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中银量化多策略行业轮动周报-20250812
Core Insights - The report highlights the current positioning of the Bank of China’s multi-strategy industry allocation system, with a comprehensive allocation of 8.6% across various sectors, including Electronics (7.5%), Non-ferrous Metals (7.4%), and Banking (7.3) [1] - The report tracks the performance of various strategies, noting that the S2 sentiment tracking strategy achieved a weekly excess return of 3.3%, while the S1 industry profitability tracking strategy underperformed with an excess return of -0.1% [2][3] - The report identifies the top-performing sectors for the week as Machinery (5.4%), Non-ferrous Metals (4.4%), and National Defense Industry (4.2%), while the worst performers were Oil & Petrochemicals (-0.9%), Pharmaceuticals (-0.9%), and Comprehensive Finance (-0.6%) [3][10] Industry Performance Review - The average weekly return for the 30 CITIC first-level industries was 1.9%, with a one-month average return of 4.2% [10] - The report provides a detailed breakdown of weekly and monthly performance for each industry, indicating significant variations in returns across sectors [11] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with a PB ratio above the 95th percentile as overvalued [12][13] - Currently, the industries triggering high valuation warnings include Retail Trade, National Defense Industry, and Media, all exceeding the 95% threshold [13][14] Strategy Performance - The report outlines the performance of various strategies, with the S4 long-term reversal strategy showing a significant excess return of 6.4% year-to-date [3][15] - The S3 macro style rotation strategy has a current excess return of 4.3%, indicating strong performance in the context of macroeconomic indicators [3][24] Sector Rankings - The report ranks the current high-prospect sectors based on profitability expectations, with Non-ferrous Metals, Communication, and Agriculture leading the rankings [16][19] - The sentiment tracking strategy (S2) identifies Machinery, Computer, and Textile as the top sectors based on implied sentiment indicators [19][20] Macro Indicators - The report highlights the top six industries favored by current macroeconomic indicators, which include Comprehensive Finance, Computer, Media, National Defense Industry, and Non-bank Financials [24][25]