行业配置报告（2024年12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, pharmaceuticals, petrochemicals, transportation, basic chemicals, and computers. The monthly return for the portfolio in November 2024 was 1.19%, underperforming the industry benchmark by 0.12% [1]. - The report highlights a marginal change in the industry rotation model, with a focus on non-bank financials, banking, automobiles, non-ferrous metals, agriculture, forestry, animal husbandry, and communications. The portfolio's monthly return for November 2024 was 0.58%, underperforming the industry benchmark by 0.73% [1]. - The ETF portfolio is constructed with allocations to banking, non-bank financials, computers, automobiles, and non-ferrous metals [1]. Sector Allocation Performance - In November 2024, the recommended sectors based on the similar expected difference model included banking, pharmaceuticals, petrochemicals, transportation, basic chemicals, and computers, with a portfolio return of 1.19% [41]. - The previous months' performance showed varying returns, with notable returns in September 2024 at 20.06% for banking and non-ferrous metals, while August 2024 saw a decline of -5.84% in real estate and steel [41]. Model Insights - The similar expected difference factor model demonstrated a strong industry selection capability, with an average Information Coefficient (IC) of 0.11 and a success rate of 63.16% over the sample period from December 2016 to November 2024 [31]. - The dynamic analyst expectation factor also showed significant industry selection ability, with an average IC of 0.06 and a success rate of 58.95% during the same period [45]. ETF Portfolio Construction - The ETF portfolio includes various funds such as the Southern CSI Bank ETF with a share of 7.68 billion, and the Huatai CSI Bank ETF with 30.44 billion shares, among others in the banking and non-bank financial sectors [62].