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中银量化多策略行业轮动周报-20250727
Core Insights - The current industry allocation of the Bank of China multi-strategy system includes Computer (9.6%), Steel (9.2%), Non-ferrous Metals (7.8%), Consumer Services (7.2%), and Banking (6.8) among others, indicating a diversified investment approach across various sectors [1] - The average weekly return of the CITIC primary industries is 3.5%, with the best-performing sectors being Coal (10.5%), Steel (10.2%), and Non-ferrous Metals (9.6%), while the worst performers are Banking (-2.1%), Communication (-0.6%), and Comprehensive Finance (-0.1%) [3][11] - The composite strategy achieved a cumulative return of 3.4% this week, with an annual cumulative return of 16.4%, outperforming the CITIC primary industry equal-weight benchmark by 1.9% [3] - The highest weight strategy currently is the medium to long-term reversal strategy (S4) at 21.4%, while the lowest is the macro style rotation strategy (S3) at 8.0% [3] - Recent adjustments in positions indicate an increase in upstream cyclical sectors and a decrease in TMT sectors [3] Industry Performance Review - The top three industries in terms of weekly performance are Coal (10.5%), Steel (10.2%), and Non-ferrous Metals (9.6%), while the bottom three are Banking (-2.1%), Communication (-0.6%), and Comprehensive Finance (-0.1%) [11] - The average monthly return over the past month is 7.3%, indicating a positive trend across the industries [11] Valuation Risk Warning - The current PB valuation for the Retail, Automotive, Defense, and Media industries exceeds the 95th percentile of their historical valuations, triggering a high valuation warning [14][15] Strategy Performance - The S1 strategy focusing on high profitability industries shows a weekly excess return of -0.4%, while the S2 strategy tracking unverified sentiment has an excess return of 3.0% [3] - The S4 medium to long-term reversal strategy has the highest weight and has shown significant performance, indicating its effectiveness in the current market environment [3][16] Sector Rankings - The current top three sectors based on profitability expectations are Computer, Non-ferrous Metals, and Steel [17] - The S2 strategy ranks Mechanical, Computer, and Comprehensive as the top sectors based on implied sentiment [20] Macro Style Rotation - The macro style rotation strategy indicates a bullish outlook for Comprehensive Finance, Computer, Media, Defense, Electronics, and Comprehensive sectors based on current macro indicators [24][25]