ETF推荐配置报告：行业轮动视角下的ETF组合构建

Core Insights - The report emphasizes the construction of ETF portfolios based on industry rotation models, highlighting the potential for enhanced returns through strategic sector allocation [1][2] - The industry rotation model has demonstrated stable excess returns over the backtesting period from January 2019 to April 2025, achieving a total return of 212.87%, significantly outperforming major indices like the CSI 300, CSI 500, and CSI 1000 [9][10] Industry Rotation Model - The model incorporates six factors: momentum, main buying amount, turnover rate change, deviation rate, intra-industry return deviation, and volatility, with a monthly rebalancing frequency [5][6] - The model's performance is evaluated across different market phases, showing varying factor effectiveness, with momentum and main buying amount consistently positive across the tested periods [6][8] ETF Market Overview - As of the end of 2024, the total scale of stock ETFs reached 29,259.35 billion yuan, with industry-themed ETFs accounting for 6,161.25 billion yuan, indicating a growing trend towards sector-specific investment strategies [25][26] - The report notes the increasing feasibility of using ETFs as tools for industry rotation strategies due to the expanding variety of newly issued industry-themed ETFs [25] ETF Portfolio Construction - The report outlines the construction of ETF portfolios based on the industry rotation model, recommending specific ETFs that align closely with the identified sectors [32][34] - The recommended ETF combinations for June 2025 include sectors such as oil and petrochemicals, banking, coal, transportation, steel, and agriculture, reflecting the model's latest insights [18][37]