从微观出发的五维行业轮动月度跟踪-20251013

• The five-dimensional industry rotation model is based on the unique multi-factor stock selection system of Dongwu Securities, starting from the micro-level of individual stocks. The micro-factors are categorized into five major types: volatility, fundamentals, trading volume, sentiment, and momentum. The model constructs intra-industry dispersion indicators and intra-industry traction indicators based on the style preferences of the large-category stock selection factors, ultimately obtaining five types of composite industry factors. The model includes volatility, fundamentals, trading volume, sentiment, and momentum dimensions[8][3] - The performance tracking of the five-dimensional industry rotation model includes the construction of return capability scores and stability scores based on the excess returns of the long group and the average industry ranking of the long group, using the period from April 1, 2025, to September 30, 2025, as the look-back period[9] - The backtesting performance of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, shows that the annualized return of the six-group long-short hedging in the Shenwan primary industry is 21.10%, the annualized volatility is 10.84%, the information ratio (IR) is 1.95, the monthly win rate is 72.36%, and the maximum historical drawdown is 13.30%[12][13] - The long-short hedging performance indicators of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, for each factor are as follows: Volatility factor: annualized return 10.48%, volatility 10.41%, IR 1.01, win rate 59.38%, maximum drawdown 14.81%; Fundamentals factor: annualized return 7.04%, volatility 12.12%, IR 0.58, win rate 56.25%, maximum drawdown 26.32%; Trading volume factor: annualized return 8.03%, volatility 11.78%, IR 0.68, win rate 59.38%, maximum drawdown 18.40%; Sentiment factor: annualized return 8.24%, volatility 12.79%, IR 0.64, win rate 64.84%, maximum drawdown 14.79%; Momentum factor: annualized return 11.50%, volatility 10.59%, IR 1.09, win rate 61.42%, maximum drawdown 13.52%; Composite factor: annualized return 21.10%, volatility 10.84%, IR 1.95, win rate 72.36%, maximum drawdown 13.30%[14] - The long-short hedging performance indicators of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, for the long group hedging the equal-weighted industry portfolio are as follows: annualized return 10.36%, annualized volatility 6.57%, IR 1.58, monthly win rate 69.92%, maximum drawdown 9.36%[13][16] - In September 2025, the long group of the five-dimensional industry rotation model achieved a return of 2.00%, with an excess return relative to the benchmark of 1.53%[19] - The long-short return decomposition for September 2025 for each factor is as follows: Volatility factor: long -3.72%, short 4.21%; Fundamentals factor: long 2.10%, short -2.56%; Trading volume factor: long 0.19%, short 1.57%; Sentiment factor: long 4.89%, short 1.44%; Momentum factor: long -1.95%, short -2.43%; Composite factor: long 2.00%, short -0.28%[20]