金融工程专题报告：本月重点推荐非银、通信、有色、机械、电子

• The report introduces a style rotation model, which includes the value-growth rotation strategy and the large-small cap rotation strategy. The construction idea is based on macroeconomic data, supplemented by market sentiment indicators to depict market risk preferences and crowding levels. The model uses a three-dimensional multi-factor scoring system to build a comprehensive style rotation scoring framework[6][9][14] - The value-growth rotation strategy scores higher for the value style, with a comprehensive score of 4 as of January 31, 2026. In January 2025, the strategy also scored 4, with the growth index yielding 5.65% and the value index yielding 2.38%[9][11] - The large-small cap rotation strategy scores higher for the small-cap style, with a comprehensive score of 2 as of January 31, 2026. In January 2025, the strategy scored 4, with the CSI 300 index yielding 1.65% and the CSI 1000 index yielding 8.68%[11][13] - The report also introduces an industry rotation model, constructed using four dimensions: macroeconomic indicators, mid-level fundamental indicators, micro-level technical indicators, and trading crowding indicators. A total of 10 indicators are combined into a scoring system to provide a comprehensive solution for industry index rotation[6][14][30] - The macroeconomic indicators divide industries into five sectors: upstream cyclical, midstream manufacturing, downstream consumption, TMT, and large finance. The scoring system is based on second-order differences in macroeconomic growth and liquidity. As of January 31, 2026, the macroeconomic growth dimension was in the "expansion strengthening/recession easing" stage, and the liquidity dimension was in the "easing intensification/tightening mitigation" stage. The recommendation is to allocate to large finance and midstream manufacturing sectors[18][20] - The fundamental indicators include historical prosperity, prosperity changes, and prosperity expectations. As of January 31, 2026, the top five industries ranked by fundamental factors are non-bank finance, non-ferrous metals, electronics, automobiles, and communication, while the bottom five are real estate, construction, coal, petroleum and petrochemicals, and agriculture, forestry, animal husbandry, and fishery[21][22] - The technical indicators include index momentum, leading stock momentum, and candlestick patterns. As of January 31, 2026, the top five industries ranked by technical factors are communication, media, basic chemicals, non-ferrous metals, and building materials, while the bottom five are construction, electricity and utilities, transportation, real estate, and home appliances[25][28] - The crowding indicators include financing inflows, turnover rate, and transaction proportion. As of January 31, 2026, the industries with the highest crowding levels are defense and military, petroleum and petrochemicals, non-ferrous metals, media, and basic chemicals, while the industries with the lowest crowding levels are textiles and apparel, automobiles, transportation, non-bank finance, and banking[26][29] - The industry rotation comprehensive scoring system combines positive scores from macroeconomic, fundamental, and technical dimensions while negatively configuring crowding factors. As of January 31, 2026, the top five industries ranked by comprehensive scores are non-bank finance, communication, non-ferrous metals, machinery, and electronics, while the bottom seven are construction, real estate, coal, home appliances, petroleum and petrochemicals, food and beverages, and electricity and utilities[30][32] - The industry rotation strategy has demonstrated stable excess returns historically. Since 2017, the strategy has achieved an annualized return of 18.4%, compared to a benchmark annualized return of 4.7%, resulting in an excess annualized return of 13.7%. The monthly IC average is 12.3%[15][16][17] - The industry rotation strategy performance metrics for individual years are as follows: - 2017: Excess return 25.6%, IC 28.0, IR 4.42 - 2018: Excess return 4.5%, IC 5.6, IR 0.69 - 2019: Excess return 13.2%, IC 19.6, IR 3.19 - 2020: Excess return 15.0%, IC 18.1, IR 1.85 - 2021: Excess return 25.7%, IC 10.7, IR 1.11 - 2022: Excess return 11.7%, IC 6.7, IR 0.61 - 2023: Excess return 8.9%, IC 10.1, IR 1.77 - 2024: Excess return 4.6%, IC 4.6, IR 0.40 - 2025: Excess return 15.6%, IC 5.7, IR 0.65 - Overall period: Excess return 13.7%, IC 12.3, IR 1.41[16][17]