行业轮动ETF策略周报（20251201-20251205）-20251208

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The Financial Street Securities Research Institute constructed a strategic portfolio of industry and theme ETFs based on two strategy reports: "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013) [2] - From 20251201 - 20251205, the cumulative net return of the strategy was about 0.55%, and the excess return relative to the CSI 300 ETF was about - 0.81%. From October 14, 2024, to the present, the out - of - sample cumulative return of the strategy was about 24.26%, and the cumulative excess return relative to the CSI 300 ETF was about 3.20% [3] - In the week of 20251208, the model recommended the allocation of sectors such as aviation equipment, software development, gaming, communication equipment, and communication services. In the coming week, the strategy would newly hold products such as Aerospace ETF, Computer ETF, Gaming ETF, Cloud Computing ETF, and Central Enterprise Science and Technology Innovation ETF [12] 3. Summary of Relevant Catalogs 3.1 Strategy Construction - The strategy was constructed based on two reports: "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013) [2] 3.2 Performance Tracking - During 20251201 - 20251205, the strategy's cumulative net return was about 0.55%, and the excess return relative to the CSI 300 ETF was about - 0.81%. From October 14, 2024, to the present, the strategy's out - of - sample cumulative return was about 24.26%, and the cumulative excess return relative to the CSI 300 ETF was about 3.20% [3] 3.3 Portfolio Adjustment - In the week of 20251208, products like Aerospace ETF (159227), Computer ETF Southern (159586), Gaming ETF (159869), Cloud Computing ETF (516510), Central Enterprise Science and Technology Innovation ETF (159335) etc. were recommended to be newly held, while products such as Real Estate ETF (159768), Grain ETF (159698), Petrochemical ETF (159731) etc. were to be removed from the portfolio [3][12] 3.4 Timing Signals - The timing signals were price - volume indicators, where 1 indicated a bullish signal, 0 indicated a neutral signal, and - 1 indicated a bearish signal. For example, the weekly and daily timing signals for Aerospace ETF (159227) were 0 and 1 respectively [3]