证券研究报告 2025 年 11 月 7 日 湘财证券研究所 金融工程研究 Alpha 策略周报 Alpha 策略与市场趋势研判周报 | 核心要点： | | --- | | 相关研究： | 本周 Alpha 动量组合表现（2025 年 11 月 3 日到 2025 年 11 月 7 日） Alpha 动量组合在整个期间内累计下跌 0.57%，而 HS300 同期累计上涨 0.82%，动量组合相对于 HS300 的超额收益为-1.40%。 本周 Alpha 反转组合表现（2025 年 11 月 3 日到 2025 年 11 月 7 日） Alpha 反转组合在整个期间内累计上涨 0.73%，而 HS300 同期累计上涨 0.82%，相对于 HS300 的超额收益为-0.09%。 行业 Alpha 组合近期表现（2025 年 11 月 1 日到 2025 年 11 月 7 日） 从2025年11月1日截至2025年11月7日，行业Alpha组合累计下跌2.11%， 而 HS300 同期累计上涨 0.82%，相对于 HS300 的超额收益为-2.94%。 Alpha 动量与反转研判市场走势 通过 Alpha 动量与 ...

Group 1 - The Alpha momentum strategy outperformed the HS300 index with a cumulative increase of 2.23% from September 8 to September 12, 2025, resulting in an excess return of 0.85% [2][8] - The Alpha reversal strategy, however, underperformed the HS300 index, with a cumulative increase of only 0.55%, leading to an excess return of -0.83% [2][12] - The industry Alpha portfolio showed no excess return, with both the industry Alpha portfolio and HS300 index increasing by 0.56% during the same period [3][27] Group 2 - The report outlines market trend predictions based on the performance of Alpha momentum and reversal strategies, indicating that if both strategies outperform the index, the market is in a bull phase [4][20] - If neither strategy shows a clear advantage over the index, the market is considered to be in a bear phase or a transition from bull to bear [4][20] - The report suggests that the current market shows signs of upward momentum, with expectations for the Shanghai Composite Index to fluctuate between 3790 and 3930 points in the upcoming week [5][22] Group 3 - The investment strategy involves selecting the top five industries based on Alpha values for momentum and the bottom five for reversal, with a one-month holding period for the constructed industry Alpha strategy [26] - The report emphasizes a rolling investment strategy, selecting stocks from the top-performing industries to form a portfolio of 30 stocks [26]