Key investment points:
This week’s alpha momentum portfolio performance (from February 28, 2022 to March 4, 2022) alpha momentum portfolio fell by 2.05% in the whole period, while HS300 fell by 1.68% in the same period, and the excess return relative to HS300 was – 0.37%.
This week’s performance of alpha reversal portfolio (from February 28, 2022 to March 4, 2022) alpha reversal portfolio fell by 1.06% in the whole period, while HS300 fell by 1.68% in the same period, and the excess return relative to HS300 was 0.62%.
The performance of the industry alpha portfolio in the current month (from March 1, 2022 to March 4, 2022) from March 1, 2022 to March 4, 2022, the industry alpha portfolio fell by 0.42%, while HS300 fell by 1.86% in the same period, and the excess return relative to HS300 was 1.44%.
Alpha momentum and reversal study and judge the market trend. Through the different performance between alpha momentum and reversal portfolio and benchmark portfolio, we can roughly study and judge the follow-up market:
(1) if both alpha momentum and reversal strategy can surpass the index, and the reversal strategy surpasses the momentum strategy, the market is in a bull market;
(2) if there is no obvious advantage between alpha momentum and reversal, and there is no obvious advantage between the two strategies and the benchmark index, the market is a bear market (or the transition period from bull market to bear market);
(3) if the alpha reversal strategy exceeds the benchmark index and the benchmark index exceeds the momentum strategy, the market is in the transitional stage from bear market to bull market;
(4) alpha momentum surpasses the reversal strategy, and the reversal strategy cannot defeat the benchmark index, and the market is in the consolidation period (or structural bull market).
Investment strategy suggestions
At present, the weekly performance of the reversal index is strong, the reversal index outperforms the benchmark and momentum, and the momentum index outperforms the benchmark; Monthly, the momentum index outperforms the benchmark, the reversal index outperforms the benchmark, and the momentum index outperforms the reversal index; In terms of three months, the momentum index underperformed the benchmark and the reversal index outperformed the benchmark. Weekly and March are consistent with the third situation, and monthly is consistent with the first situation; Therefore, we believe that there is upward momentum in the market in the short term. The fluctuation range of Shanghai composite index is expected to be 33703510 points next week.
Risk tips
Market environment change risk, model failure risk.
