中银量化多策略行业轮动周报-20250922

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in non-bank financials (11.7%), steel (11.0%), and comprehensive sectors (10.1%) [1] - The average weekly return for the CITIC primary industries was -0.4%, while the average return over the past month was 2.3% [3][10] - The report identifies the top-performing industries for the week as automotive (4.4%), electronics (4.4%), and electric equipment and new energy (4.1%), while the worst performers were banking (-5.6%), non-bank financials (-4.4%), and food and beverage (-3.6%) [3][10] Industry Performance Review - The report provides a detailed performance review of CITIC primary industries, indicating that the automotive sector has a year-to-date return of 34.4%, while electronics and electric equipment and new energy have returns of 48.0% and 36.0%, respectively [11] - The report notes that the composite strategy has achieved a cumulative return of 24.5% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.2% by 2.2% [3] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with a PB ratio above the 95th percentile as overvalued [12][13] - Currently, the industries triggering high valuation warnings include retail, media, computing, and automotive, with their PB ratios exceeding the 95th percentile [13] Single Strategy Rankings and Recent Performance - The report outlines the top three industries based on the high profitability tracking strategy as non-bank financials, agriculture, and steel [15][16] - The report also details the performance of various strategies, with the S2 strategy (implied sentiment momentum tracking) highlighting mechanical, electric equipment and new energy, and comprehensive sectors as the top three industries [20] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as comprehensive finance, computing, communication, national defense, electronics, and media [24] - The report emphasizes the importance of macroeconomic indicators in predicting industry performance, utilizing a multi-factor approach to assess industry exposure to various macroeconomic styles [22][23]