中银量化多策略行业轮动周报-20251024

Core Insights - The report highlights the current industry allocation positions of the Bank of China’s multi-strategy system, with significant weights in non-bank financials (11.7%), communication (8.6%), and basic chemicals (8.3) [1] - The average weekly return for the CITIC primary industries was 0.2%, with the best-performing sectors being oil and petrochemicals (4.9%), communication (3.8%), and home appliances (2.0%) [3][10] - The report indicates a cumulative return of 27.4% for the industry rotation composite strategy year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 4.4% [3] Industry Performance Review - The best-performing sectors for the week included oil and petrochemicals (4.9%), communication (3.8%), and home appliances (2.0%), while the worst performers were defense and military (-3.6%), electric equipment and new energy (-2.4%), and non-ferrous metals (-2.4%) [10][11] - The average monthly return over the past month was 0.7%, indicating a slight upward trend in industry performance [10] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying sectors with high valuation risks. Currently, sectors such as retail, media, computing, electronics, and oil and petrochemicals are flagged for high valuation [12][13][14] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy are non-bank financials, machinery, and communication [15][16] - The report outlines various strategies, with the highest excess return from the traditional multi-factor scoring strategy (18.4%) and the lowest from the funds flow strategy (-4.2%) [3] Composite Strategy Allocation and Performance Review - The composite strategy has increased allocations in financials, TMT (Technology, Media, and Telecommunications), and midstream cyclical sectors while reducing exposure to consumer non-cyclical sectors [3] - The report details the current weights of various strategies, with the traditional multi-factor scoring strategy holding the highest weight at 24.1% [3] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries favored by current macro indicators, which include banking, oil and petrochemicals, transportation, electric utilities, construction, and home appliances [24]