行业配置报告（2024年9月）：行业配置策略与ETF组合构建

Summary of Key Points Core Viewpoints - The latest allocation strategy includes sectors such as banking, non-bank financials, petrochemicals, home appliances, and food and beverages [1][2] - The performance of the portfolio in August 2024 showed a monthly return of -5.84%, with an excess return of -1.24% compared to the industry benchmark [1][2] - The sectors with notable excess returns in August were banking at 2.88% and pharmaceuticals at 1.24% [1][2] Sector Rotation Models - The report discusses two main sector rotation models: one based on similar expected return differences and another based on changes in analyst expectations [2][8] - The similar expected return difference model identifies stocks that have performed well but have not yet surged, using a distance metric based on P/E ratios, ROE, and asset growth rates [9][11] - Historical backtesting from December 2016 to August 2024 indicates that the similar expected return difference factor has a mean Information Coefficient (IC) of 0.12, with a 64.13% success rate [11][12] Analyst Expectation Changes - The dynamic analyst expectation factor is constructed using changes in consensus earnings forecasts over one and three months, with a scoring system to assess industry sentiment [16][17] - Historical performance shows that this factor has a mean IC of 0.07, with a 60.87% success rate [17][18] - The top six stocks selected based on this model yielded a strategy annualized return of 7.75% with a maximum drawdown of 29% [20][21] ETF Portfolio Construction - The recommended ETF portfolio includes sectors such as banking, non-bank financials, food and beverages, automobiles, and home appliances [1][25] - Specific ETFs listed for banking include Southern CSI Bank ETF and Huaxia CSI Bank ETF, while for food and beverages, it includes ETFs like Huaxia CSI Food and Beverage ETF [25][24] Performance Tracking - The report tracks the monthly performance of the sector rotation strategies, indicating that the similar expected return difference strategy has consistently outperformed the market index [14][20] - The dynamic analyst expectation strategy also shows significant excess returns compared to the market index, reinforcing the effectiveness of these models [20][21]