量化周报：非银确认日线级别下跌-20250928

• The non-bank sector confirmed a daily-level decline this week, with the Shanghai Composite Index rising by 0.21% for the week[1][7] - The A-share prosperity index was 22.14 as of September 26, 2025, up 15.83 from the end of 2023, indicating an upward cycle[2][28] - The A-share sentiment index signals were empty for both bottom and top signals, with a comprehensive signal of empty[2][35] - The CSI 500 enhanced portfolio outperformed the benchmark by 0.91% this week, with a cumulative excess return of 50.71% since 2020 and a maximum drawdown of -5.73%[2][44] - The CSI 500 enhanced portfolio's holdings include stocks such as Guojin Securities, Nanjing Iron & Steel, and Perfect World, among others[2][47] - The CSI 300 enhanced portfolio underperformed the benchmark by 0.81% this week, with a cumulative excess return of 37.70% since 2020 and a maximum drawdown of -5.86%[2][51] - The CSI 300 enhanced portfolio's holdings include stocks such as Huaneng International, Founder Securities, and Wuxi AppTec, among others[2][53] - The market style analysis shows that the size factor had a high excess return this week, while the residual volatility factor had a significant negative excess return[5][56] - The style factor performance indicates that high Beta and high growth stocks performed well recently, while residual volatility and value factors performed poorly[5][56] - The main indices' performance attribution shows that the Shanghai Composite Index, SSE 50, and CSI 300 had large exposures to the size factor, while the CSI 500 and Wind All A had smaller exposures[5][61]