Group 1 - The article recommends several high-quality original public accounts in the fund investment field, emphasizing their valuable content and the investment methods and opportunities learned from them [1][2] - The accounts mentioned include "复来指数投资," which focuses on index fund investment and offers practical strategies such as intelligent investment strategies and industry rotation strategies [3] - "阡陌说" is highlighted for its data analysis and ability to discover lesser-known but excellent fund managers, providing clear and detailed articles [4] Group 2 - "投资闲记" is noted for its deep insights into value investing and index investment, sharing unique market perspectives and historical patterns [4] - "小鱼量化" presents a diversified investment system suitable for ordinary investors, focusing on low-cost, high-dividend, and convertible bond investments [5] - "懒人养基" promotes a long-term, steady, and value investment approach, encouraging research before buying and minimal management afterward [6]

Core Insights - The report suggests increasing allocation to large-cap value stocks while focusing on TMT (Technology, Media, and Telecommunications) and cyclical sectors [3][30] - The industry rotation model has been optimized to adapt to market conditions, incorporating high-frequency factors and enhancing the strategy's effectiveness [4][26] - The latest industry rotation model identifies non-bank financials, steel, media, non-ferrous metals, environmental protection, and telecommunications as preferred sectors [30][33] Market Review and Fund Flow Tracking - As of October 31, 2025, the total monthly trading volume of A-shares reached 36.78 trillion yuan, with a slight decrease in daily average trading volume by 10.49% compared to the previous month [12][18] - The average stock return dispersion for the past month was 2.41%, indicating a slight decline but remaining above the median level for the past six months [12][18] - The industry rotation speed has continued to expand, significantly exceeding the average level since 2015 [12][18] Industry Rotation Model and ETF Fund Configuration - The report emphasizes the importance of focusing on large-cap value and cyclical sectors, particularly in the context of the current unclear market leadership [3][30] - The recommended ETF portfolio includes six funds: E Fund CSI 300 Non-Bank ETF, Guotai Junan CSI Steel ETF, GF CSI Media ETF, Southern CSI Non-Ferrous Metals ETF, Southern Yangtze River Protection Theme ETF, and Guotai Junan CSI All-Share Communication Equipment ETF [3][34] - The model's historical performance has shown consistent positive excess returns, outperforming major benchmark indices [5][42] Historical Performance and Model Effectiveness - The industry rotation model has maintained a strong performance over the years, achieving excess returns compared to industry averages, with a notable performance in 2025 [5][42] - The model's win rates over the past 1, 3, and 5 years are 83.33%, 69.44%, and 71.67% respectively, indicating its robustness [43][44] - The report highlights the significance of emotional and price-volume factors in capturing market dynamics, especially in weak market conditions [42][43]

Investment Rating - The report indicates a marginal increase in investment in the TMT (Technology, Media, and Telecommunications) sector, with specific recommendations for non-bank financials, communications, real estate, building materials, media, and banks [1]. Core Insights - The industry rotation model is driven by three main dimensions: fundamentals, price-volume, and sentiment, aiming to capture market microstructure and industry opportunities. The model has been backtested bi-weekly and expanded to include factors such as momentum, trends, capital flow, sentiment, market structure, and volatility [1]. - The sentiment score for the real estate sector has significantly improved, increasing by 0.98, while the media sector's price-volume factors have seen a notable increase of 3.24 [1]. Summary by Sections Industry Recommendations - The recommended ETFs include: - E Fund CSI 300 Non-Bank ETF - Guotai CSI All-Index Communication Equipment ETF - Southern CSI All-Index Real Estate ETF - Guotai CSI All-Index Building Materials ETF - GF CSI Media ETF - Huabao CSI Bank ETF [3]. Performance Metrics - The industry rotation strategy has increased by 0.25% over the past two weeks, with an excess return of 0.64% compared to an equal-weighted industry benchmark. Year-to-date, the strategy has risen by 34.89%, with a Sharpe ratio of 1.77 and a Calmar ratio of 2.88 [4][6].

