中银量化多策略行业轮动周报-20251226

Core Insights - The report highlights the current allocation of the Bank of China’s multi-strategy industry rotation system, with significant positions in non-bank financials (11.8%), banks (9.3%), and transportation (9.1%) [1] - The average weekly return for the CITIC primary industries was 3.0%, with the best-performing sectors being defense and military (6.7%), communication (5.9%), and construction materials (5.7%) [3][10] - The composite strategy achieved a cumulative return of 31.4% year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 5.3% [3] Industry Performance Review - The best-performing sectors for the week included defense and military (6.7%), communication (5.9%), and construction materials (5.7%), while the worst performers were coal (-1.4%), banks (-1.0%), and food and beverage (0.7%) [10][11] - The average monthly return for the past month was 3.3%, indicating a stable performance across sectors [10] Valuation Risk Warning - The report identifies several industries with high valuation risks, including retail, computer, non-ferrous metals, defense and military, petrochemicals, and electronics, which are currently above the 95th percentile of their historical PB valuations [12][13] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy (S1) are machinery, coal, and non-bank financials [15][16] - The implied sentiment momentum strategy (S2) ranks the top industries as basic chemicals, electronics, and communication [20] - The macro style rotation strategy (S3) identifies the top sectors as banks, home appliances, electric power and utilities, petrochemicals, transportation, and construction [25] Strategy Composite - The composite strategy has increased its positions in upstream and midstream cyclical sectors while reducing exposure to midstream non-cyclical sectors [3] - The highest weight strategy currently is the traditional multi-factor scoring strategy (S7) at 23.8%, while the macro style industry rotation strategy (S3) has the lowest weight at 7.1% [3]