Core Viewpoint - The article introduces a "Five-Dimensional Industry Comparison Framework" that evaluates industries based on market style, fundamentals, capital flow, trading, and valuation, emphasizing the need for a comprehensive analysis to guide investment decisions [2][3]. Group 1: Five-Dimensional Framework - The framework assigns equal weight to the five dimensions during non-earnings seasons, while increasing the weight of fundamentals during earnings seasons [2]. - Historical backtesting from 2016 to February 2025 shows that industries with higher scores in the framework tend to perform better, with annualized returns of 11.8% for the top group and -10.5% for the bottom group [3]. Group 2: June Subjective Judgments - The market style is expected to lean towards defensive sectors due to anticipated economic weakness and potential market sentiment decline [4]. - Capital flow is projected to be dominated by ETFs, with public funds likely to see net outflows, leading to higher scores for ETF-heavy industries [4]. - Low-valuation industries are expected to perform better in a declining market sentiment environment [4]. Group 3: June Industry Allocation Views - The article suggests a focus on defensive and low-valuation sectors for June, highlighting industries such as coal, utilities, banking, non-bank financials, construction decoration, and oil and petrochemicals as worthy of investor attention [5].

1 五维行业比较框架介绍。股价表现受多重因素影响，单一指标难以有效指导行业比较。想要做好行业比较，需要对各种可能 影响股价的因素均进行分析并做出综合判断，并且对于未来可能的市场主导因素，应该赋予更高的权重。基于此，我们综合 市场风格、基本面、资金面、交易面、估值五个维度，构建了"五维行业比较框架" ，在非财报季时期，我们对于五个维 度进行等权打分，而在财报季，则给予基本面维度更高权重，并降低市场风格及估值维度的权重。 历史回测来看，五维行业比较框架表现优异，得分越高的行业表现往往更好。通过复盘2016年至2025年2月期间五维行业比 较框架的历史表现，可以发现该框架下得分越高的行业股价表现往往更好，按得分高低将行业依次分为第1组、第2组 、第3 组、第4组、第5组，各组的年化收益率分别为11.8%、1.3%、-1.4%、-7.5%及-10.5%，年化夏普比率分别为0.53、0.06、 -0.07、-0.35及-0.51。若通过做多第1组行业，做空第5组行业构建多空组合，多空组合的年化收益率为23.7%，年化夏普比 率为1.69。 6月主观因素判断。五维行业比较框架中，有三个维度涉及到一些主观判断，这三个维度分 ...