富国 ETF 轮动因子与轮动策略表现

Quantitative Models and Construction Methods 1. Model Name: FuGuo ETF Rotation Strategy - Model Construction Idea: The strategy is based on the FuGuo ETF rotation factor, which evaluates ETFs' investment value from four dimensions: profitability, operational quality, valuation momentum, and analyst expectations. These dimensions are combined into a composite rotation factor through standardization and equal weighting[26][30]. - Model Construction Process: 1. Profitability Factors: - Excluding Non-recurring Profit Growth (QoQ): Measures the quarterly change in net profit after excluding non-recurring items, aggregated using the median method[30][31]. - Net Profit Growth (YoY): Measures the year-over-year change in net profit, aggregated using the median method[30][31]. 2. Operational Quality Factors: - Operating Capital Turnover: Ratio of operating capital to operating revenue, calculated semi-annually using the "leading stock" method[30][31]. - Operating Capital Proportion: Ratio of operating capital to total assets, calculated year-over-year using the "leading stock" method[30][31]. 3. Valuation Momentum Factor: - Inverse Price-to-Earnings Ratio: Measures the semi-annual change in the inverse P/E ratio, reflecting market sentiment[30][31]. 4. Analyst Expectation Factor: - Analyst Forecast Change: Tracks the 3-month change in analysts' consensus EPS forecasts, aggregated using the "leading stock" method[30][31]. 5. The above six factors are standardized and equally weighted to form the FuGuo ETF rotation factor[26][30]. - Model Evaluation: The FuGuo ETF rotation factor demonstrates strong predictive power for ETF performance, with stable IC values and effective multi-dimensional evaluation of ETF investment value[26][30]. --- Model Backtesting Results 1. FuGuo ETF Rotation Strategy - Annualized Return: 7.26%[19] - Annualized Volatility: 21.92%[19] - Sharpe Ratio: 0.33[19] - Maximum Drawdown: 42.20%[19] - Turnover Rate (Monthly): 53.21%[19] - Annualized Excess Return: 5.49%[19] - Tracking Error: 9.27%[19] - Information Ratio (IR): 0.59[19] - Excess Maximum Drawdown: 15.23%[19] - May 2025 Return: -2.03%[19] - May 2025 Excess Return: -3.46%[19] --- Quantitative Factors and Construction Methods 1. Factor Name: FuGuo ETF Rotation Factor - Factor Construction Idea: The factor evaluates ETFs' investment value by integrating profitability, operational quality, valuation momentum, and analyst expectations into a composite score[26][30]. - Factor Construction Process: 1. Profitability Factors: - Excluding Non-recurring Profit Growth (QoQ): Measures the quarterly change in net profit after excluding non-recurring items, aggregated using the median method[30][31]. - Net Profit Growth (YoY): Measures the year-over-year change in net profit, aggregated using the median method[30][31]. 2. Operational Quality Factors: - Operating Capital Turnover: Ratio of operating capital to operating revenue, calculated semi-annually using the "leading stock" method[30][31]. - Operating Capital Proportion: Ratio of operating capital to total assets, calculated year-over-year using the "leading stock" method[30][31]. 3. Valuation Momentum Factor: - Inverse Price-to-Earnings Ratio: Measures the semi-annual change in the inverse P/E ratio, reflecting market sentiment[30][31]. 4. Analyst Expectation Factor: - Analyst Forecast Change: Tracks the 3-month change in analysts' consensus EPS forecasts, aggregated using the "leading stock" method[30][31]. 5. The above six factors are standardized and equally weighted to form the FuGuo ETF rotation factor[26][30]. - Factor Evaluation: The factor demonstrates stable performance with an average IC of 6.80% and a risk-adjusted IC of 0.22, indicating its effectiveness in predicting ETF performance[12][14]. --- Factor Backtesting Results 1. FuGuo ETF Rotation Factor - Average IC: 6.80%[12] - Standard Deviation of IC: 31.51%[12] - Minimum IC: -59.85%[12] - Maximum IC: 78.19%[12] - Risk-adjusted IC: 0.22[12] - T-statistic: 2.24[12] - May 2025 IC: -30.91%[14] - May 2025 Long-Short Portfolio Return: -6.96%[14]