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - As of October 26, 2025, the model recommends non-bank finance, communication, real estate, building materials, media, and banking, with marginal increases in media and real estate investments [1] - The non-bank finance, communication, and real estate sectors are mainly driven by fundamentals, building materials and media are mainly influenced by sentiment, and banking is driven by both quantitative and fundamental factors [1] - The industry rotation model analyzes the market from three dimensions: fundamentals, volume-price, and sentiment, aiming to capture industry opportunities [1] 3. Summary by Relevant Catalogs Industry Rotation Model - The model backtests original factors on a bi-weekly basis and expands volume-price factors from dimensions such as momentum and trend, capital flow and sentiment, and market structure and volatility [1] - Six relatively effective factors are selected to construct the industry rotation strategy [1] Industry ETF Portfolio - The current industry ETF portfolio includes six ETFs: E Fund CSI 300 Non-Bank Finance ETF, Guotai CSI All-Index Communication Equipment ETF, Southern CSI All-Index Real Estate ETF, Guotai CSI All-Index Building Materials ETF, GF CSI Media ETF, and Huabao CSI Bank ETF [3] Performance of the Industry Rotation Strategy - In the past two weeks, the strategy rose 0.25%, with an excess return of 0.64% compared to the industry equal-weighted index [4][6] - Since the beginning of the year, the strategy has risen 34.89%, with a Sharpe ratio of 1.77 and a Calmar ratio of 2.88 in the past year [4] Strategy/Composite Factor Backtesting Results - Different factors have different IC means, IC standard deviations, ICIRs, frequencies of IC>0, and p-Values. For example, the成交均价因子 has an IC mean of 6.19%, an IC standard deviation of 27.11%, and an ICIR of 22.83% [10]

Group 1: Macro Timing Strategy - The macro timing strategy has an annualized return of 7.67% as of October 31, 2025, with a Sharpe ratio of 1.45 and a Calmar ratio of 1.67, indicating a maximum drawdown of -4.60% [2][4][5] - The latest portfolio allocation includes 7.01% in CSI 300 ETF, 7.99% in CSI 500 ETF, 55.94% in government bond ETF, 11.63% in soybean meal ETF, 5.02% in non-ferrous ETF, 7.40% in gold ETF, and 5.00% in currency ETF, with no allocation to S&P 500 ETF and corporate bond ETF [7][8] Group 2: Momentum Strategy - The momentum strategy has an annualized return of 18.25% since January 2020, with a Sharpe ratio of 0.88 and a Calmar ratio of 0.64, experiencing a maximum drawdown of -28.72% [9][10] - The latest portfolio allocation includes 27.01% in Huatai-PB CSI Telecom Theme ETF, 24.92% in Fuguo CSI Tourism Theme ETF, 21.52% in Xinhua CSI Cloud Computing 50 ETF, 16.38% in Huatai-PB CSI Smart Car ETF, and 8.17% in Huaxia CSI Artificial Intelligence ETF [13][14] Group 3: Sector Rotation Strategy - The sector rotation strategy has an annualized return of 10.00% since 2020, with an excess return of 7.27% relative to CSI 300, and a maximum drawdown of -42.98% [15] - The latest portfolio includes home appliance ETF, green power ETF, steel ETF, new energy vehicle ETF, financial ETF, and agricultural ETF, while excluding non-ferrous metals ETF and transportation ETF [18][19] Group 4: Copula-Based Second-Order Stochastic Dominance Strategy - The Copula-based second-order stochastic dominance strategy has an annualized return of 14.41% since January 2020, with a Sharpe ratio of 0.68 and a maximum drawdown of -42.62% [20][24] - The latest portfolio allocation includes 5.00% in Huaxia CSI Petrochemical Industry ETF, 85.00% in Fuguo CSI 800 Bank ETF, 5.00% in Fuguo CSI All-Index Securities Company ETF, and 5.00% in Bosera CSI Oil and Gas Resources ETF [23][25] Group 5: Quantile Random Forest Technology ETF Allocation Strategy - The quantile random forest technology ETF allocation strategy has an annualized return of 13.54% since 2020, with a Sharpe ratio of 0.76 and a maximum drawdown of -29.89% [26] - The latest portfolio allocation consists of 95.63% in technology ETFs, including 4.78% in Jiahua National Communication ETF, 4.78% in Tianhong CSI Photovoltaic Industry ETF, 4.78% in Huabao CSI Military Industry ETF, 76.51% in Ping An CSI Consumer Electronics Theme ETF, and 4.78% in Fuguo CSI Technology 50 Strategy ETF [29][30]

