This week’s alpha momentum portfolio performance (from April 18, 2022 to April 22, 2022) alpha momentum portfolio fell by 5.47% in the whole period, while HS300 fell by 4.19% in the same period, and the excess return relative to HS300 was – 1.28%.
This week’s performance of alpha reversal portfolio (from April 18, 2022 to April 22, 2022) alpha reversal portfolio fell by 3.98% in the whole period, while HS300 fell by 4.19% in the same period, and the excess return relative to HS300 was 0.21%.
The performance of the industry alpha portfolio in the current month (from April 1, 2022 to April 22, 2022) from April 1, 2022 to April 22, 2022, the industry alpha portfolio has decreased by 14.02%, while HS300 has decreased by 4.96% in the same period, and the excess return relative to HS300 is – 9.06%.
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 inversion, and inversion index outperforms 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. It is similar to the fourth situation in monthly and March, and consistent with the third situation in weekly; 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 30403180 points next week.
Risk tips
Environmental change, market failure risk model.
