国君晨报0905|非银、社服、银行、金工
Guotai Junan Securities·2024-09-05 02:03
- The PEM-VC industry rotation model integrates "total" and "marginal" thinking to select industries with high sentiment, exceeding expectations, and momentum improvement while leveraging valuation trends and crowding levels to mitigate index downside risks [16] - The PEM-VC composite model achieved an annualized return of 30.72% and an annualized excess return of 26.64% from January 2011 to April 2024 [16] - In August 2024, the composite model's long portfolio included industries such as non-ferrous metals, electronics, machinery, agriculture, forestry, animal husbandry, fishery, and pharmaceuticals, generating excess returns relative to the market benchmark of 0.56%, 0.98%, 1.14%, and 1.49% respectively [16] - The September 2024 long portfolio of the composite model includes industries such as electric power equipment and new energy, automotive, petroleum and petrochemicals, non-ferrous metals, and pharmaceuticals [18] - The September 2024 marginal changes in the industry sentiment model show top-ranking industries as non-bank finance, banking, media, electric power equipment and new energy, and utilities, with significant sentiment improvement in real estate, banking, and electric power equipment and new energy [19] - The September 2024 performance exceeding expectations model ranks industries such as retail, petroleum and petrochemicals, electric power equipment and new energy, light manufacturing, and automotive at the top, with notable improvements in petroleum and petrochemicals, electric power equipment and new energy, and automotive [19] - The September 2024 industry momentum model ranks industries such as steel, utilities, non-ferrous metals, electronics, and defense at the top, with significant momentum improvement in defense, transportation, and consumer services [19] - The PEM-VC composite model's excess return relative to the market benchmark in 2024 is 14.80% [16] - The August 2024 excess return of the PEM-VC composite model's long portfolio relative to the market benchmark is 5.75% [16]