量化周报：食品饮料、医药、消费者服务确认日线级别下跌-20251019

• The report highlights the performance of the index enhancement portfolios, where the CSI 500 enhancement portfolio outperformed the benchmark by 1.19% this week, while the CSI 300 enhancement portfolio underperformed the benchmark by 0.52% [2][46][52] - The CSI 500 enhancement portfolio has achieved a cumulative excess return of 53.08% relative to the CSI 500 index since 2020, with a maximum drawdown of -5.73% [46] - The CSI 300 enhancement portfolio has achieved a cumulative excess return of 37.09% relative to the CSI 300 index since 2020, with a maximum drawdown of -5.86% [52] - The report identifies momentum factor as the dominant style factor this week, delivering high excess returns, while beta factor showed significant negative excess returns. High-leverage stocks performed well, whereas residual volatility and non-linear size factors underperformed [2][57][56] - The report mentions the construction of the A-share sentiment index, which is based on market volatility and trading volume changes. The sentiment index includes bottom warning and top warning signals. Currently, the bottom signal indicates bearish sentiment, and the top signal also points to bearish sentiment [32][37][35] - The A-share prosperity index was constructed using the YoY growth of net profit attributable to the parent company of the Shanghai Composite Index as the Nowcasting target. As of October 17, 2025, the index stands at 21.71, up 16.28 compared to the end of 2023, indicating an upward cycle [29][30][31]