主动量化策略周报：ANSLIM行业轮动策略10月配置建议：关注钢铁、基础化工、电力设备、银行和电子等行业-20251008

Core Insights - The report suggests focusing on the steel, basic chemicals, electrical equipment, banking, and electronics industries for October's CANSLIM sector rotation strategy [1][4][23]. Sector Rotation Factor Performance - From September 1 to September 30, 2025, the brokerage's key stock sector changes, public fund heavy stock momentum, and SUE factors performed well, while public fund sector changes, volume adjustment momentum, and the proportion of net inflow from large orders performed poorly [2][16]. - Year-to-date (from January 2 to September 30, 2025), analyst approval ratings, SUE, and public fund heavy stock momentum factors showed strong performance, while public fund sector changes, volume adjustment momentum, and the proportion of net inflow from large orders performed poorly [2][16]. Last Month's Portfolio Performance Review - From September 1 to September 30, 2025, the sector rotation portfolio achieved a return of 4.38%, while the CITIC first-level industry equal-weight index returned 0.90%, resulting in an excess return of 3.48% [3][21]. - Year-to-date, the sector rotation portfolio returned 18.94%, compared to the CITIC first-level industry equal-weight index's return of 20.27%, leading to an excess return of -1.33% [3][21]. Current Portfolio Recommendations - The report utilizes the CANSLIM framework, assessing industry crowding (C), analyst expectations (A), fundamental prosperity (N), smart money (S), price momentum (L), institutional funds (I), and macro dynamic valuation (M) to construct a composite score for industries [4][22]. - The top five industries based on this scoring system are steel, basic chemicals, electrical equipment, banking, and electronics [4][23]. CANSLIM Sector Rotation Strategy Construction and Performance - Since 2013, the CANSLIM composite factor has achieved an average RankIC of 11.6%, with a monthly win rate of 64.7% and an annualized RankICIR of 1.44. The long annualized excess return is 10.75%, while the short annualized excess return is -10.41%, indicating strong differentiation capability for future industry returns [5][31]. - The portfolio constructed based on the CANSLIM composite factor has yielded an annualized return of 22.94% since 2013, with an annualized excess return of 13.80% relative to the industry equal-weight benchmark, a maximum drawdown of 23.75%, an information ratio of 1.29, and a monthly win rate of 73% [5][38].