vn-sector-analysis

name	vn-sector-analysis
description	VN market sector analysis using ICB classification with 17 groups. Sector-specific factor behaviors, rotation patterns, and skip rules for BANKS/FINANCIAL_SERVICES.
category	analysis

VN Sector Analysis

Sector Classification

VN stocks use a modified ICB (Industry Classification Benchmark) system with 17 sector groups:

Sector	Count	Key Characteristics
AGRICULTURE	15	Commodity-linked, seasonal
BANKS	21	High leverage, credit-driven, 30% foreign cap
BASIC_RESOURCES	17	Global commodity prices, cyclical
CHEMICALS	25	Petrochemicals, fertilizers
CONSTRUCTION	29	Real estate development, infrastructure
CONSTRUCTION_MATERIALS	15	Steel, cement, tiles
FINANCIAL_SERVICES	26	Securities, insurance, leasing
FOOD_BEVERAGE	18	Consumer staples, defensive
HEALTHCARE	11	Pharma, hospitals
INDUSTRIAL_GOODS	44	Manufacturing, industrial equipment
OIL_GAS	3	Oil price linked, small universe
OTHER_INDUSTRIALS	6	Miscellaneous
REAL_ESTATE	60	Largest sector, land banking
RETAIL_TRADE	32	Distribution, retailers
TECHNOLOGY	9	IT services, software
TRANSPORTATION	35	Logistics, aviation, shipping
UTILITIES	32	Power, water

Legacy Grouping

Some systems group sectors into 3 broad categories:

• FINANCIALS = BANKS + FINANCIAL_SERVICES
• REAL_ESTATE = CONSTRUCTION + REAL_ESTATE
• OTHERS = everything else

Factor Behavior by Sector

Best-Performing Factors (IC benchmark, 3-year VN data)

Factor	Best Hold	Avg IC	Best Sectors
ROE_NORM	20d	+0.077	Consumer, Healthcare, Technology
NM	20d	+0.051	Broad — most sectors
YOY_REV	20d	+0.032	Retail, Construction, F&B
HML_REAL (reverse)	20d	-0.075	Growth sectors (Tech, Retail)

Sector-Specific Factor Behavior

BANKS & FINANCIAL_SERVICES

• Skip EVEBITDA_INV (EBITDA not applicable).
• Skip GM (no cost of goods sold).
• Skip ACCRUAL / CFO_TO_NI (different accrual structure).
• ROE_NORM and NM remain valid.
• SIZE has strong negative IC (large banks underperform small ones).

REAL_ESTATE & CONSTRUCTION

• HML_REAL reverse signal is strongest here (growth real estate firms beat value).
• GM and NM are weaker due to lumpy revenue recognition.

INDUSTRIAL_GOODS

• PIOTROSKI_F works well (conservative financing matters).
• VOL_20D_ORTHO is most informative (low vol = stable industrials outperforming).

CONSUMER (F&B, RETAIL)

• ROE_NORM and NM are most predictive.
• YOY_REV catches growth inflection points.

Sector Rotation Patterns

VN Market Rotation Signals

Signal	Rotate Into	Rotate Out Of
VNINDEX rising + low vol	Industrials, Tech, Consumer	Utilities, Healthcare
VNINDEX falling	Utilities, Healthcare, F&B	Real Estate, Construction
Rate cut cycle	Real Estate, Banks	—
Rate hike cycle	F&B, Healthcare, Cash	Real Estate, Banks
Commodity rally	Basic Resources, Oil & Gas	F&B (input cost pressure)
Foreign buying surge	Blue chips, VN30	Small caps

Seasonal Patterns

• Tết (Jan–Feb): market tends to rally 2–3 weeks before, dip after.
• Q3 earnings season: Real Estate & Construction show highest volatility.
• Year-end (Nov–Dec): Banks and Securities often rally on credit growth targets.

Sector Data Queries

# Get sector for a symbol
from app.brain.dataflows.vendors.vn.sector_groups import classify
sector = classify("VCB")  # Returns "BANKS"

# Get all symbols in a sector
# SQL: SELECT symbol FROM stocks WHERE sector = 'BANKS'

# Sector-neutral factor values
# Uses prepare_factor_for_ic() with sector_col="sector"

VN30 Composition

• Top 30 large-cap liquid stocks.
• Review quarterly.
• Currently dominated by: VCB, BID, CTG (Banks); VHM, VRE (Real Estate); HPG (Steel); MWG, FPT (Retail/Tech).
• VN30 stocks account for ~70% of HOSE market cap.
• For factor research: VN30 universe has different factor behavior — ROE_NORM IC is weaker (compressed), VOL_20D_ORTHO is stronger.

Sector-Neutral IC Impact

Sector neutralization typically reduces raw IC by 0.005–0.014:

• ROE_NORM: raw=0.077, SN=0.063 (delta −0.014)
• NM: raw=0.051, SN=0.042 (delta −0.009)
• GM: raw=0.023, SN=0.015 (delta −0.008)

This means ~15–20% of factor power is sector-driven.

Related Skills

• vn-trading-rules: VN market rules affecting sector analysis.
• vn-macro-calendar: Macro events driving sector rotation.