华福证券 2025 年 10 月 09 日 金 融 工 程 10 月行业配置重点推荐电新、有色金属、通信行 业——行业配置策略月度报告(2025/10) 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 2025 年 9 月 30 日策略年化绝对收益 18.00%，年化相对收 益 12.08 %，信息比率为 1.77，相对最大回撤为 10.18%。模型在 2025 年 10 月份推荐行业为计算机、电力设备及新能源、有色金属、通信、 农林牧渔、钢铁。9 月动态平衡策略绝对收益 5.68%，跑赢基准，超额 收益为 4.64%。2025 年以来至 9 月 30 日，动态平衡策略绝对收益 23.80%，相对偏股混合型基金指数超额收益-11.56%，在主动权益基金 中排名 67.40%。 宏观驱动策略 自2016年初至2025年9月30日，综合模型超额年化收益率4.88%， 超额波动率 7.16%，信息比率 0.68，最大回撤 9.51%，IC 均值 4.54%， ICIR16.73%，年化换手 3.14 倍。模型在 2025 年 10 ...

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]