申万金工ETF组合202603

1. Report Industry Investment Rating The provided content does not include information about the industry investment rating, so this part is skipped. 2. Core Viewpoints of the Report - The report constructs multiple ETF portfolios, including macro industry portfolio, macro + momentum industry portfolio, core - satellite portfolio, and trinity style rotation ETF portfolio, aiming to find potential investment opportunities and manage risks [1][5]. - The macro industry portfolio selects ETFs based on the sensitivity scores of economy, liquidity, and credit, and currently leans towards TMT and innovative drugs [1][7]. - The macro + momentum industry portfolio combines macro and momentum methods, with a relatively high proportion of cyclical industries selected by the momentum approach [1][14]. - The core - satellite portfolio uses the CSI 300 as the core and combines it with industry and Smart Beta portfolios, showing relatively stable performance [21]. - The trinity style rotation ETF portfolio constructs a style rotation model centered on macro - liquidity, and the current model leans towards the small - cap growth - high - quality part [6][29]. 3. Summary According to the Directory 3.1 ETF Portfolio Construction Methods 3.1.1 ETF Portfolio Construction Based on Macro - Methods - Calculate the macro - sensitivity of the indices tracked by broad - based, industry - themed, and Smart Beta ETFs according to economic, liquidity, and credit variables, and select ETFs monthly based on the current macro - variable status and index macro - sensitivity [5]. - Traditional cyclical industries are sensitive to the economy, TMT is sensitive to liquidity and insensitive to the economy, and consumption is relatively sensitive to credit. State - owned enterprises and ESG - related themes have low sensitivity to liquidity and credit [5]. - Three ETF portfolios, namely the macro industry portfolio, macro + momentum industry portfolio, and core - satellite industry portfolio, are constructed and rebalanced monthly [5]. 3.1.2 Trinity Style Rotation ETF Portfolio Construction - Build a medium - to long - term style rotation model centered on macro - liquidity, and compare it with the CSI 300 index [6]. - Construct three types of models: growth/value rotation model, market - cap model, and quality model. Combine the results of the three models to get the final style preference, with a total of 8 style preference results [6]. - Select ETFs with high exposure to the target style, control the industry exposure of ETFs to be similar to the style portfolio, and set the allocation upper and lower limits of 3% - 20% to obtain the ETF allocation model [6]. 3.2 Macro Industry Portfolio - Select industry - themed indices tracked by ETFs that have been established for more than 1 year and have a current scale of over 200 million. Calculate the sensitivity scores of economy, liquidity, and credit monthly, adjust the score directions according to the latest economic, liquidity, and credit judgment indicators, and sum them up. If liquidity and credit deviate significantly, remove the liquidity score. Select the top 6 industry - themed indices and allocate the corresponding largest - scale ETFs equally [7][8]. - Currently, the economy's leading indicators are falling, liquidity is loose, and credit indicators are tightened. The portfolio is configured with ETFs that are insensitive to the economy, sensitive to liquidity, and insensitive to credit, mainly focusing on TMT and innovative drugs. The March positions include ETFs such as GF China Hong Kong Innovative Drugs ETF and Huaxia CSI 5G Communication Theme ETF [12]. - The portfolio has relatively large fluctuations, and the excess return declined in February [13]. 3.3 Macro + Momentum Industry Portfolio - Combine the macro and momentum methods to form a complementary relationship. The momentum method first groups industry themes into 6 different groups using clustering, and then selects the product with the highest increase in the past 6 months from each group for equal - weight allocation [14]. - The industries selected by the momentum method still have a relatively high proportion of cyclical industries. The March positions include ETFs such as GF China Hong Kong Innovative Drugs ETF and Cathay CSI Semiconductor Materials and Equipment Theme ETF [18]. - The portfolio has performed well this year and continued to outperform in February [19]. 3.4 Core - Satellite Portfolio - Due to the high volatility of industry - themed ETFs and the accelerated industry rotation in the past two years, a "core - satellite" portfolio with the CSI 300 as the core is designed [21]. - Use the macro - sensitivity measurement method to measure the three ETF - tracking index pools of domestic broad - based, industry - themed, and Smart Beta ETFs, construct three stock portfolios, and then weight them at 50%, 30%, and 20% to obtain the final core + satellite portfolio [21]. - The current configuration of broad - based ETFs leans towards the science and technology innovation board and the ChiNext board. The portfolio has performed stably, outperforming in most months except for December, and continued to outperform in February 2026 [26][28]. 3.5 Trinity Style Rotation ETF Portfolio - The current model leans towards the small - cap growth - high - quality part. The factor exposure and historical performance of the model are provided, including factors such as the bond futures - spot spread, US one - year Treasury yield, and trading volume of the Shanghai and Shenzhen stock markets [29][30]. - The March positions include ETFs such as Invesco Great Wall CSI Hong Kong Stock Connect Technology ETF and Invesco Great Wall CSI Guoxin Hong Kong Stock Connect Central State - owned Enterprise Dividend ETF [35]. - The portfolio has achieved certain excess returns in many months [33].