2024年10月量化行业配置月报：10 月：从弹性到韧性

• The report utilizes a fundamental quantitative model to assess industry trends and opportunities, focusing on metrics like industry prosperity signals and congestion levels[5][9][10] - The fundamental quantitative model identifies industries with upward, stable, or downward prosperity trends, such as semiconductors, photovoltaics, and building materials showing upward trends, while others like coal and steel exhibit downward trends[10][11][14] - The model's construction involves analyzing industry-specific indicators, such as export growth rates for solar cells and inverters in the photovoltaic sector, and revenue growth rates for semiconductor companies like TSMC[14][24][28] - The comprehensive strategy based on the model allocates weights to industries with upward and stable prosperity signals, with stable industries receiving half the weight of upward ones, achieving a 27.1% return in the last month, outperforming benchmarks by 0.3% and 2.2% respectively[2][37][40] - The model highlights congestion signals in industries like home appliances and banking, reaching the 95% rolling 3-year threshold, but notes reduced warning effectiveness in a market with incremental capital inflows[2][33][36]