Alpha momentum portfolio performance this week (December 27, 2021 to December 31, 2021)
Alpha momentum portfolio fell by 5.02% in the whole period, while HS300 rose by 0.39% in the same period, and the excess return relative to HS300 was – 5.41%.
Alpha reversal portfolio performance this week (December 27, 2021 to December 31, 2021)
Alpha reversal portfolio rose 3.90% in the whole period, while HS300 rose 0.39% in the same period, and the excess return relative to HS300 was 3.51%.
Current month performance of industry alpha portfolio (from December 1, 2021 to December 31, 2021)
From December 1, 2021 to December 31, 2021, the industry alpha portfolio has decreased by 1.79%, while HS300 has increased by 2.24% over the same period, and the excess return relative to HS300 is – 4.03%.
Investment strategy suggestions
At present, in terms of weekly, momentum index is weak, momentum index loses benchmark and inversion, and inversion index outperforms benchmark; On a monthly basis, the momentum index underperforms the benchmark, the reversal index outperforms the benchmark, and the momentum index underperforms the reversal index; In terms of three months, the momentum index underperformed the benchmark and the reversal index outperformed the benchmark. Weekly, monthly and March are consistent with the third case; Therefore, we believe that the medium and long-term market will be better. The fluctuation range of Shanghai composite index is expected to be 3590-3690 points next week.
Risk statement
Market environment change risk, model failure risk.
