Core Insights - The report highlights the current industry allocation positions of the Bank of China’s multi-strategy system, with significant weights in non-bank financials (8.9%), comprehensive (8.5%), and telecommunications (7.7%) sectors [1] - The average weekly return for the CITIC primary industries is reported at 0.8%, with the telecommunications sector leading at 6.5% and banking lagging at -2.1% [3][10] - The report indicates that the composite strategy has achieved a cumulative return of 17.5% year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 2.1% [3] Industry Performance Review - The top three performing industries for the week are telecommunications (6.5%), comprehensive financials (6.0%), and electric equipment & new energy (3.3%), while the worst performers are banking (-2.1%), national defense & military (-1.7%), and textiles & apparel (-1.7%) [3][10] - The report provides a detailed breakdown of weekly and monthly returns across various industries, indicating a strong performance in sectors like telecommunications and comprehensive financials [11] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with high valuation risks. Currently, the retail trade, national defense & military, media, and computer industries are flagged for high valuations, exceeding the 95% percentile [12][13] - The methodology for the valuation warning system involves excluding the top 10% of PB ratios to ensure robust estimates [12] Strategy Performance - The report outlines various strategies and their performance, with the highest excess return from the long-term reversal strategy (6.3%) and the lowest from the funds flow strategy (-2.0%) [3] - The current top three industries based on the high prosperity industry rotation strategy are non-bank financials, telecommunications, and non-ferrous metals [15][16] Macro Style Rotation - The macro style rotation strategy identifies the top six industries based on macroeconomic indicators, which include comprehensive financials, computers, media, national defense & military, comprehensive, and non-bank financials [21][23] - The report emphasizes the importance of macroeconomic indicators in predicting industry performance and the methodology used to rank industries based on their exposure to various styles [22] Emotional Momentum Tracking - The emotional momentum tracking strategy identifies the top three industries based on implied market sentiment, which are machinery, telecommunications, and light industry manufacturing [18][20] - This strategy focuses on capturing market sentiment before earnings expectations are published, utilizing daily return and turnover rate data [19]