Alpha策略与市场趋势研判周报-20251107

Core Insights - The Alpha momentum strategy underperformed, with a cumulative decline of 0.57% from November 3 to November 7, 2025, while the HS300 index rose by 0.82%, resulting in an excess return of -1.40% [2][8] - The Alpha reversal strategy showed a cumulative increase of 0.73% during the same period, slightly underperforming the HS300 index, which also increased by 0.82%, leading to an excess return of -0.09% [2][12] - The industry Alpha portfolio experienced a cumulative decline of 2.11% from November 1 to November 7, 2025, compared to the HS300's increase of 0.82%, resulting in an excess return of -2.94% [3][26] Market Trend Analysis - The performance of the Alpha momentum and reversal strategies can be used to gauge market conditions. If both strategies outperform the index, with the reversal strategy outperforming the momentum strategy, the market is in a bull phase. Conversely, if neither strategy shows a clear advantage, the market is likely in a bear phase or transitioning from bull to bear [4][19] - The current weekly performance indicates weak momentum indicators, with the momentum strategy underperforming both the benchmark and the reversal strategy. However, there is some upward momentum expected in the near term, with projections for the Shanghai Composite Index to fluctuate between 3930 and 4060 points for the week of November 10 to November 14, 2025 [5][20] Industry Alpha Selection Strategy - The report outlines an industry Alpha selection strategy based on historical Alpha values across different time frames (1 month, 2 months, 3 months, 6 months, and 1 year). The strategy involves rolling investments, selecting the top 5 industries based on Alpha values for momentum and the bottom 5 for reversal [25]