金融工程 | 证券研究报告 — 周报 2026 年 2 月 27 日 中银量化多策略行业轮动 周报 – 20260226 当前（2026 年 2 月 26 日）中银多策略行业配置系统仓位：基础化工 （22.8%）、通信（10.2%）、家电（10.1%）、医药（7.5%）、建材 （7.2%）、轻工制造（7.2%）、电子（4.4%）、计算机（4.1%）、电力 设备及新能源（3.7%）、非银行金融（3.7%）、综合（3.6%）、消费者 服务（3.4%）、煤炭（3.1%）、石油石化（3.0%）、建筑（3.0%）、银 行（2.8%）。 S1 行业盈利景气度追踪策略（周度）较基准超额收益为 3.3% S2 隐含情绪动量策略（周度）超额收益为 4.3% S3 宏观风格行业轮动策略（月度）超额收益为 2.2% S4 中长期困境反转策略（月度）超额收益为 0.0% S5 传统多因子打分策略（季度）超额收益为-1.6% 相关研究报告 《中银证券量化行业轮动系列（七）：如何把 握市场"未证伪情绪"构建行业动量策略》 20220917 《中银证券量化行业轮动系列（八）："估值泡 沫保护"的高景气行业轮动策略》20221018 《中银 ...

Investment Rating - The report does not explicitly state an overall investment rating for the industry but provides insights into sector allocations and performance metrics. Core Insights - The current allocation in the multi-strategy industry configuration system includes: Basic Chemicals (22.4%), Home Appliances (10.1%), Telecommunications (10.0%), Pharmaceuticals (7.7%), and others [1]. - The best-performing sectors this week were Non-ferrous Metals (6.2%), Oil & Petrochemicals (5.1%), and Basic Chemicals (4.7%), while the worst were Food & Beverage (-4.1%), Retail (-3.1%), and Agriculture (-1.9%) [3][10]. - The composite strategy achieved a cumulative return of 2.6% this week, outperforming the benchmark by 1.3% [3]. Summary by Sections Recent Industry Performance Review - The average weekly return for the 30 sectors was 1.3%, with a monthly average return of 1.2% [10]. - The top three sectors for the week were Non-ferrous Metals (6.2%), Oil & Petrochemicals (5.1%), and Basic Chemicals (4.7%) [11]. Industry Valuation Risk Warning - Current valuation alerts indicate that sectors such as Retail, Computers, Non-ferrous Metals, Defense, Oil & Petrochemicals, Electronics, Media, Machinery, Coal, and Textiles have PB ratios above the 95th percentile of their historical range, signaling potential overvaluation [13][14]. Top Performing Strategies and Recent Performance - The S1 strategy focusing on industry profitability tracking has the highest weight at 21.4%, while the S3 macro style rotation strategy has the lowest at 18.0% [3]. - The top three sectors based on the S1 strategy are Telecommunications, Basic Chemicals, and Home Appliances [16]. Composite Strategy and Performance Review - The composite strategy has significantly increased its positions in consumer and mid-cycle sectors while reducing exposure to TMT and upstream cyclical sectors [3]. Macro Style Rotation Strategy - The top six sectors favored by current macro indicators are Banking, Telecommunications, Oil & Petrochemicals, Construction, Home Appliances, and Coal [24]. Long-term Reversal Strategy - The recommended sectors for the long-term reversal strategy include Comprehensive, Pharmaceuticals, Basic Chemicals, Electric Equipment & New Energy, and Consumer Services [28].

