Alpha momentum portfolio performance this week (April 11, 2022 to April 15, 2022)
Alpha momentum portfolio fell by 7.52% in the whole period, while HS300 fell by 0.99% in the same period, and the excess return relative to HS300 was – 6.53%.
Alpha reversal portfolio performance this week (from April 11, 2022 to April 15, 2022)
Alpha reversal portfolio fell by 2.15% in the whole period, while HS300 fell by 0.99% in the same period, and the excess return relative to HS300 was – 1.16%.
Performance of industry alpha portfolio in recent month (from April 1, 2022 to April 15, 2022)
From April 1, 2022 to April 15, 2022, the alpha portfolio of the industry has decreased by 6.19%, while HS300 has decreased by 0.80% in the same period, and the excess return relative to HS300 is – 5.39%.
Alpha momentum and reversal study and judge the market trend
Through the different performances of alpha momentum, 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, in terms of weekly, momentum index is weak, momentum index loses benchmark and reversal index loses benchmark; On a monthly basis, the momentum index loses the benchmark, the reversal index loses the benchmark, and the momentum index loses the reversal index; From the perspective of three months, the momentum index loses the benchmark and the reversal index loses the benchmark. Weekly, monthly and March are similar to the fourth situation; Therefore, we believe that in the short term, the market inventory is in the consolidation period. The fluctuation range of Shanghai composite index is expected to be 31 Starpower Semiconductor Ltd(603290) points next week.
Risk tips
Market environment change risk, model failure risk.
