◼ 2025 年 12 月最新持仓行业为：医药生物、交通运输、银行、非银金融、 机械设备。 证券研究报告·金融工程·金工定期报告 金工定期报告 20251201 从微观出发的五维行业轮动月度跟踪 202512 2025 年 12 月 01 日 [Table_Tag] [Table_Summary] 报告要点 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《从微观出发的五维行业轮动月度跟 踪 202511》 2025-11-03 东吴证券研究所 1 / 8 请务必阅读正文之后的免责声明部分 ◼ 模型多空对冲绩效：以 2015/01/01-2025/11/30 为回测区间，五维行业轮 动模型在申万一级行业中，六分组多空对冲的年化收益率为 21.31%，年 化波动率为 10.79%，信息比率为 1.98，月度胜率为 72.80%，历史最大 回撤为 13.30%；多头对冲全市场行业等权组合的年化收益率为 10.48%， 年化波动率为 ...

- The "Five-Dimensional Industry Rotation Model" is constructed based on Dongwu Securities' multi-factor stock selection system, categorizing micro factors into five major types: volatility, fundamentals, trading volume, sentiment, and momentum. The model leverages style indicators to classify stocks within industries, creating intra-industry dispersion and traction indicators, which are synthesized into five types of industry factors. These factors form the foundation of the five-dimensional industry rotation model[8][3][13] - The model's performance was backtested from January 1, 2015, to October 31, 2025. For six-group long-short hedging within Shenwan Level-1 industries, the annualized return was 21.41%, annualized volatility was 10.83%, IR was 1.98, monthly win rate was 72.58%, and the maximum historical drawdown was 13.30%. For long positions hedging against the market's equal-weighted industry portfolio, the annualized return was 10.50%, annualized volatility was 6.56%, IR was 1.60, monthly win rate was 70.16%, and the maximum historical drawdown was 9.36%[3][13][17] - The model's October 2025 performance showed that the long portfolio achieved a return of 2.00%, with an excess return relative to the benchmark of 2.12%. The highest scoring group was the long portfolio, while the lowest scoring group was the short portfolio[3][18][19] - The performance metrics for individual factors within the model during the backtesting period (2015/01/01-2025/10/31) are as follows: - **Volatility Factor**: Annualized return 10.64%, volatility 10.38%, IR 1.02, win rate 59.69%, maximum drawdown 14.81%, IC -0.08, ICIR -1.36, RankIC -0.06, RankICIR -1.01 - **Fundamentals Factor**: Annualized return 7.31%, volatility 12.10%, IR 0.60, win rate 56.59%, maximum drawdown 26.32%, IC 0.15, ICIR 3.25, RankIC 0.04, RankICIR 0.72 - **Trading Volume Factor**: Annualized return 8.20%, volatility 11.74%, IR 0.70, win rate 59.69%, maximum drawdown 18.40%, IC -0.06, ICIR -0.99, RankIC -0.07, RankICIR -0.95 - **Sentiment Factor**: Annualized return 7.93%, volatility 12.78%, IR 0.62, win rate 64.34%, maximum drawdown 14.79%, IC 0.03, ICIR 0.51, RankIC 0.03, RankICIR 0.49 - **Momentum Factor**: Annualized return 11.26%, volatility 10.56%, IR 1.07, win rate 60.16%, maximum drawdown 13.52%, IC 0.02, ICIR 0.40, RankIC 0.05, RankICIR 0.74 - **Composite Factor**: Annualized return 21.41%, volatility 10.83%, IR 1.98, win rate 72.58%, maximum drawdown 13.30%, IC -0.03, ICIR -0.63, RankIC -0.10, RankICIR -1.59[17][19][13] - The November 2025 latest holdings of the five-dimensional industry rotation model are categorized by factor: - **Volatility**: Pharmaceutical & Biological, Utilities, Transportation, Banking, Coal - **Fundamentals**: Agriculture, Food & Beverage, Social Services, Media, Non-Banking Finance - **Trading Volume**: Food & Beverage, Retail, Social Services, Banking, Environmental Protection - **Sentiment**: Basic Chemicals, Non-ferrous Metals, Pharmaceutical & Biological, Electrical Equipment, Machinery - **Momentum**: Agriculture, Basic Chemicals, Electronics, Home Appliances, Light Manufacturing[22][21][3]

