中银量化多策略行业轮动周报-20251214

Core Insights - The report indicates that the current allocation of the Bank of China multi-strategy industry configuration system is as follows: Communication (9.6%), Banking (9.5%), Transportation (9.1%), Non-Bank Financials (8.0%), Food and Beverage (7.7%), Power Equipment and New Energy (7.2%), Steel (6.7%), Machinery (6.2%), Basic Chemicals (4.7%), Oil and Petrochemicals (4.7%), Home Appliances (4.4%), Comprehensive (3.5%), Agriculture, Forestry, Animal Husbandry, and Fishery (3.5%), Comprehensive Finance (3.5%), Nonferrous Metals (3.5%), Building Materials (3.4%), Electronics (2.4%), Power and Utilities (1.2%), and Construction (1.2%) [1] Market Performance Review - The average weekly return of the CITIC primary industries is 0.0%, with a one-month average return of -4.1%. The top three performing industries this week are Communication (6.4%), Defense and Military (4.6%), and Non-Bank Financials (3.3%). The worst-performing industries are Coal (-3.6%), Oil and Petrochemicals (-2.7%), and Steel (-2.4%) [3][10] - The composite industry rotation strategy achieved a cumulative return of 0.3% this week, with an excess return of 5.2% year-to-date compared to the CITIC primary industry equal-weight benchmark [3][10] Industry Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, excluding extreme values. Industries with a PB ratio above the 95th percentile are flagged for high valuation risk. Currently, the industries under warning include Computer, Retail, Media, Nonferrous Metals, Oil and Petrochemicals, and Defense and Military [12][13] Single Strategy Performance - The top three industries based on the S1 high prosperity industry rotation strategy are Machinery, Communication, and Power Equipment and New Energy [15][16] - The S2 implied sentiment momentum strategy ranks the top three industries as Communication, Machinery, and Electronics [20] - The S3 macro style rotation strategy identifies the top six industries as Banking, Home Appliances, Power and Utilities, Oil and Petrochemicals, Transportation, and Construction [23] Strategy Adjustments - The composite strategy has increased positions in TMT, midstream cyclical, and midstream non-cyclical sectors while reducing positions in consumer, financial, and upstream cyclical sectors [3][10]