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with the highest weights in basic chemicals (22.4%), home appliances (10.1%), and telecommunications (10.0) [1] - The report indicates that the S1 industry profitability tracking strategy has outperformed the benchmark by 1.4%, while the S2 implied sentiment momentum strategy has achieved an excess return of 2.7% [2] - The macro style industry rotation strategy (S3) has yielded a monthly excess return of 1.9%, and the long-term reversal strategy (S4) has provided a 1.0% excess return [2] Recent Industry Performance Review - The best-performing sectors this week include non-ferrous metals (6.2%), petroleum and petrochemicals (5.1%), and basic chemicals (4.7%), while the worst performers are food and beverage (-4.1%), commercial retail (-3.1%), and agriculture, forestry, animal husbandry, and fishery (-1.9%) [3][10] - The average weekly return for the 30 CITIC primary industries is 1.3%, with an average return of 1.2% over the past month [10] Industry Valuation Risk Warning - The report employs a valuation warning system based on the past six years' PB ratios, identifying industries with PB ratios above the 95th percentile as overvalued [13] - Current industries triggering high valuation warnings include commercial retail, computers, non-ferrous metals, defense and military, petroleum and petrochemicals, electronics, media, machinery, coal, and textiles [14] Single Strategy Performance - The S1 high profitability industry rotation strategy currently ranks communication, basic chemicals, and home appliances as the top three industries based on profitability expectations [15][16] - The S2 implied sentiment momentum strategy ranks building materials, light industry manufacturing, and basic chemicals as the top three industries based on sentiment indicators [20] - The S3 macro style rotation strategy identifies banking, telecommunications, petroleum and petrochemicals, construction, home appliances, and coal as the top six industries based on macroeconomic indicators [24] Long-term Reversal Strategy Recommendations - The long-term reversal strategy recommends industries including comprehensive, pharmaceuticals, basic chemicals, electric power equipment and new energy, and consumer services for investment [28]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with the highest weights in basic chemicals (22.3%), telecommunications (14.0%), and building materials (11.0) [1] - The average weekly return for the CITIC primary industries was 0.4%, with a one-month average return of 6.3% [3][10] - The report indicates that the composite strategy achieved a cumulative return of 1.0% this week, outperforming the CITIC primary industry equal-weight benchmark by 0.5% [3] Industry Performance Review - The top three performing industries this week were non-ferrous metals (15.6%), petroleum and petrochemicals (7.3%), and food and beverage (4.5%) [3][10] - The bottom three performing industries were defense and military (-3.7%), automotive (-3.5%), and home appliances (-2.5%) [10] - The report provides detailed weekly and monthly performance data for each industry, indicating a mixed performance 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 high valuation risks [12] - Industries currently flagged for high valuation include retail, computers, non-ferrous metals, defense and military, petroleum and petrochemicals, electronics, media, machinery, steel, and composite industries, all exceeding the 95th percentile of historical PB valuations [12][13] Single Strategy Rankings and Recent Performance - The report outlines the top three industries based on the S1 high prosperity industry rotation strategy: telecommunications, basic chemicals, and coal [15] - The S2 implied sentiment momentum strategy ranks the top three industries as basic chemicals, building materials, and telecommunications [19] - The S3 macro style rotation strategy identifies the top six industries as banking, petroleum and petrochemicals, coal, home appliances, non-ferrous metals, and construction [23] Strategy Composite - The report details the composite strategy's adjustments, indicating a significant increase in positions within the TMT sector while reducing exposure to consumer and financial sectors [3] - The report emphasizes the importance of monitoring macroeconomic indicators and their correlation with industry performance to optimize investment strategies [21][22]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with the highest weights in basic chemicals (22.4%), non-bank financials (11.0%), and building materials (10.9%) [1] - The report tracks the performance of various strategies, indicating that the long-term reversal strategy has achieved a monthly excess return of 2.2%, while the implied sentiment momentum strategy has a weekly excess return of 0.9% [2][3] - The report identifies the top three industries based on profitability expectations as coal, basic chemicals, and non-bank financials, while the worst performers include media, computers, and pharmaceuticals [10][15] Industry Performance Review - The average weekly return for the CITIC first-level industries is 0.9%, with a one-month average return of 6.0% [10] - The best-performing industries for the week are building materials (7.4%), oil and petrochemicals (6.2%), and basic chemicals (3.8%), while the worst are media (-5.5%), computers (-3.6%), and pharmaceuticals (-3.0%) [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] - Current industries triggering high valuation warnings include retail, computers, non-ferrous metals, defense, oil and petrochemicals, electronics, media, and machinery [13] Strategy Performance - The report details the performance