| 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 โ 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 | โ |
| 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
- Tแบฟt (JanโFeb): market tends to rally 2โ3 weeks before, dip after.
- Q3 earnings season: Real Estate & Construction show highest volatility.
- Year-end (NovโDec): Banks and Securities often rally on credit growth targets.
Sector Data Queries
from app.brain.dataflows.vendors.vn.sector_groups import classify
sector = classify("VCB")
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 โ ROE_NORM IC is weaker (compressed), VOL_20D_ORTHO is stronger.
Sector-Neutral IC Impact
Sector neutralization typically reduces raw IC by 0.005โ0.014:
- ROE_NORM: raw=0.077, SN=0.063 (delta โ0.014)
- NM: raw=0.051, SN=0.042 (delta โ0.009)
- GM: raw=0.023, SN=0.015 (delta โ0.008)
This means ~15โ20% 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.
