行业轮动模型的因子化：减少当前超额回撤的思路之一————申万金工因子观察第2期20260201

Core Viewpoint - The collective failure of traditional price and volume factors since 2026 has led to the emergence of a momentum-based industry rotation model, which provides a potential solution for enhancing portfolio stability and excess returns [1][4][54]. Group 1: Industry Rotation Model Characteristics - The industry rotation factor has shown strong characteristics, with a monthly Information Coefficient (IC) of 5.3% and an Information Coefficient Information Ratio (ICIR) of 4.0, indicating its robust performance [26][54]. - The industry rotation model has been effective in improving performance within traditional multi-factor frameworks, significantly enhancing excess returns and halting the decline in excess performance seen in recent years [2][54]. Group 2: Challenges and Conflicts - The industry rotation factor faces conflicts with the industry deviation constraints commonly used in index-enhanced frameworks, which can negatively impact its effectiveness [2][54]. - When applying the standard industry deviation constraint of 2% and individual stock deviation of 0.5%, the performance of the portfolio has declined, with excess returns turning negative in 2025 [2][54]. Group 3: Optimal Usage Strategy - The best approach for utilizing the industry rotation factor is to maintain the individual stock deviation constraint at 0.5% while relaxing the industry deviation constraint from 2% to 5%, which has shown to improve overall excess returns and reduce maximum drawdowns [3][54]. - Increasing the industry deviation to 4% or 5% has resulted in better overall performance, with maximum drawdowns decreasing, indicating a balanced approach to enhancing excess returns while controlling risk [3][54].