量化周报：银行确认日线级别上涨-20251109

• The report mentions the construction of the A-share sentiment index, which is based on market volatility and trading volume changes. The sentiment index divides the market into four quadrants, with only the "volatility up-trading volume down" quadrant showing significant negative returns, while the other quadrants show significant positive returns. This index includes bottom warning and top warning signals[37][43][46] - The A-share sentiment index currently indicates bearish signals for both bottom and top warnings. The overall sentiment signal is bearish[40][43][46] - The A-share prosperity index is constructed using the YoY growth of the 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[32][35][36] - The report highlights the performance of style factors, including residual volatility (RESVOL), momentum (MOM), and others. Residual volatility factor showed high excess returns, while momentum factor exhibited significant negative excess returns. High-value stocks performed well, whereas size and non-linear size factors underperformed[61][62][69] - The report uses the BARRA factor model to construct ten style factors for the A-share market, 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)[61][62][64] - The report evaluates the performance of enhanced index portfolios. The CSI 500 enhanced portfolio achieved a weekly return of 0.40%, outperforming the benchmark by 0.45%. Since 2020, the portfolio has generated an excess return of 52.65% relative to the CSI 500 index, with a maximum drawdown of -5.73%[48][51][53] - The CSI 500 enhanced portfolio's holdings include stocks such as Hongfa Shares (600885.SH) with a weight of 3.47%, Gujin Securities (600109.SH) with a weight of 2.74%, and others[53][55][56] - The CSI 300 enhanced portfolio achieved a weekly return of 0.84%, outperforming the benchmark by 0.02%. Since 2020, the portfolio has generated an excess return of 39.36% relative to the CSI 300 index, with a maximum drawdown of -5.86%[56][57][60] - The CSI 300 enhanced portfolio's holdings include stocks such as Yunnan Baiyao (000538.SZ) with a weight of 6.04%, Fangzheng Securities (601901.SH) with a weight of 5.73%, and others[60][56][57]