Metalworking: the winning rate of volume and price timing remains at a high level, and the effectiveness of consistent expectation factor is improved
According to the short-term price volume industry allocation model of Dongxing metalworking, the industries worthy of attention in the coming week are non-ferrous metals, steel, construction, machinery, electronics and communication. ETF funds that can focus on relevant industries or themes.
As of last week, the annualized yield of the industry rotation strategy was 16.72% and the sharp ratio was 0.72, significantly higher than the benchmark portfolio. The annualized excess return rate of the industry rotation strategy is 9.13% and the information ratio is 0.97. Since this year, the cumulative excess return has reached 12.83%, and the industry rotation strategy based on price and volume has performed well. The average income of the six industries recommended in the previous period was – 0.88%, of which the machinery industry ranked top this week, up 0.46%.
As of last Friday, the average winning rate of the industry timing index had increased slightly compared with the previous period, reaching 51.43%. Specifically, timing indicators have a relatively high winning rate in iron and steel, electronics, coal, construction, transportation and other industries.
In terms of quantitative stock selection factors, it can be concluded from the IC results that among all a shares, the factors that performed better last week were consistent expectations, market value and quality factors; Among the 300 constituent stocks in Shanghai and Shenzhen, the factors that performed better last week were growth, quality and consistent expectation; Among the CSI 500 constituent stocks, the factors that performed better last week were consistent expectations, value and technical factors. The overall performance of quantitative stock selection factor in CSI 300 is better than that in CSI 500. In addition, consistent expectations and quality factors performed well, and generally performed better than other factors in the three stock pools of all a shares, CSI 300 components and CSI 500 components.
From the trend of long short net value of stock selection factor, the consistent expectation factor performs well, and has achieved significant positive returns in all A-Shares and CSI 500 stock pools. The reversal and quality factors perform well, the technical factor performs well in CSI 300 and CSI 500 stock pools, and the volatility and value factors perform poorly. This week, the trend of the broad-based index is obviously differentiated. The growth of the CSI 1000 and the gem index is significantly higher than that of the SSE 50 and the CSI 300. The market has maintained the trend of large and small cap differentiation since nearly one month, and the performance of small and medium cap stocks has continued to be good. In the recent market environment, the performance of small and medium cap blue chip stocks unanimously favored by the market is more favored by investors, and the strong performance of market value and consistent expectation factors has continued, Considering the long-term and short-term situations, we believe that consensus expectations, growth and technology factors deserve investors’ attention.
In terms of convertible bond factors, positive stock financial quality, positive stock value and positive stock growth factors achieved positive long and short returns last week, while other factors performed generally. Similar to the style of the stock market, the undervalued stocks that the market is unanimously optimistic about have a strong performance, and the effectiveness of the positive stock value factor is relatively stable. We maintain our previous view that investors should focus on the consistent expectation of positive stocks of convertible bonds and positive stock growth factors.
Risk warning: the above results are completed through historical data statistics, modeling and calculation. There is a risk that the model will fail when the policy and market environment change.