Strategy Logic - The report introduces the "Shouzheng Chuq" market investment prosperity indicator, which aims to identify investment opportunities in industries that can become market investment main lines, based on the phenomenon of industry rotation in the A-share market [1][5] - The strategy combines three major dimensions: investment prosperity, volume-price indicators, and analyst expectations, resulting in 12 detailed industry rotation indicators [1][5] - The investment prosperity indicator utilizes market data and alternative data to construct positive and negative screening factors, capturing the marginal upward beta factor and the super-expected report factor while preventing trading overheating [5][6] Strategy Performance - In October, the "Shouzheng Chuq" investment prosperity long portfolio achieved a return of 0.40%, while the analyst expectation indicator long portfolio returned 1.19%, closely matching the benchmark return of 1.06% [2][11] - The volume-price indicator performed exceptionally well, with a long portfolio return of 3.29%, resulting in an excess return of 2.23% [2][11] - The comprehensive "Expectation Resonance" model long portfolio yielded a return of 2.56%, with an excess return of 1.50% [2][11] Latest Recommendations - Based on the latest data, the top recommended industries for November according to the "Shouzheng Chuq" model include computer, petroleum and petrochemicals, light industry manufacturing, non-bank financials, commercial retail, and pharmaceuticals [3][19] - The "Expectation Resonance" model ranks non-bank financials, commercial retail, banking, petroleum and petrochemicals, light industry manufacturing, and home appliances as the leading industries [3][19] Industry Scores and ETF Recommendations - The report provides detailed scores for recommended industries, with non-bank financials scoring 1.00, commercial retail 0.97, and banking 0.93 under the "Expectation Resonance" composite indicator [19] - Corresponding ETFs for the recommended industries include various options for computer, petroleum, light industry manufacturing, non-bank financials, commercial retail, and pharmaceuticals [20]

Group 1: Core Insights - The current industry allocation by the Bank of China multi-strategy system includes Non-Bank Financials (11.7%), Basic Chemicals (10.2%), and Comprehensive (9.3%) as the top three sectors [1] - The average weekly return for the 30 CITIC primary industries is -1.1%, with the best-performing sectors being Coal (6.6%), Banking (5.8%), and Food & Beverage (2.6%) [3][10] - The composite strategy has achieved a cumulative return of 27.2% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.7% by 4.5% [3] Group 2: Industry Performance Review - The worst-performing sectors this week include Electronics (-7.7%), Computers (-6.3%), and Media (-6.2%) [10] - The current top three industries based on profitability expectations are Non-Bank Financials, Agriculture, Forestry, Animal Husbandry, and Fishery, and Communications [15] - The sectors with the highest implied sentiment indicators are Basic Chemicals, Comprehensive, and Electric Equipment & New Energy [19] Group 3: Valuation Risk Alerts - The industries currently flagged for high valuation risk include Retail, Media, Computers, Non-Ferrous Metals, Electronics, and National Defense [12][13] - The valuation warning system uses a 6-year rolling PB (Price-to-Book) ratio to assess industry valuations, with a PB above the 95th percentile indicating overvaluation [12] Group 4: Strategy Performance - The highest performing strategy this year is the Traditional Multi-Factor Scoring Strategy, with an excess return of 18.4% compared to the benchmark [3] - The current allocation of the composite strategy has slightly increased positions in financials and midstream non-cyclical sectors while reducing exposure to upstream cyclical sectors [3] - The macroeconomic indicators favoring the top six industries include Banking, Oil & Petrochemicals, Transportation, Electric Utilities, Construction, and Home Appliances [22]

Core Insights - The report highlights the current industry allocation positions of the Bank of China’s multi-strategy industry rotation system, with significant weights in non-bank financials (11.7%) and communication (10.4%) [1] - The average weekly return for the CITIC primary industries was -0.1%, with the best-performing sectors being electronics (5.8%), non-ferrous metals (4.5%), and power equipment and new energy (4.4%) [3][10] - The composite strategy achieved a cumulative return of 0.3% this week, outperforming the CITIC primary industry equal-weight benchmark by 0.5% [3][10] Industry Performance Review - The best-performing sectors this week were electronics (5.8%), non-ferrous metals (4.5%), and power equipment and new energy (4.4%), while the worst were retail (-3.9%), comprehensive finance (-3.5%), and consumer services (-3.4%) [3][10] - Year-to-date, the composite strategy has achieved a cumulative return of 24.9%, compared to the benchmark's 22.1%, resulting in an excess return of 2.8% [3] Valuation Risk Alerts - The report employs a valuation warning system based on the PB ratio over the past six years, identifying sectors with high valuation risks [12] - Currently, sectors such as retail, media, computing, electronics, automotive, and defense are flagged for high valuation risks, with their PB ratios exceeding the 95th percentile of historical values [12][13] Strategy Performance - The top three sectors based on the high profitability industry rotation strategy (S1) are non-bank financials, agriculture, forestry, and fishery, and communication [15] - The implied sentiment momentum strategy (S2) ranks the top sectors as machinery, power equipment and new energy, and communication [19] - The macro style rotation strategy (S3) identifies the top sectors as comprehensive finance, computing, communication, defense, electronics, and media [23] Strategy Adjustments - The composite strategy has increased its allocation to the TMT (Technology, Media, Telecommunications) sector while reducing exposure to upstream cyclical and midstream non-cyclical sectors [3]

