量化周报：市场有望节前确认方向-20251228

• The report mentions the A-Share Prosperity Index, which is constructed using the Nowcasting target of the YoY growth rate of the net profit attributable to the parent company of the Shanghai Composite Index. The index is currently in an upward cycle, with a value of 19.26 as of December 26, 2025, representing an increase of 13.84 compared to the end of 2023[26][29][30] - The A-Share Sentiment Index is constructed based on market volatility and trading volume changes, dividing the market into four quadrants. Only the quadrant with "volatility up - trading volume down" shows significant negative returns, while the others show significant positive returns. The current sentiment signals are: bottom signal (bullish), top signal (bearish), and overall sentiment (bullish)[33][34][38] - The report highlights the Beta Factor as the dominant style factor in the current market. High Beta stocks have performed well recently, while factors such as leverage and residual volatility have underperformed. This is based on the pure factor returns and the correlation analysis of style factors[54][55][62] - The CSI 500 Enhanced Portfolio achieved a weekly return of 2.80%, underperforming its benchmark by 1.24%. Since 2020, the portfolio has generated an excess return of 47.91% relative to the CSI 500 Index, with a maximum drawdown of -6.60%[43][44][46] - The CSI 300 Enhanced Portfolio achieved a weekly return of 2.49%, outperforming its benchmark by 0.54%. Since 2020, the portfolio has generated an excess return of 40.99% relative to the CSI 300 Index, with a maximum drawdown of -5.86%[50][51][52]