市场仍处于日线级别上涨中

• The report mentions the construction of the A-share sentiment index, which is based on market volatility and trading volume changes. The index divides the market into four quadrants, with only the "volatility up - trading down" quadrant showing significant negative returns, while the others show significant positive returns. This index includes bottom and top warning signals for market sentiment[51][56][61] - The A-share sentiment bottom warning signal indicates a "bullish" sentiment, while the top warning signal also points to "bullish" sentiment. The overall sentiment signal is "bullish"[56] - The A-share prosperity index is constructed using the YoY growth of net profit attributable to the parent company of the Shanghai Composite Index as the Nowcasting target. The index shows a slow upward trend, indicating the current market is in an upward cycle[48][49][51] - The report evaluates the performance of the CSI 500 and CSI 300 enhanced portfolios. The CSI 500 enhanced portfolio achieved a weekly return of -1.70%, outperforming the benchmark by 0.06%, with a cumulative excess return of 43.59% since 2020 and a maximum drawdown of -4.99%. The CSI 300 enhanced portfolio achieved a weekly return of 0.02%, outperforming the benchmark by 0.48%, with a cumulative excess return of 29.27% since 2020 and a maximum drawdown of -5.86%[64][70][73] - The report constructs ten style factors for the A-share market based on the BARRA factor model, including size (SIZE), beta (BETA), momentum (MOM), residual volatility (RESVOL), non-linear size (NLSIZE), valuation (BTOP), liquidity (LIQUIDITY), earnings yield (EARNINGS_YIELD), growth (GROWTH), and leverage (LVRG). Among these, beta factors showed the highest excess returns this week, while momentum and residual volatility factors showed significant negative excess returns[75][76][77]