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 (11.6%), transportation (10.1%), and basic chemicals (9.6%) [1] - The average weekly return for the CITIC primary industries was 1.6%, with the best-performing sectors being consumer services (7.7%), basic chemicals (7.5%), and textiles (4.5%) [3][10] - The report indicates that the composite strategy achieved a cumulative return of 32.6% year-to-date, outperforming the CITIC primary industry equal-weight benchmark by 5.0% [3] Industry Performance Review - The best-performing sectors over the past week were consumer services (7.7%), basic chemicals (7.5%), and textiles (4.5%), while the worst performers were computers (-3.4%), communications (-3.0%), and electronics (-2.8%) [10][11] - The report provides a detailed breakdown of the weekly and monthly performance of various sectors, indicating a near 1-month average return of 3.9% across 30 CITIC primary industries [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, computers, oil and petrochemicals, media, coal, and comprehensive industries 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 (S1) are non-bank financials, non-ferrous metals, and comprehensive finance [15][16] - The report outlines the performance of various strategies, with the highest excess return from the traditional multi-factor scoring strategy (S7) at 19.7% [3] Macro Style Rotation Strategy - The macro style rotation strategy identifies the top six industries based on current macro indicators, which include banking, oil and petrochemicals, transportation, electric utilities, construction, and home appliances [23][25] Long-term Reversal Strategy - The long-term reversal strategy recommends industries such as agriculture, basic chemicals, pharmaceuticals, defense, and electric equipment and new energy for investment [28]

金融工程 | 证券研究报告 — 周报 2025 年 8 月 25 日 中银量化多策略行业轮动 周报 – 20250821 当 前（ 2025 年 8 月 21 日 ）中 银多 策略行 业配置 系统 仓位 ： 电 子 （11.2%）、非银行金融（9.0%）、综合（8.7%）、有色金属（7.5%）、 电力及公用事业（7.0%）、银行（6.8%）、综合金融（4.5%）、传媒 （4.3%）、汽车（4.3%）、基础化工（4.3%）、通信（3.4%）、机械 （3.4%）、电力设备及新能源（3.2%）、家电（3.0%）、农林牧渔 （2.8%）、纺织服装（2.7%）、石油石化（2.7%）、煤炭（2.7%）、食 品 饮 料 （ 2.7% ） 、 钢 铁 （ 2.7% ） 、 计 算 机 （ 1.6% ） 、 国 防 军 工 （1.5%）。 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 未证伪情绪跟踪策略（周度）超额收益为 4.4% S6 财报因子失效反转策略（月度）超额收益为-1.9% 《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 ...