指数应用研究系列二：基于ETF资金流反转效应与持有人结构异质性的指数轮动策略

Group 1 - The report explores the intrinsic relationship between ETF fund flows, holder structure, and index returns from a behavioral finance perspective, constructing an index rotation strategy based on the fund flow reversal effect [1][17][85] - The relationship between ETF fund flows and index returns is significantly influenced by the holder structure, with low institutional ownership (dominated by individual investors) exhibiting a pronounced "reversal effect" reflecting irrational behaviors such as "buy high, sell low" and "disposition effect" [3][84] - The historical returns of fund flow intensity groups display a notable "smile curve" characteristic, revealing the complex psychological interplay of "buying high" and "taking profits" among investors [4][62] Group 2 - The fund flow intensity factor demonstrates significant predictive power in both time series and cross-sectional dimensions, particularly the 10-day fund flow intensity factor showing a notable reversal predictive effect on future returns of low institutional ownership indices [5][84] - The index rotation strategy based on the fund flow reversal effect has shown excellent performance, with a monthly rebalancing yielding an annualized return of 16.75% since 2017, outperforming the Wind All A Index by 11.49% [6][73][85] - The portfolio's holding structure is relatively balanced, with the top five sectors being broad-based indices, pharmaceuticals, style strategies, TMT, and financial real estate, where the broad-based sector holds the highest weight at approximately 21% [7][74]