of various strategies, with the highest weight currently in the traditional multi-factor scoring strategy (21.3%) and the lowest in the macro style industry rotation strategy (17.5%) [3] - The composite strategy has achieved a cumulative return of 4.7% year-to-date, outperforming the CITIC first-level industry equal-weight benchmark by 0.4% [3] Sector Rankings and Sentiment Indicators - The top three sectors based on implied sentiment indicators are basic chemicals, light industry manufacturing, and electric power equipment and new energy [19] - The macro indicators favoring the top six industries include banking, oil and petrochemicals, coal, home appliances, non-ferrous metals, and construction [22]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in basic chemicals (13.7%), non-bank financials (13.7%), and coal (9.1%) among others [1] - The average weekly return for the CITIC primary industries is reported at 3.3%, with the best-performing sectors being defense and military (13.1%), media (9.6%), and non-ferrous metals (6.7%) [3][10] - The report indicates a composite strategy return of 2.9% for the week, underperforming the CITIC primary industry equal-weight benchmark by 0.4% [3] Industry Performance Review - The best-performing sectors for the week include defense and military (13.1%), media (9.6%), and non-ferrous metals (6.7%), while the worst performers are banking (-1.3%), oil and petrochemicals (-0.7%), and agriculture, forestry, animal husbandry, and fishery (-0.5%) [10][11] - The average monthly return for the CITIC primary industries stands at 6.7% [10] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying sectors with a PB ratio above the 95th percentile as overvalued. Currently, sectors such as retail, computers, non-ferrous metals, defense and military, oil and petrochemicals, electronics, media, and machinery are flagged for high valuation risk [12][13] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy (S1) are non-bank financials, coal, and basic chemicals [14][15] - The report outlines the performance of various strategies, with the highest excess return from the implied sentiment momentum strategy (S2) at 0.9% [3] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on macroeconomic indicators as banking, oil and petrochemicals, coal, home appliances, non-ferrous metals, and construction [21][23] Long-term Reversal Strategy - The long-term reversal strategy focuses on industries that exhibit momentum effects within two years and reversal effects beyond three years, utilizing a composite of three factors for industry ranking [26]

Core Insights - The report highlights the current industry allocation positions, with the highest weights in Non-Bank Financials (10.8%), Transportation (10.1%), and Basic Materials (9.7) [1] - The average weekly return for the CITIC primary industries is 1.0%, with the best-performing sectors being Steel (4.3%), Coal (3.7%), and Electric Equipment & New Energy (3.6%) [3][10] - The report indicates a significant shift in strategy, with increased allocations to TMT, Consumer, Pharmaceutical, and upstream and midstream cyclical sectors, while reducing exposure to Financials and Real Estate [3] Industry Performance Review - The top three performing industries this week are Steel (4.3%), Coal (3.7%), and Electric Equipment & New Energy (3.6%), while the worst performers are Communication (-2.8%), Non-Ferrous Metals (-2.8%), and Electronics (-1.8%) [10][11] - Year-to-date, the industry rotation composite strategy has achieved a cumulative return of 30.0%, outperforming the CITIC primary industry equal-weight benchmark return of 25.6% by 4.4% [3] Valuation Risk Alerts - The report employs a valuation warning system based on the PB ratio over the past six years, identifying industries with PB ratios above the 95th percentile as overvalued. Currently, Retail, Media, Computing, Coal, Oil & Petrochemicals, and the Composite sector are flagged for high valuation risk [12][13] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy (S1) are Non-Bank Financials, Composite Financials, and Communication [15] - The top three industries based on the implied sentiment momentum strategy (S2) are Electric Equipment & New Energy, Basic Chemicals, and Steel [19] - The macro style rotation strategy (S3) currently favors Banking, Transportation, Oil & Petrochemicals, Construction, Electric Utilities, and Home Appliances [22] Long-Term Reversal Strategy - The long-term reversal strategy (S4) recommends the following industries: Agriculture, Basic Chemicals, Pharmaceuticals, National Defense, and Electric Equipment & New Energy [25]

Core Insights - The report highlights the current industry allocation positions of the Bank of China’s multi-strategy system, with significant weights in non-bank financials (11.7%), communication (8.6%), and basic chemicals (8.3) [1] - The average weekly return for the CITIC primary industries was 0.2%, with the best-performing sectors being oil and petrochemicals (4.9%), communication (3.8%), and home appliances (2.0%) [3][10] - The report indicates a cumulative return of 27.4% for the industry rotation composite strategy year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 4.4% [3] Industry Performance Review - The best-performing sectors for the week included oil and petrochemicals (4.9%), communication (3.8%), and home appliances (2.0%), while the worst performers were defense and military (-3.6%), electric equipment and new energy (-2.4%), and non-ferrous metals (-2.4%) [10][11] - The average monthly return over the past month was 0.7%, indicating a slight upward trend in industry performance [10] Valuation Risk Warning - The report employs a valuation warning