金工行業(yè)輪動系列報告之二行業(yè)分層輪動模型

1、內(nèi)容目錄行業(yè)分層.......................................................................................................................................4行業(yè)輪動框架......................................................................

2、.........................................................5行業(yè)影響因素..............................................................................................................................6為何要控制板塊風(fēng)險....................

3、..............................................................................................8因子的板塊飄移...................................................................................................................8因子

4、板塊標(biāo)準(zhǔn)化...................................................................................................................9天風(fēng)金工行業(yè)輪動框架.........................................................................................

5、..................10板塊層面輪動....................................................................................................................10行業(yè)層面輪動......................................................................

6、..............................................12行業(yè)分層輪動模型............................................................................................................12因子預(yù)處理.................................................

7、...............................................................................12因子有效性檢驗........................................................................................................................12高相關(guān)性因子篩選..

8、..................................................................................................................13因子正交化...................................................................................................

9、.............................16因子表現(xiàn)....................................................................................................................................17單因子回測..............................................

10、..................................................................................17行業(yè)因子復(fù)合............................................................................................................................18行業(yè)分層

11、輪動策略構(gòu)建.............................................................................................................20復(fù)合因子多空表現(xiàn)...............................................................................................

12、.....................20行業(yè)分層輪動模型表現(xiàn)...........................................................................................................21非分層行業(yè)輪動對比回測...................................................................

13、......................................22最新配置建議............................................................................................................................24總結(jié)..............................................

14、..............................................................................................24圖表目錄圖1：行業(yè)輪動的分層..............................................................................................................

15、........4圖2：ROETTM板塊年度均值（）............................................................................................8圖3：ROETTM同比板塊年度均值（）..................................................................................

16、..9圖4：ROETTM因子行業(yè)相關(guān)系數(shù)熱力圖..................................................................................9圖5：ROETTM同比因子行業(yè)相關(guān)系數(shù)熱力圖.........................................................................9圖6：板塊配置輪盤.........

17、...............................................................................................................11圖7：有效因子相關(guān)性熱力圖..............................................................................................

18、.........14圖8：篩選后有效因子相關(guān)性熱力圖...........................................................................................15圖9：對稱正交后因子相關(guān)性熱力圖....................................................................................

19、.......16圖10：正交前后因子相關(guān)性.........................................................................................................17圖11：排序相加法復(fù)合因子RankIC........................................................................

20、......18圖12：12期ICIR加權(quán)法復(fù)合因子RankIC....................................................................19圖13：24期ICIR加權(quán)法復(fù)合因子RankIC....................................................................19行業(yè)分層在上一篇報告《基于現(xiàn)金流與折現(xiàn)率的板塊輪

21、動策略》中，我們發(fā)現(xiàn)雖然A股行業(yè)輪動特點明顯，但是板塊內(nèi)部行業(yè)的收益相關(guān)性非常高，因此，行業(yè)的收益來源就可以解釋為兩部分，一部分來自板塊的整體收益，另一部分來自于單一行業(yè)超額板塊的超額收益。行業(yè)的輪動應(yīng)當(dāng)區(qū)分成兩個層面，板塊alpha與行業(yè)alpha。板塊alpha體現(xiàn)在不同的市場環(huán)境下，大類板塊間的切換，一般需要用偏宏觀維度的邏輯進行解釋；而行業(yè)alpha體現(xiàn)在同板塊內(nèi)部受到行業(yè)自身中觀層面（盈利、估值、資金等）因素影響，從而帶來相對