策略周报：行业轮动ETF策略周报-20260126

Report Summary 1) Report Industry Investment Rating - No information provided in the content 2) Core Viewpoints of the Report - The Financial Street Securities Research Institute constructed a strategy portfolio based on industry and thematic ETFs, referring to two strategy reports published in 2024 [2]. - From January 19 to January 23, 2026, the strategy's cumulative net return was about 2.01%, and the excess return relative to the CSI 300 ETF was about 2.68%. From October 14, 2024, to the present, the out - of - sample cumulative return of the strategy was about 44.34%, and the cumulative excess return relative to the CSI 300 ETF was about 19.78% [3]. - For the week of January 26, 2026, the model recommended allocating to sectors such as precious metals, industrial metals, and communication equipment. The strategy will newly hold products like Gold Stocks ETF, Mining ETF, Communication ETF, Game ETF, and Industrial Mother Machine ETF, and continue to hold products like Power Grid Equipment ETF [3][12]. 3) Summary by Relevant Catalogs Strategy Construction - The Financial Street Securities Research Institute constructed a strategy portfolio based on industry and thematic ETFs, referring to "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]. Portfolio Adjustment - In the week of January 26 - January 30, 2026, Gold Stocks ETF (market value: 178.55 billion yuan), Mining ETF (market value: 26.44 billion yuan), Communication ETF (market value: 142.74 billion yuan), Game ETF (market value: 145.64 billion yuan), Industrial Mother Machine ETF (market value: 13.70 billion yuan), Chemical ETF (market value: 298.64 billion yuan), VR ETF (market value: 1.82 billion yuan), Consumer Electronics ETF (market value: 30.12 billion yuan), and Petrochemical ETF (market value: 9.10 billion yuan) were to be newly added to the portfolio. Power Grid Equipment ETF (market value: 167.78 billion yuan) was to be held continuously [3]. - In the week of January 19 - January 23, 2026, Defense ETF, Securities and Insurance ETF E Fund, Tourism ETF, Agriculture, Forestry, Animal Husbandry and Fishery ETF, Communication Equipment ETF, Energy Storage Battery ETF E Fund, Financial ETF, and Oil and Gas ETF Huatai - PineBridge were removed from the portfolio. Power Grid Equipment ETF was held continuously, and Grain ETF was newly added [12]. Performance Tracking - From January 19 to January 23, 2026, the strategy's cumulative net return was about 2.01%, and the excess return relative to the CSI 300 ETF was about 2.68%. From October 14, 2024, to the present, the out - of - sample cumulative return of the strategy was about 44.34%, and the cumulative excess return relative to the CSI 300 ETF was about 19.78% [3]. Risk Signal - As of the end of last week, some ETFs and the trading timing signals of the underlying indexes gave daily or weekly risk warnings [12].