- The five-dimensional industry rotation model is based on the unique multi-factor stock selection system of Dongwu Securities, starting from the micro-level of individual stocks. The micro-factors are categorized into five major types: volatility, fundamentals, trading volume, sentiment, and momentum. The model constructs intra-industry dispersion indicators and intra-industry traction indicators based on the style preferences of the large-category stock selection factors, ultimately obtaining five types of composite industry factors. The model includes volatility, fundamentals, trading volume, sentiment, and momentum dimensions[8][3] - The performance tracking of the five-dimensional industry rotation model includes the construction of return capability scores and stability scores based on the excess returns of the long group and the average industry ranking of the long group, using the period from April 1, 2025, to September 30, 2025, as the look-back period[9] - The backtesting performance of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, shows that the annualized return of the six-group long-short hedging in the Shenwan primary industry is 21.10%, the annualized volatility is 10.84%, the information ratio (IR) is 1.95, the monthly win rate is 72.36%, and the maximum historical drawdown is 13.30%[12][13] - The long-short hedging performance indicators of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, for each factor are as follows: Volatility factor: annualized return 10.48%, volatility 10.41%, IR 1.01, win rate 59.38%, maximum drawdown 14.81%; Fundamentals factor: annualized return 7.04%, volatility 12.12%, IR 0.58, win rate 56.25%, maximum drawdown 26.32%; Trading volume factor: annualized return 8.03%, volatility 11.78%, IR 0.68, win rate 59.38%, maximum drawdown 18.40%; Sentiment factor: annualized return 8.24%, volatility 12.79%, IR 0.64, win rate 64.84%, maximum drawdown 14.79%; Momentum factor: annualized return 11.50%, volatility 10.59%, IR 1.09, win rate 61.42%, maximum drawdown 13.52%; Composite factor: annualized return 21.10%, volatility 10.84%, IR 1.95, win rate 72.36%, maximum drawdown 13.30%[14] - The long-short hedging performance indicators of the five-dimensional industry rotation model from January 1, 2015, to September 30, 2025, for the long group hedging the equal-weighted industry portfolio are as follows: annualized return 10.36%, annualized volatility 6.57%, IR 1.58, monthly win rate 69.92%, maximum drawdown 9.36%[13][16] - In September 2025, the long group of the five-dimensional industry rotation model achieved a return of 2.00%, with an excess return relative to the benchmark of 1.53%[19] - The long-short return decomposition for September 2025 for each factor is as follows: Volatility factor: long -3.72%, short 4.21%; Fundamentals factor: long 2.10%, short -2.56%; Trading volume factor: long 0.19%, short 1.57%; Sentiment factor: long 4.89%, short 1.44%; Momentum factor: long -1.95%, short -2.43%; Composite factor: long 2.00%, short -0.28%[20]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250901 从微观出发的五维行业轮动月度跟踪 202509 2025 年 09 月 01 日 [Table_Tag] [Table_Summary] 报告要点 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《从微观出发的五维行业轮动 月度跟踪 202508 2025-08-01 东吴证券研究所 1 / 9 请务必阅读正文之后的免责声明部分 ◼ 模型多空对冲绩效：以 2015/01/01-2025/08/31 为回测区间，五维行业轮 动模型在申万一级行业中，六分组多空对冲的年化收益率为 21.44%，年 化波动率为 10.84%，信息比率为 1.98，月度胜率为 71.95%，历史最大 回撤为 13.30%；多头对冲全市场行业等权组合的年化收益率为 10.52%， 年化波动率为 6.58%，信息比率为 1.60，月度胜率 70.49%，历史最大回 撤为 9.36%。 ◼ ...

