行业配置报告（2025年2月）：行业配置策略与ETF组合构建

Core Insights - The report highlights the latest industry allocation strategy, recommending sectors such as banking, agriculture, basic chemicals, home appliances, light manufacturing, and construction materials for February 2025 [1][21]. - The performance of the previous month's portfolio showed a monthly return of -2.58% in January 2025, with an excess return of 0.40% compared to the industry equal-weighted index [1]. - The report also emphasizes the use of two industry rotation models: the similar expected difference model and the dynamic analyst expectation model, both of which have demonstrated strong historical performance [9][22]. Similar Expected Difference Industry Rotation Model - The model aims to identify stocks with similar performance that have not yet experienced significant price increases, using a distance metric based on P/E ratios, ROE, and asset growth rates [10][11]. - Historical backtesting from December 2016 to January 2025 indicates that the similar expected difference factor has a mean Information Coefficient (IC) of 0.11, with a 63.92% success rate in predicting stock performance [12][13]. - The top six stocks selected based on this model achieved an annualized return of 11.75% with a cumulative net value of 2.18, outperforming the market index [15][16]. Dynamic Analyst Expectation Model - This model utilizes changes in consensus earnings forecasts to gauge industry sentiment, scoring based on the direction and magnitude of forecast changes [22]. - Historical performance from December 2016 to January 2025 shows an IC of 0.07 with a 59.79% success rate, indicating its effectiveness in industry selection [23][24]. - The top six stocks from this model yielded an annualized return of 9.12% and a cumulative net value of 1.75, also outperforming the market index [28][29]. ETF Portfolio Construction - The recommended ETF portfolio for February 2025 includes sectors such as banking, home appliances, automobiles, agriculture, and non-ferrous metals, with specific fund codes and shares listed [38]. - The report provides detailed information on various ETFs, including their fund codes and total shares, emphasizing the importance of selecting funds with significant assets [38].