华福证券 2026 年 03 月 03 日 金 融 工 程 3 月行业配置推荐顺周期行业——行业配置策略 月度报告(2026/3) 投资要点： 动态平衡策略 金 融 工 程 定 期 报 告 我们从平衡的角度提出了兼顾胜率和赔率的动态平衡策略。自 2015 年初至 2026 年 2 月 27 日策略年化绝对收益 19.15%，年化相对收 益 12.37%，信息比率为 1.75，相对最大回撤为 10.18%。模型在 2026 年 3 月份推荐行业为有色金属、电力设备及新能源、基础化工、钢铁、 通信、机械。2 月动态平衡策略绝对收益 3.89%，跑赢基准，超额收益 为 1.98%。2026 年以来至 2 月 27 日，动态平衡策略绝对收益 13.83%， 相对偏股混合型基金指数超额收益 5.39%，在主动权益基金中排名 19.60%。 宏观驱动策略 自2016年初至2026年2月27日，综合模型超额年化收益率4.75%， 超额波动率 7.14%，信息比率 0.67，最大回撤 9.51%，IC 均值 4.50%， ICIR16.91%，年化换手 3.12 倍。模型在 2026 年 3 月份推荐的行业包 括石油石化、医 ...

Core Insights - The report emphasizes a dynamic balance strategy that has achieved an annualized absolute return of 18.85% and a relative return of 12.26% from January 2015 to January 30, 2026, with a maximum drawdown of 10.18% [3] - Recommended industries for February 2026 include non-ferrous metals, basic chemicals, electric equipment and new energy, communication, light manufacturing, and steel [3][25] - The macro-driven strategy has generated an annualized excess return of 4.77% since January 2016, with a maximum drawdown of 9.51% [4][45] - The multi-strategy approach has yielded an annualized relative return of 6.32% since May 2011, with a maximum drawdown of 13.24% [5][66] - The extreme style high beta strategy has achieved an annualized relative return of 9.93% since July 2013, but has underperformed in 2026 with a relative excess return of -4.02% [5][80] Industry Performance Summary - In January 2026, the A-share market saw the CSI 300 index rise by 1.65%, while the CSI 500 index increased by 12.12% [16] - The top-performing sectors in January were non-ferrous metals, media, oil and petrochemicals, building materials, and electronics [16] - The dynamic balance strategy outperformed its benchmark in January with an absolute return of 9.18% and an excess return of 4.05% [22][55] - The macro-driven strategy achieved an absolute return of 6.76% in January, with an excess return of 1.20% [4][48] - The multi-strategy approach recorded an absolute return of 4.65% in January, but underperformed its benchmark with an excess return of -0.42% [5][69] Recommended Industries - The dynamic balance strategy recommends non-ferrous metals, basic chemicals, electric equipment and new energy, communication, light manufacturing, and steel for February 2026 [3][25] - The macro-driven strategy suggests food and beverage, defense and military, pharmaceuticals, non-ferrous metals, communication, and basic chemicals for February 2026 [4][24] - The multi-strategy approach recommends real estate, construction, banking, communication, textiles and apparel, pharmaceuticals, basic chemicals, and non-ferrous metals for February 2026 [5][56] - The extreme style high beta strategy recommends transportation, electric utilities, basic chemicals, machinery, banking, and oil and petrochemicals for February 2026 [5][74]

Group 1 - The report emphasizes a dynamic balance strategy that considers both win rates and odds, achieving an annualized absolute return of 18.00% and a relative return of 12.00% from January 2015 to October 2025 [2][18] - Recommended industries for November 2025 include non-ferrous metals, electric equipment and new energy, communication, computer, machinery, and electronics [2][18] - The dynamic balance strategy outperformed the benchmark in October 2025 with an absolute return of 1.66% and an excess return of 0.27% [40] Group 2 - The macro-driven strategy has achieved an excess annualized return of 4.87% and a maximum drawdown of 9.51% from January 2016 to October 2025 [3][17] - Recommended industries for November 2025 under the macro-driven strategy include food and beverage, electric equipment and new energy, automotive, basic chemicals, consumer services, and machinery [3][17] - The macro-driven strategy recorded an absolute return of 25.46% since the beginning of 2025, ranking 57.50% among active equity funds [3][17] Group 3 - The multi-strategy approach has generated an annualized relative return of 6.57% since May 2011, with a maximum drawdown of 13.03% [4][23] - Recommended industries for November 2025 under the multi-strategy approach include textiles and apparel, communication, pharmaceuticals, non-ferrous metals, electronics, non-bank financials, real estate, banking, and construction [4][23] - The multi-strategy recorded an absolute return of 16.27% since the beginning of 2025, ranking 76.50% among active equity funds [4][23] Group 4 - The report indicates that the October 2025 market saw a decline in the overall A-share market, with the CSI 300 index returning -0.001% and the ChiNext index returning -1.56% [11][12] - Among the sectors, coal, oil and petrochemicals, non-ferrous metals, and electric utilities were the top performers, while media, automotive, electronics, real estate, and defense industries lagged [12][13] Group 5 - The report highlights the importance of tracking industry crowding indicators, with multiple crowding alerts triggered in the oil and petrochemical, coal, and non-ferrous metals sectors in October [5][53] - The crowding indicators are based on four quantitative factors to assess the risk of future asset pullbacks in various industries [51][53]

