量化周报：市场震荡整理后有望再上一个台阶-20250714

• The A-share prosperity index as of July 11, 2025, is 21.73, which has increased by 16.30 compared to the end of 2023, indicating an upward cycle[2][43] - The A-share sentiment index currently signals a bottom and top sentiment, with a comprehensive signal of "more"[2][50] - The CSI 500 enhanced portfolio outperformed the benchmark by 0.13% this week, with a cumulative excess return of 48.07% since 2020 and a maximum drawdown of -4.99%[2][56] - The CSI 300 enhanced portfolio underperformed the benchmark by 0.06% this week, with a cumulative excess return of 31.78% since 2020 and a maximum drawdown of -5.86%[2][63] - The current market style analysis shows that the liquidity factor is positively correlated with Beta, momentum, and residual volatility, while the value factor is negatively correlated with Beta, residual volatility, and liquidity[2][70] - Pure factor returns for the week indicate that industry factors such as real estate and securities have generated high excess returns, while defense, automotive, and electronics have seen significant pullbacks[2][70] - The market's preference for high-value exposure stocks has led to good performance in the value factor for the Shanghai Composite Index, while the SME and ChiNext indices have performed poorly in the non-linear size factor[2][77]