策略周报：行业轮动ETF策略周报-20260323

Strategy Overview - The report recommends a strategy focused on industry and thematic ETFs, particularly in the film, liquor, and telecommunications sectors for the week of March 23, 2026[2] - New holdings include Film ETF, Liquor ETF, Telecom ETF from E Fund, Media ETF from Guangfa, and Communication ETF from Southern[2] Performance Metrics - From March 16 to March 20, 2026, the strategy recorded a cumulative net return of approximately -6.60%[3] - The strategy's excess return relative to the CSI 300 ETF was about -4.44% during the same period[3] - Since October 14, 2024, the cumulative return of the strategy is approximately 29.26%, with an excess return of about 8.24% compared to the CSI 300 ETF[3] Risk Indicators - The timing signals for some ETFs and indices provided daily or weekly risk alerts as of last weekend[2] - The report highlights potential rapid style shifts within a week and abnormal increases in the discount rates of certain ETFs[6] ETF Holdings and Changes - The report lists specific ETFs with their market values and weekly performance, indicating adjustments in holdings based on recent performance trends[11][12] - The average return of the ETF portfolio was -6.60%, while the excess return compared to the CSI 300 ETF was -4.44%[12]