ETF风格因子与多策略组合月报-20260302

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - In February 2026, among the equity indices tracked by ETFs, the high - dividend - yield index and the low - volatility index had better returns, with the average monthly price changes of the top 5 indices in terms of style being 2.54% and 0.80% respectively [3]. - As of the end of February 2026, the multi - strategy ETF portfolio constructed using the risk - parity method based on the style ETF portfolio had a monthly return of approximately - 0.82%, with an excess return of approximately - 5.71% relative to the CSI 800 Total Return Index [13]. 3. Summary by Relevant Catalogs ETF Market Style Observation - In February 2026, the average monthly price changes of the top 5 high - dividend - yield indices and low - volatility indices were 2.54% and 0.80% respectively. The average monthly price change of the low - price - to - book ratio index was - 1.31%, the average monthly price change of the expected improvement index was - 1.63%, the average monthly price change of the high - expected - growth index was 0.38%, and the average monthly price change of the high - expected - ROE index was - 0.58%. The benchmark CSI 800 Total Return Index had a price change of 1.13% [3][4]. ETF Style Scoring Model Update - As of March 2026, two groups of equity ETF portfolios with complementary styles were constructed using the multi - factor scoring method, with equal weights assigned to the ETFs within the portfolios. The risk - parity algorithm was used to allocate weights between the two style portfolios. The high - quality growth ETF portfolio and the high - safety - margin ETF portfolio, along with their style scores, are presented in the report [7]. ETF Style Allocation Strategy Tracking - In February 2026, the cumulative return of the high - quality growth ETF portfolio constructed using the multi - factor scoring method was approximately - 0.45%, and the cumulative return of the high - safety - margin ETF portfolio was approximately - 0.40%. During the same period, the price change of the CSI 800 Total Return Index was approximately 0.30% [10].