量化择时周报：上行趋势不改，行业如何轮动？-20250810

• The report defines the market environment using the distance between the long-term (120-day) and short-term (20-day) moving averages of the WIND All A index, which continues to expand, indicating an upward trend [2][9][10] - The industry allocation model recommends sectors such as innovative drugs in Hong Kong and securities for mid-term allocation, while the TWO BETA model continues to recommend the technology sector, focusing on military and computing power [2][3][10] - The current PE ratio of the WIND All A index is around the 70th percentile, indicating a moderate level, while the PB ratio is around the 30th percentile, indicating a relatively low level [3][10][15] Model and Factor Construction 1. Model Name: Industry Allocation Model - Construction Idea: Recommends sectors based on mid-term market trends - Construction Process: Utilizes historical data and market trends to identify sectors with potential for reversal and growth, such as innovative drugs and securities in the Hong Kong market - Evaluation: Effective in identifying sectors with potential for mid-term growth [2][3][10] 2. Model Name: TWO BETA Model - Construction Idea: Focuses on sectors with high beta values, indicating higher volatility and potential returns - Construction Process: Analyzes sectors with high beta values, recommending technology, military, and computing power sectors - Evaluation: Continues to recommend high-growth sectors, showing consistency in sector selection [2][3][10] Model Backtesting Results 1. Industry Allocation Model - PE Ratio: 70th percentile [3][10][15] - PB Ratio: 30th percentile [3][10][15] - Moving Average Distance: 6.92% [2][9][10] - Profitability Effect: 2.30% [2][9][10] 2. TWO BETA Model - PE Ratio: 70th percentile [3][10][15] - PB Ratio: 30th percentile [3][10][15] - Moving Average Distance: 6.92% [2][9][10] - Profitability Effect: 2.30% [2][9][10]