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]

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]