中银量化多策略行业轮动周报-20251219

Core Insights - The report highlights the current industry allocation positions, with non-bank financials at 11.7%, banks at 9.6%, and transportation at 9.2% among others [1] - The average weekly return for the CITIC primary industries was 0.1%, with the best-performing sectors being non-bank financials (3.7%), retail (2.3%), and defense (2.3%) [3][10] - The composite strategy achieved a cumulative return of 0.4% this week, outperforming the CITIC primary industry equal-weight benchmark by 0.4% [3] - Year-to-date, the composite strategy has gained 28.0%, compared to the benchmark's 22.4%, resulting in an excess return of 5.7% [3] Industry Performance Review - The best-performing sectors over the past week were non-bank financials (3.7%), retail (2.3%), and defense (2.3%), while the worst were real estate (-2.4%), electric equipment and new energy (-2.3%), and comprehensive (-1.8%) [10][11] - The average monthly return for the past month was -1.1% across 30 CITIC primary industries [10] Valuation Risk Warning - The report indicates that the current PB (Price-to-Book) valuations for retail, computer, non-ferrous metals, defense, and petrochemicals are above the 95% percentile of their historical valuations, triggering a high valuation warning [13][14] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy are machinery, coal, and non-bank financials [15][16] - The implied sentiment momentum strategy ranks the top three industries as communication, electronics, and electric equipment and new energy [20] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as banks, home appliances, electric utilities, petrochemicals, transportation, and construction [23][24] Long-term Reversal Strategy - The long-term reversal strategy combines factors of 2-3 year reversal, 1-year momentum, and low turnover rates to select the top five industries for allocation each month [26]