ETF配置系列（六）：四象限月度行业轮动策略-20260316

Group 1 - The report focuses on a four-quadrant industry rotation strategy that utilizes macroeconomic, technical, sentiment, and cyclical factors to identify underlying drivers of industry rotation and construct an ETF monthly rotation portfolio [1][7][9] - The strategy has been tracked since 2018, showing an annualized excess return of 13.85% for single-factor multi-strategy and 7.28% for composite factor strategy by the end of 2025 [9][36] - In 2025, the absolute return for the single-factor multi-strategy was 36%, with an excess return of 12.29% compared to an equal-weighted benchmark, while the composite factor strategy achieved an absolute return of 38.1% and an excess return of 14.38% [36] Group 2 - The four-quadrant strategy incorporates four dimensions: macroeconomic factors, sentiment, technical indicators, and cyclical conditions, each contributing to the scoring of industries [8][9] - The long-term performance of the single-factor multi-strategy has outperformed the composite factor strategy, with a 2% annualized excess return advantage [10][13] - In 2025, the macroeconomic factor showed significant performance, contributing over 20% excess return, while sentiment and cyclical factors had relatively muted contributions of 4.1% and 7.1%, respectively [21][36] Group 3 - The ETF portfolio strategy has been constructed since 2014, achieving an annualized excess return of approximately 11% relative to the CSI 800 index, with an information ratio of 1.01 [34][39] - The report indicates that the performance of the strategies is closely linked to market conditions, with macroeconomic, sentiment, and cyclical factors driving industry performance in up markets, while technical factors serve a defensive role in down markets [24][37] - The monthly performance of the strategies in 2025 showed a stable win rate of over 50%, with the first week post-recommendation typically underperforming, followed by three weeks of positive excess returns [29][39]