量化行业风格轮动及ETF策略（25年9月期）：维持中盘成长，聚焦周期和消费

Core Insights - The report maintains a focus on mid-cap growth, emphasizing cyclical and consumer sectors, particularly real estate, agriculture, construction, and food and beverage, driven by fundamentals and price-volume dynamics [3][27] - The industry ETF portfolio includes six ETFs, with notable performance metrics indicating varying returns and tracking errors across different time frames [3][30] - The quantitative style rotation model favors the CSI 500 and ChiNext indices, reflecting a mid-cap growth style, with CSI 500 showing relatively reasonable valuations [3][32] Industry Style Rotation Model - The industry rotation strategy has evolved to a bi-weekly frequency to capture more effective signals, incorporating both fundamental and price-volume factors [4][24] - The latest model identifies real estate, agriculture, construction, food and beverage, media, and non-ferrous metals as preferred sectors, with a focus on both fundamental and price-volume resonance [27][39] - Historical performance shows the rotation model consistently outperforms major benchmarks, achieving excess returns between 5% and 21% [4][39] ETF Fund Configuration - The recommended ETF fund configuration for September 2025 emphasizes cyclical and consumer sectors, reflecting a diversified approach amid unclear market leadership [3][29] - The selected ETFs include Southern China Securities Real Estate ETF, Fortune Agricultural Theme ETF, Guotai Junan Construction Materials ETF, Tianhong Food and Beverage ETF, GF Media ETF, and Southern Non-ferrous Metals ETF [3][30] Market Review and Fund Flow - The overall market environment is characterized by increased trading activity and a rise in risk appetite, with a significant increase in monthly trading volume [10][21] - The report notes a positive impact on quantitative strategies due to the current market conditions, with a focus on capturing effective signals through enhanced frequency in trading strategies [10][39]