中观配置月报2511：小盘成长风格继续占优-20251102

• The report constructs a market style rotation solution based on macro data, including value-growth style rotation strategy and large-small cap style rotation strategy. The value-growth style rotation strategy scores higher for growth style with a comprehensive score of 6 as of October 31, 2025[6][8] - The large-small cap style rotation strategy scores higher for small cap style with a comprehensive score of 4 as of October 31, 2025[8][10] - The industry rotation solution is constructed using four dimensions: macro indicators, fundamental indicators, technical indicators, and crowding indicators, forming a comprehensive evaluation system for industry rotation[11][22] - The macro indicators divide the primary industries into five sectors: upstream cycle, midstream manufacturing, downstream consumption, TMT, and big finance, based on the second-order difference of macro growth and liquidity[13] - The fundamental indicators include historical prosperity, prosperity changes, and prosperity expectations. As of October 31, 2025, the top five industries ranked by fundamental indicators are non-bank finance, non-ferrous metals, electronics, communication, and power equipment and new energy[17] - The technical indicators include index momentum, leading stock momentum, and K-line patterns. As of October 31, 2025, the top five industries ranked by technical indicators are communication, media, banking, computer, and machinery[18] - The crowding indicators include financing inflow, turnover rate, and transaction ratio. As of October 31, 2025, the top five industries ranked by crowding indicators are power equipment and new energy, non-ferrous metals, coal, electronics, and communication[21] - The comprehensive industry rotation score, combining the four dimensions, ranks the top seven industries as banking, machinery, communication, non-ferrous metals, media, automotive, and electronics as of October 31, 2025[22][25] Model Backtest Results - Value-Growth Style Rotation Strategy: Comprehensive score of 6, growth style scored higher[6][8] - Large-Small Cap Style Rotation Strategy: Comprehensive score of 4, small cap style scored higher[8][10] Factor Backtest Results - Fundamental Indicators: Top five industries are non-bank finance, non-ferrous metals, electronics, communication, and power equipment and new energy[17] - Technical Indicators: Top five industries are communication, media, banking, computer, and machinery[18] - Crowding Indicators: Top five industries are power equipment and new energy, non-ferrous metals, coal, electronics, and communication[21] - Comprehensive Industry Rotation Score: Top seven industries are banking, machinery, communication, non-ferrous metals, media, automotive, and electronics[22][25]