- Model Name: Five-Dimensional Industry Rotation Model; Model Construction Idea: Based on the Dongwu Financial Engineering multi-factor stock selection system, the model is constructed from the micro-level of individual stocks, dividing micro-factors into five categories: volatility, fundamentals, trading volume, sentiment, and momentum[6]; Model Construction Process: The model uses style indicators to classify stocks within industries, constructing intra-industry dispersion and traction indicators to synthesize final industry factors. The five-dimensional industry rotation model includes volatility, fundamentals, trading volume, sentiment, and momentum factors[6]; Model Evaluation: The model effectively captures industry style differences and integrates multiple factors to enhance industry rotation strategies[6] - Model Name: Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement; Model Construction Idea: The model applies the five-dimensional industry rotation model to enhance the CSI 300 index by selecting top and bottom industries monthly[21]; Model Construction Process: At the end of each month, the top five industries are selected as enhanced industries, and the bottom five industries are excluded. The weights of excluded industries are proportionally reassigned to the enhanced industries, forming a new CSI 300 enhanced portfolio with monthly rebalancing[21] Model Backtest Performance - Five-Dimensional Industry Rotation Model, Annualized Return: 22.01%, Annualized Volatility: 10.78%, IR: 2.04, Monthly Win Rate: 73.55%, Maximum Drawdown: 13.30%[11][15] - Five-Dimensional Industry Rotation Model (Long-Only), Annualized Return: 10.71%, Annualized Volatility: 6.59%, IR: 1.63, Monthly Win Rate: 71.07%, Maximum Drawdown: 9.36%[15][16] - Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement, Annualized Return: 8.61%, Annualized Volatility: 7.41%, IR: 1.16, Monthly Win Rate: 68.85%, Maximum Drawdown: 12.65%[22] Factor Backtest Performance - Volatility Factor, Annualized Return: 11.57%, Annualized Volatility: 10.12%, IR: 1.14, Monthly Win Rate: 60.32%, Maximum Drawdown: 14.27%[15] - Fundamentals Factor, Annualized Return: 6.80%, Annualized Volatility: 12.14%, IR: 0.56, Monthly Win Rate: 56.35%, Maximum Drawdown: 26.32%[15] - Trading Volume Factor, Annualized Return: 8.83%, Annualized Volatility: 11.72%, IR: 0.75, Monthly Win Rate: 60.32%, Maximum Drawdown: 18.40%[15] - Sentiment Factor, Annualized Return: 8.01%, Annualized Volatility: 12.86%, IR: 0.62, Monthly Win Rate: 64.29%, Maximum Drawdown: 14.79%[15] - Momentum Factor, Annualized Return: 11.54%, Annualized Volatility: 10.67%, IR: 1.08, Monthly Win Rate: 60.80%, Maximum Drawdown: 13.52%[15]

Quantitative Models and Construction Methods 1. Model Name: Five-Dimensional Industry Rotation Model - **Model Construction Idea**: The model is based on the Dongwu Securities multi-factor stock selection system, categorizing micro factors into five dimensions: volatility, fundamentals, trading volume, sentiment, and momentum. It leverages style indicators to classify stocks within industries and constructs final industry factors by combining intra-industry dispersion and traction indicators [6][7] - **Model Construction Process**: 1. Micro factors are categorized into five dimensions using the Dongwu Securities multi-factor classification standard [6] 2. Style indicators are used to classify stocks within industries, creating intra-industry dispersion and traction indicators [6] 3. The final industry factors are synthesized into five categories: volatility, fundamentals, trading volume, sentiment, and momentum [6] - **Model Evaluation**: The model effectively captures intra-industry style differences and integrates multiple dimensions to enhance industry rotation strategies [6] 2. Model Name: Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement - **Model Construction Idea**: This model applies the five-dimensional industry rotation framework to enhance the CSI 300 Index by overweighting high-scoring industries and underweighting low-scoring ones [22] - **Model Construction Process**: 1. At the end of each month, the top five industries (highest scores) are