金融工程 | 证券研究报告 — 周报 2025 年 12 月 14 日 中银量化多策略行业轮动 周报 – 20251211 当前（2025 年 12 月 11 日）中银多策略行业配置系统仓位：通信 （9.6%）、银行（9.5%）、交通运输（9.1%）、非银行金融（8.0%）、 食品饮料（7.7%）、电力设备及新能源（7.2%）、钢铁（6.7%）、机械 （6.2%）、基础化工（4.7%）、石油石化（4.7%）、家电（4.4%）、综 合 （3.5% ）、农林牧渔（ 3.5% ）、综合金融（ 3.5% ）、有色金属 （3.5%）、建材（3.4%）、电子（2.4%）、电力及公用事业（1.2%）、 建筑（1.2%）。 相关研究报告 《中银证券量化行业轮动系列（七）：如何把 握市场"未证伪情绪"构建行业动量策略》 20220917 《中银证券量化行业轮动系列（八）："估值泡 沫保护"的高景气行业轮动策略》20221018 《中银证券宏观基本面行业轮动新框架：对传 统自上而下资产配置困境的破局》20230518 《中银证券量化行业轮动系列（九）：长期反 转-中期动量-低拥挤"行业轮动策略》20240914 《中银证券量化行 ...

Group 1: Core Insights - The current industry allocation of the Bank of China multi-strategy system includes Electronics (11.6%), Comprehensive (11.6%), Non-Bank Financials (9.4%), and others, indicating a diversified investment approach [1] - The average weekly return for the CITIC primary industries is 1.8%, with the best-performing sectors being Communication (17.3%), Electronics (12.2%), and Computer (7.0%) [3][10] - The cumulative return of the industry rotation composite strategy this year is 25.5%, outperforming the CITIC primary industry equal-weight benchmark return of 21.6% by 3.9% [3] Group 2: Industry Performance Review - The worst-performing sectors this week include Coal (-2.7%), Textile and Apparel (-2.4%), and Banking (-1.7%) [3][10] - The current PB valuation for the Retail Trade, Defense Industry, Media, and Computer sectors exceeds the 95% percentile of the past six years, triggering a high valuation warning [12][13] Group 3: Strategy Performance - The highest excess return strategy this year is the S2 "Unfalsified Sentiment Tracking Strategy," with an excess return of 14.7% [3] - The top three industries based on the S1 "High Prosperity Industry Rotation Strategy" are Non-Bank Financials, Agriculture, and Non-Ferrous Metals [15][16] - The current macro indicators favor the following six industries: Comprehensive Finance, Computer, Media, Defense Industry, Comprehensive, and Non-Bank Financials [24]