中银量化多策略行业轮动周报–20260122-20260123

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with the highest weights in basic chemicals (22.4%), non-bank financials (11.0%), and building materials (10.9%) [1] - The report tracks the performance of various strategies, indicating that the long-term reversal strategy has achieved a monthly excess return of 2.2%, while the implied sentiment momentum strategy has a weekly excess return of 0.9% [2][3] - The report identifies the top three industries based on profitability expectations as coal, basic chemicals, and non-bank financials, while the worst performers include media, computers, and pharmaceuticals [10][15] Industry Performance Review - The average weekly return for the CITIC first-level industries is 0.9%, with a one-month average return of 6.0% [10] - The best-performing industries for the week are building materials (7.4%), oil and petrochemicals (6.2%), and basic chemicals (3.8%), while the worst are media (-5.5%), computers (-3.6%), and pharmaceuticals (-3.0%) [11] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with a PB ratio above the 95th percentile as overvalued [12] - Current industries triggering high valuation warnings include retail, computers, non-ferrous metals, defense, oil and petrochemicals, electronics, media, and machinery [13] Strategy Performance - The report details the performance of various strategies, with the highest weight currently in the traditional multi-factor scoring strategy (21.3%) and the lowest in the macro style industry rotation strategy (17.5%) [3] - The composite strategy has achieved a cumulative return of 4.7% year-to-date, outperforming the CITIC first-level industry equal-weight benchmark by 0.4% [3] Sector Rankings and Sentiment Indicators - The top three sectors based on implied sentiment indicators are basic chemicals, light industry manufacturing, and electric power equipment and new energy [19] - The macro indicators favoring the top six industries include banking, oil and petrochemicals, coal, home appliances, non-ferrous metals, and construction [22]