system based on the PB ratio over the past six years, identifying sectors with high valuation risks. Currently, sectors such as retail, media, computing, electronics, and oil and petrochemicals are flagged for high valuation [12][13][14] Single Strategy Rankings and Recent Performance - The top three industries based on the high prosperity industry rotation strategy are non-bank financials, machinery, and communication [15][16] - The report outlines various strategies, with the highest excess return from the traditional multi-factor scoring strategy (18.4%) and the lowest from the funds flow strategy (-4.2%) [3] Composite Strategy Allocation and Performance Review - The composite strategy has increased allocations in financials, TMT (Technology, Media, and Telecommunications), and midstream cyclical sectors while reducing exposure to consumer non-cyclical sectors [3] - The report details the current weights of various strategies, with the traditional multi-factor scoring strategy holding the highest weight at 24.1% [3] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries favored by current macro indicators, which include banking, oil and petrochemicals, transportation, electric utilities, construction, and home appliances [24]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in non-bank financials (11.7%), steel (11.0%), and comprehensive sectors (10.1%) [1] - The average weekly return for the CITIC primary industries was -0.4%, while the average return over the past month was 2.3% [3][10] - The report identifies the top-performing industries for the week as automotive (4.4%), electronics (4.4%), and electric equipment and new energy (4.1%), while the worst performers were banking (-5.6%), non-bank financials (-4.4%), and food and beverage (-3.6%) [3][10] Industry Performance Review - The report provides a detailed performance review of CITIC primary industries, indicating that the automotive sector has a year-to-date return of 34.4%, while electronics and electric equipment and new energy have returns of 48.0% and 36.0%, respectively [11] - The report notes that the composite strategy has achieved a cumulative return of 24.5% year-to-date, outperforming the CITIC primary industry equal-weight benchmark return of 22.2% by 2.2% [3] 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, media, computing, and automotive, with their PB ratios exceeding the 95th percentile [13] Single Strategy Rankings and Recent Performance - The report outlines the top three industries based on the high profitability tracking strategy as non-bank financials, agriculture, and steel [15][16] - The report also details the performance of various strategies, with the S2 strategy (implied sentiment momentum tracking) highlighting mechanical, electric equipment and new energy, and comprehensive sectors as the top three industries [20] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators as comprehensive finance, computing, communication, national defense, electronics, and media [24] - The report emphasizes the importance of macroeconomic indicators in predicting industry performance, utilizing a multi-factor approach to assess industry exposure to various macroeconomic styles [22][23]

Core Insights - The report highlights the current industry allocation of the Bank of China’s multi-strategy system, with significant positions in non-ferrous metals (15.3%), non-bank financials (12.9%), and comprehensive sectors (7.3%) [1] - The average weekly return for the CITIC primary industries was -3.0%, while the average return over the past month was 3.1% [3][10] - The report identifies the top-performing industries for the week as electric equipment and new energy (2.4%), food and beverage (0.8%), and pharmaceuticals (0.5%), while the worst performers were defense and military (-11.9%), computers (-9.8%), and electronics (-9.7%) [3][10] Industry Performance Review - The report provides a detailed performance review of CITIC primary industries, indicating that the average weekly return was -3.0% and the average monthly return was 3.1% [10] - The top three industries by weekly performance were electric equipment and new energy (2.4%), food and beverage (0.8%), and pharmaceuticals (0.5%) [11] - The bottom three industries were defense and military (-11.9%), computers (-9.8%), and electronics (-9.7%) [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 [14][15] - Currently, the industries triggering high valuation warnings include retail, media, computers, and defense and military, all exceeding the 95th percentile in PB valuation [15][16] Strategy Performance - The report outlines the performance of various strategies, with the composite strategy yielding a cumulative return of 20.2% year-to-date, outperforming the CITIC primary industry benchmark by 2.3% [3] - The highest excess return strategy was the industry profitability tracking strategy (S1), with an excess return of 5.1% compared to the benchmark [3] - The report indicates a shift in strategy allocations, increasing positions in upstream cyclical and pharmaceutical sectors while reducing exposure to TMT, consumer, and midstream cyclical sectors [3] Current Industry Rankings - The report ranks industries based on profitability expectations, with non-ferrous metals, non-bank financials, and agriculture being the top three [18] - The implied sentiment momentum strategy ranks communication, non-ferrous metals, and electronics as the top three industries based on market sentiment indicators [22] - The macroeconomic style rotation strategy identifies comprehensive finance, computers, communication, defense and military, electronics, and media as the top six industries based on macroeconomic indicators [25]