中银量化多策略行业轮动周报-20251114

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 (11.6%), transportation (10.1%), and basic chemicals (9.6%) [1] - The average weekly return for the CITIC primary industries was 1.6%, with the best-performing sectors being consumer services (7.7%), basic chemicals (7.5%), and textiles (4.5%) [3][10] - The report indicates that the composite strategy achieved a cumulative return of 32.6% year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 5.0% [3] Industry Performance Review - The best-performing sectors over the past week were consumer services (7.7%), basic chemicals (7.5%), and textiles (4.5%), while the worst performers were computers (-3.4%), communications (-3.0%), and electronics (-2.8%) [10][11] - The report provides a detailed breakdown of the weekly and monthly performance of various sectors, indicating a near 1-month average return of 3.9% across 30 CITIC primary industries [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, computers, oil and petrochemicals, media, coal, and comprehensive industries 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 (S1) are non-bank financials, non-ferrous metals, and comprehensive finance [15][16] - The report outlines the performance of various strategies, with the highest excess return from the traditional multi-factor scoring strategy (S7) at 19.7% [3] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators, which include banking, oil and petrochemicals, transportation, electric utilities, construction, and home appliances [23][25] Long-term Reversal Strategy - The long-term reversal strategy recommends industries such as agriculture, basic chemicals, pharmaceuticals, defense, and electric equipment and new energy for investment [28]