Metalworking: the capital from northbound continued to flow in, and the volatility factor showed outstanding performance
According to the short-term price volume industry configuration model of Dongxing metalworking, the industries worthy of attention in the coming week are: consumer services, household appliances, textiles and clothing, food and beverage, banking and transportation. ETF funds that can focus on relevant industries or themes.
As of last week, the annualized yield of the industry rotation strategy was 14.53% and the sharp ratio was 0.65, significantly higher than the benchmark portfolio. The annualized excess return rate of the industry rotation strategy is 8.81% and the information ratio is 0.93. Since 2021, the cumulative excess return rate has reached 12.96%, 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 – 5.65%, slightly lower than the average income of – 4.50% of the 29 industries except comprehensive finance. Among them, the food and beverage industry ranked first in terms of rise and fall this week, down 1.75%, ranking third among the 30 industries.
As of last Friday, the average winning rate of the industry timing index increased slightly compared with the previous period, reaching 51.13%. Specifically, timing indicators have a relatively high winning rate in electronics, machinery, household appliances, communications, national defense and military industries.
In the last week, the overall capital inflow from going north was small, and different types of position holding institutions bought one after another. The net inflow of bank funds was 1.103 billion yuan, and the net inflow of securities companies was 5.337 billion yuan, including 5.312 billion for foreign securities companies and 25 million for domestic securities companies. Last week, the return rate of Beishang capital position was – 4.71%, slightly lower than the performance of Shanghai and Shenzhen 300. From the perspective of different position institutions, the return of brokerage capital position was – 4.87%, slightly lower than – 4.67% of bank capital.
In terms of quantitative stock selection factors, it can be concluded from IC results that among all a shares, the factors that performed better last week were volatility, technology and market value factors; Among the 300 constituent stocks in Shanghai and Shenzhen, the factors that performed better last week were volatility, technology and value factors; Among the CSI 500 constituent stocks, the factors that performed better last week were volatility, technology and quality. The overall performance of quantitative stock selection factor in CSI 500 is better than that in CSI 300. In addition, volatility and technical factors performed well, and generally performed better than other factors in all a shares, CSI 500 components and CSI 300 components.
From the trend of long short net value of stock selection factor, the volatility factor continued to rebound, the quality and technical factors performed well, and achieved significant positive returns in the three stock pools. The consistent expectation and value factor failed to continue the previous performance, and the market value and growth factors performed well in all A-Shares and CSI 500 stock pools. The market sentiment was low this week, and the arrival of the overall standard reduction on schedule failed to prevent the market from further downward. The upper reaches of the cycle with good early performance and the real estate sector led the market. However, the northbound funds bucked the trend for two consecutive weeks, the northbound funds from securities companies and banks maintained a small inflow trend, and the consumption and financial sectors with heavy positions in northbound also significantly outperformed the market. In the recent market environment, low-cost stocks with stable trend and consistent market outlook are more favored by investors, and the value, volatility and consistent expectation factors perform well. Considering the long-term and short-term situation, we believe that the value, volatility and consistent expectation factors deserve investors’ attention.
In terms of convertible bond factors, the positive stock value and convertible bond valuation factors achieved significant long and short returns last week, while other factors performed generally. Recently, the convertible bonds and low price convertible bonds corresponding to undervalued positive stocks have attracted market attention, and the effectiveness of positive stock value and convertible bond valuation factors is relatively stable. We maintain our previous view that investors should focus on the consistent expectation of positive stocks and positive stock growth factors of convertible bonds.
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.
