中银量化多策略行业轮动周报-20251017

Group 1: Core Insights - The current industry allocation by the Bank of China multi-strategy system includes Non-Bank Financials (11.7%), Basic Chemicals (10.2%), and Comprehensive (9.3%) as the top three sectors [1] - The average weekly return for the 30 CITIC primary industries is -1.1%, with the best-performing sectors being Coal (6.6%), Banking (5.8%), and Food & Beverage (2.6%) [3][10] - The composite strategy has achieved a cumulative return of 27.2% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.7% by 4.5% [3] Group 2: Industry Performance Review - The worst-performing sectors this week include Electronics (-7.7%), Computers (-6.3%), and Media (-6.2%) [10] - The current top three industries based on profitability expectations are Non-Bank Financials, Agriculture, Forestry, Animal Husbandry, and Fishery, and Communications [15] - The sectors with the highest implied sentiment indicators are Basic Chemicals, Comprehensive, and Electric Equipment & New Energy [19] Group 3: Valuation Risk Alerts - The industries currently flagged for high valuation risk include Retail, Media, Computers, Non-Ferrous Metals, Electronics, and National Defense [12][13] - The valuation warning system uses a 6-year rolling PB (Price-to-Book) ratio to assess industry valuations, with a PB above the 95th percentile indicating overvaluation [12] Group 4: Strategy Performance - The highest performing strategy this year is the Traditional Multi-Factor Scoring Strategy, with an excess return of 18.4% compared to the benchmark [3] - The current allocation of the composite strategy has slightly increased positions in financials and midstream non-cyclical sectors while reducing exposure to upstream cyclical sectors [3] - The macroeconomic indicators favoring the top six industries include Banking, Oil & Petrochemicals, Transportation, Electric Utilities, Construction, and Home Appliances [22]