A-Share Industry Momentum with Market and Sector Crowding Filters

Summary

This report summary describes an industry-rotation strategy for Chinese A-shares based on medium-term momentum, measured by returns over the previous 250 days. It adds two crowding controls to address momentum reversals: a sector-level concentration measure built with principal component analysis, and a market-level timing signal combining the dispersion of industry crowding with turnover. The portfolio removes the most crowded industry from its long holdings when identified.

The summary reports that the combined filters improved historical results, particularly during style shifts in 2015 and 2021. It gives annualized return and return-to-volatility figures for the combined long-short and long-only excess portfolios, as well as selected yearly returns and drawdowns. These are reported results from the source, not independently verified evidence; the underlying PDF, detailed construction rules, transaction costs, and broader robustness checks are not provided here. The approach therefore illustrates how crowding measures may complement momentum, while leaving implementation and generalizability uncertain.

Key ideas

• The rotation strategy ranks A-share industries using returns over the prior 250 days.
• A principal-component-based concentration factor estimates crowding within individual industries.
• A market-level timing signal combines industry crowding dispersion with turnover.
• The summary reports improved results during selected historical periods, but does not provide full implementation or validation details.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.