中银量化多策略行业轮动周报–20240802

Investment Rating - The report indicates a positive investment rating for the following sectors: Home Appliances (20.0%), Transportation (15.0%), Non-ferrous Metals (10.0%), Automotive (10.0%), Defense and Military (10.0%), Electronics (10.0%), Oil and Petrochemicals (5.0%), Steel (5.0%), Electric Power and Utilities (5.0%), Construction (5.0%), and Banking (5.0) [1][23]. Core Insights - The report highlights that the average weekly return for the CITIC first-level industries was 3.4%, with a monthly average return of 0.6%. The best-performing sectors for the week were Defense and Military (7.6%), Home Appliances (7.4%), and Comprehensive Finance (7.3%), while the worst performers were Food and Beverage (-1.4%), Electric Power and Utilities (-1.2%), and Banking (-0.6%) [1][6]. - The report also notes that the industry rotation strategy achieved a cumulative return of -5.68%, outperforming the CITIC first-level industry equal-weight benchmark return of -9.41%, resulting in a cumulative excess return of 3.72% [1][6]. - The sectors with the highest profitability indicators this week were Non-ferrous Metals, Electronics, Automotive, and Home Appliances, indicating a significant improvement in the Home Appliances sector's profitability [1][17]. Summary by Sections Recent Performance Review - The best-performing sectors for the week (20240725-20240801) were Defense and Military (7.6%), Home Appliances (7.4%), and Comprehensive Finance (7.3%). The average weekly return across 30 CITIC first-level industries was 3.4%, with a monthly average of 0.6% [1][6][7]. Valuation Risk Warning - The report identifies that the current PB (Price-to-Book) valuation for the Oil and Petrochemicals and Electric Power and Utilities sectors is above the 95th percentile of the rolling 6-year PB valuation, triggering a high valuation warning for these sectors [1][11][12]. High Prosperity Tracking Strategy - The sectors with the highest prosperity indicators are Non-ferrous Metals, Electronics, Automotive, and Home Appliances, indicating a strong upward trend in profitability expectations for these industries [1][15][17]. Market Sentiment Tracking Strategy - The sectors with the highest market sentiment indicators are Home Appliances, Transportation, and Defense and Military, reflecting a significant change in market sentiment compared to the previous week [1][18][19]. Macro Style Industry Rotation Strategy - The sectors most aligned with future macroeconomic fundamentals are Banking, Construction, Transportation, Oil and Petrochemicals, Electric Power and Utilities, and Steel [1][20]. Strategy Performance and Positioning Review - The report recommends a focus on sectors with high dividends and resource-related industries for August, with a notable shift from the previous month's recommendations [1][23].