Core Insights - The report emphasizes a dynamic balance strategy that considers both win rates and odds, achieving an annualized absolute return of 18.00% and a relative return of 12.08% from January 2015 to September 2025 [3] - The recommended industries for October 2025 include computer, electric equipment and new energy, non-ferrous metals, communication, agriculture, forestry, animal husbandry and fishery, and steel [3] - The macro-driven strategy has shown an annualized excess return of 4.88% from January 2016 to September 2025, with recommended industries including food and beverage, electric equipment and new energy, non-ferrous metals, consumer services, automotive, and oil and petrochemicals for October 2025 [4] - The multi-strategy approach has yielded an annualized relative return of 6.66% since May 2011, with October 2025 recommendations including real estate, construction, banking, pharmaceuticals, communication, non-bank financials, textiles and apparel, and media [5] Market Review - In September, the overall A-share market rose, with large-cap indices outperforming small-cap indices. The CSI 300 index had a return of 3.20%, while the ChiNext index saw a return of 12.04% [12][13] - The top-performing sectors in August included electric equipment and new energy, non-ferrous metals, electronics, real estate, and automotive, while the bottom sectors were banking, defense, non-bank financials, retail, and food and beverage [12] Strategy Performance - The dynamic balance strategy achieved an absolute return of 5.68% in September, outperforming the benchmark with an excess return of 4.64% [50] - The macro-driven strategy recorded an absolute return of 4.64% in September, with an excess return of 3.35% [20][29] - The multi-strategy approach had an absolute return of 0.17% in September, with an excess return of -0.73% [58] Industry Recommendations - The dynamic balance strategy recommends industries such as computer, electric equipment and new energy, non-ferrous metals, communication, agriculture, forestry, animal husbandry and fishery, and steel for October 2025 [46] - The macro-driven strategy suggests food and beverage, electric equipment and new energy, non-ferrous metals, consumer services, automotive, and oil and petrochemicals for October 2025 [20] - The multi-strategy approach highlights real estate, construction, banking, pharmaceuticals, communication, non-bank financials, textiles and apparel, and media for October 2025 [52][54] Industry Crowding Indicators - The report indicates moderate crowding signals in various industries, including coal, non-ferrous metals, electric equipment and new energy, and automotive, with multiple crowding triggers identified [67]

Group 1 - The report recommends a focus on cyclical sectors for August 2025, including oil and petrochemicals, construction, banking, agriculture, building materials, automotive, media, textiles, and pharmaceuticals [2][26][54] - The multi-strategy approach has achieved an annualized relative return of 7.08% since July 2011, with a maximum drawdown of 13.03% [2][26][62] - The dynamic balance strategy has an annualized absolute return of 16.45% from 2015 to July 2025, with a relative maximum drawdown of 10.18% [3][20][50] Group 2 - The macro-driven strategy has an annualized excess return of 4.44% since early 2016, with a maximum drawdown of 9.51% [4][18][42] - The report highlights the performance of various sectors, with the top-performing sectors in July being steel, pharmaceuticals, communications, building materials, and construction [11][12][13] - The report indicates that the current economic diffusion is the most important macro-driven factor, with an importance score of 105.52% [34][39] Group 3 - The report identifies crowded trading conditions in sectors such as coal, non-bank financials, and pharmaceuticals, indicating potential risks in these areas [5][68] - The dynamic balance strategy's absolute return in July was 4.85%, underperforming the benchmark with an excess return of -0.14% [3][50] - The multi-strategy sector allocation for August includes a high weight on oil and petrochemicals, construction, and banking, with no adjustments from the previous period [54][58][62]