（2020.01-2026.08）

图60：单输出多源深度学习因子10003.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

80%70%60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%-40%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图61：单输出多源深度学习因子1000增强组合超额收益净值走势（2020.01-2026.08）

图62：单输出多源深度学习因子10002.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-1%-2%-3%-4%-5%-6%-7%-8%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，多输出多源深度学习因子的1000增强组合收益净值走势与分年度表现如下图：图63：多输出多源深度学习因子1000增强组合绝对收益净值走势（2020.01-2026.08）

图64：多输出多源深度学习因子10004.33.83.32.82.31.81.320191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

70%60%50%40%30%20%10%

2020 2021 2022 2023 2024 2025

0%-5%-10%-15%-20%-25%-30%-35%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，图65：多输出多源深度学习因子1000增强组合超额收益净值走势（2020.01-2026.08）

图66：多输出多源深度学习因子10002.82.62.42.22.01.81.61.41.21.020191231202003252019123120200325202006152020090120201124202102092021050720210723202110182021123120220325202206172022090120221124202302162023050920230726202310182024010320240327202406192024090320241127202502202025051320250729202510212026010720260401

40%35%30%25%20%15%10%

2020 2021 2022 2023 2024 2025

0%-1%-2%-3%-4%-5%-6%-7%-8%多粒度1周标签 多粒度2周标签 多粒度1、2周均值 多粒度1周标签 多粒度2周标签 多粒度1、2周均值资料来源：Wind， 资料来源：Wind，500100025001000增强中的影响更为显著。多源深度学习因子的风险因子暴露分析我们期望从风格角度分析对于深度因子与多粒度因子的影响，统计风格因子与多源深度因子相关性，如下表：市值 市值平方 估值 特质波动 换手均值标准差均值标准差均值市值 市值平方 估值 特质波动 换手均值标准差均值标准差均值标准差均值标准差均值标准差单输出1周标签-0.2300.2050.1020.091-0.1020.1900.2370.108-0.1420.128单输出2周标签-0.2020.2180.1030.086-0.1330.2220.2670.122-0.2120.150单输出1、2周均值-0.2230.2180.1060.090-0.1210.2110.2610.117-0.1830.141多输出1周标签-0.1370.1600.0760.066-0.1070.1630.2470.088-0.2050.120多输出2周标签-0.1470.1790.0950.071-0.1380.2060.2850.108-0.2680.143多输出1、2周均值-0.1470.