selected as enhancement industries, and the bottom five industries (lowest scores) are excluded [22] 2. Stocks in excluded industries are removed from the portfolio, and their weights are proportionally redistributed to stocks in enhancement industries [22] 3. The portfolio is rebalanced monthly [22] --- Model Backtesting Results 1. Five-Dimensional Industry Rotation Model - **Annualized Return**: 21.59% - **Annualized Volatility**: 10.77% - **IR**: 2.00 - **Monthly Win Rate**: 73.33% - **Maximum Drawdown**: 13.30% [10][14] 2. Five-Dimensional Industry Rotation Model (Long-Only, Market-Neutral) - **Annualized Return**: 10.52% - **Annualized Volatility**: 6.59% - **IR**: 1.60 - **Monthly Win Rate**: 70.83% - **Maximum Drawdown**: 9.36% [14][15] 3. Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement - **Annualized Excess Return**: 8.90% - **Annualized Excess Volatility**: 7.50% - **IR**: 1.19 - **Monthly Win Rate**: 69.42% - **Maximum Drawdown**: 12.74% [23] --- Quantitative Factors and Construction Methods 1. Factor Name: Volatility Factor - **Factor Construction Idea**: Measures the dispersion of stock returns within an industry to capture risk-adjusted opportunities [6] - **Factor Construction Process**: 1. Calculate the standard deviation of stock returns within each industry 2. Normalize the values to ensure comparability across industries [6] 2. Factor Name: Fundamentals Factor - **Factor Construction Idea**: Evaluates the financial health and valuation metrics of stocks within an industry [6] - **Factor Construction Process**: 1. Aggregate financial ratios such as ROE, P/E, and P/B for stocks within each industry 2. Normalize and rank the aggregated values [6] 3. Factor Name: Trading Volume Factor - **Factor Construction Idea**: Tracks liquidity and trading activity within industries to identify momentum-driven opportunities [6] - **Factor Construction Process**: 1. Calculate the average trading volume for stocks within each industry 2. Normalize and rank the values [6] 4. Factor Name: Sentiment Factor - **Factor Construction Idea**: Captures market sentiment through price trends and investor behavior within industries [6] - **Factor Construction Process**: 1. Analyze price momentum and news sentiment data for stocks within each industry 2. Aggregate and normalize the sentiment scores [6] 5. Factor Name: Momentum Factor - **Factor Construction Idea**: Identifies industries with strong upward price trends [6] - **Factor Construction Process**: 1. Calculate the relative strength index (RSI) and moving average convergence divergence (MACD) for stocks within each industry 2. Aggregate and normalize the momentum scores [6] --- Factor Backtesting Results 1. Volatility Factor - **Annualized Return**: 11.62% - **Annualized Volatility**: 10.16% - **IR**: 1.14 - **Monthly Win Rate**: 60.00% - **Maximum Drawdown**: 14.27% [14] 2. Fundamentals Factor - **Annualized Return**: 5.66% - **Annualized Volatility**: 9.93% - **IR**: 0.57 - **Monthly Win Rate**: 56.00% - **Maximum Drawdown**: 21.50% [14] 3. Trading Volume Factor - **Annualized Return**: 7.65% - **Annualized Volatility**: 12.11% - **IR**: 0.63 - **Monthly Win Rate**: 58.40% - **Maximum Drawdown**: 18.51% [14] 4. Sentiment Factor - **Annualized Return**: 7.87% - **Annualized Volatility**: 12.91% - **IR**: 0.61 - **Monthly Win Rate**: 64.00% - **Maximum Drawdown**: 14.79% [14] 5. Momentum Factor - **Annualized Return**: 11.69% - **Annualized Volatility**: 10.71% - **IR**: 1.09 - **Monthly Win Rate**: 61.29% - **Maximum Drawdown**: 13.52% [14] 6. Composite Factor - **Annualized Return**: 21.59% - **Annualized Volatility**: 10.77% - **IR**: 2.00 - **Monthly Win Rate**: 73.33% - **Maximum Drawdown**: 13.30% [14]

从微观出发的五维行业轮动月度跟踪 202505 2025 年 05 月 06 日 证券研究报告·金融工程·金工定期报告 金工定期报告 20250506 [Table_Tag] [Table_Summary] 报告要点 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《从微观出发的五维行业轮动 月度跟踪 202504》 2025-03-31 东吴证券研究所 1 / 9 金工定期报告 内容目录 | 1. 五维行业轮动模型简介 | | --- | | 2. 五维行业轮动模型绩效跟踪 | | 2.1. 五维行业轮动模型评分 | | 2.2. 五维行业轮动模型回测绩效表现 | | 3. 五维行业轮动模型持仓跟踪 | | 4. 五维行业轮动模型的指数增强策略 . | | 5. 风险提示 . | 2 / 9 东吴证券研究所 请务必阅读正文之后的免责声明部分 金工定期报告 图表目录 请务必阅读正文之后的免责声明部分 ◼ 模型多空对冲绩效：以 2 ...