Group 1: Industry Index Pool Construction - The report outlines the construction of an industry index pool that combines investability and representativeness, focusing on passive products tracking strong industry attributes [10][12]. - Since 2020, the scale of industry ETFs has experienced explosive growth, increasing from 85.8 billion yuan at the end of 2019 to over 310 billion yuan by the end of 2020, and approaching 900 billion yuan by August 2025 [10]. - The report categorizes various industry ETFs, highlighting that TMT, financial real estate, and pharmaceutical sectors have surpassed 100 billion yuan in ETF scale [10]. Group 2: Economic Prosperity Investment Practices - The report discusses the calculation of expected ROE growth for industries based on analysts' profit forecasts, comparing two fiscal years (FY1 and FY2) [20][21]. - It emphasizes that the FY2 grouping shows stronger monotonicity in performance compared to FY1, indicating better returns for the former [23][24]. - The backtesting period for the economic prosperity factor spans from January 1, 2018, to September 12, 2025, with a focus on marginal changes in industry index prosperity [27]. Group 3: Economic Trend Resonance Strategy - The economic trend resonance strategy combines fundamental marginal improvements with capital consensus, utilizing trend factors to quantify market sentiment [36][38]. - The constructed economic trend resonance portfolio has achieved an annualized return of 12.33% since 2018, outperforming the CSI 800 index by 11.13% [40][42]. - The portfolio's monthly excess return rate stands at 64%, with a profit-loss ratio of 1.30 [45]. Group 4: Economic Trend and Crowding Avoidance Strategy - The strategy integrates economic trend analysis with crowding avoidance to mitigate risks associated with overheated trading [49]. - The three-dimensional strategy has yielded an annualized return of 12.80% since 2018, exceeding the CSI 800 index by 11.60% [52][54]. - The portfolio's monthly excess return rate is 62%, with a profit-loss ratio of 1.47 [57]. Group 5: Current Industry Characteristics - As of August 2025, the report identifies industries that align with the economic trend resonance and crowding avoidance strategy, including the transportation index, home appliances, livestock, media, and oil and gas sectors [60]. - The expected growth rates for these sectors range from 1.1% to 9.6%, with varying levels of crowding and valuation metrics [60].

Core Insights - The report emphasizes a strategy based on sector rotation and thematic ETFs, suggesting a focus on sectors like chemical pharmaceuticals, semiconductors, and aerospace equipment for the upcoming week [2][3]. - The model portfolio has shown a cumulative net return of approximately 3.12% for the period from September 8 to September 12, 2025, outperforming the CSI 300 ETF by about 1.65% [4]. Sector Recommendations - The report recommends increasing holdings in the following ETFs: - Sci-Tech Chip Design ETF - Traditional Chinese Medicine ETF - Biomedicine ETF - Continued holdings are suggested for: - Pharmaceutical ETF - Aerospace ETF - Satellite ETF [3][12]. Performance Tracking - Since October 14, 2024, the strategy has achieved a cumulative return of approximately 25.17%, with an excess return of about 6.13% compared to the CSI 300 ETF [4]. - The average return of the ETF portfolio for the recent week was 3.12%, with a notable excess return of 1.65% over the CSI 300 ETF [13]. ETF Holdings and Signals - The report details specific ETFs and their respective weights, indicating a continued hold or adjustment based on market signals: - Pharmaceutical ETF (58.63% weight) - continue holding - Semiconductor ETF (96.38% weight) - newly added - Aerospace ETF (58.23% weight) - continue holding - Satellite ETF (32.59% weight) - continue holding [12][13]. Market Timing Signals - The timing signals for the ETFs are based on volume and price indicators, with values of 1 indicating bullish signals, 0 neutral, and -1 bearish [4].