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China continued to see whipsawing performance between Momentum and Value, driven largely by semiconductors. A rebound in semiconductor stocks following July’s sell-off helped Momentum outperform.
Against this backdrop of sharp factor reversals, the Combined Alpha Model (CAM) has delivered the strongest year-to-date risk-adjusted performance, with a Sharpe ratio of 0.86, highlighting the benefit of combining multiple signals amid elevated factor dispersion.
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