GF SECURITIES(SZ:000776) 广发金融工程研究·2025-06-19 05:03Core Viewpoint - The rapid development of ETFs in the A-share market has led to a significant increase in their scale and number, surpassing actively managed funds, indicating a growing preference for passive investment strategies among investors [4][5]. Group 1: ETF Growth and Market Dynamics - As of June 15, 2025, the total scale of stock ETFs (including off-market linked funds) reached 3.81 trillion yuan, with the number of ETFs totaling 2,031, exceeding the scale of actively managed funds at 2.84 trillion yuan [4][5]. - The A-share market exhibits significant industry and style differentiation, suggesting that merely holding a single ETF for the long term may not yield optimal investment experiences [4][6]. - The investment objective of ETFs is to closely track the net value performance of specific indices, making the choice of index crucial for investors seeking substantial returns [6][10]. Group 2: ETF Rotation Strategy Development - A common method for constructing ETF rotation strategies involves aggregating effective stock factors at the index level, allowing for index rotation effects [2][11]. - The use of the AGRU model based on daily K-line volume and price data has resulted in the identification of high-performing stock selection factors in the A-share market [12][16]. - Monthly rebalancing of the strategy yielded an average IC of 7.80%, with an annualized excess return of 4.92% and a maximum drawdown of -14.02% [31][39]. Group 3: Performance of Fixed Number ETF Rotation Strategies - Limiting the number of held ETFs to 5, 10, or 15 resulted in varying annualized excess returns: 12.34% for 5 ETFs, 8.75% for 10 ETFs, and 8.13% for 15 ETFs, with corresponding maximum drawdowns of -12.17%, -8.83%, and -8.66% respectively [59][65]. - The strategy consistently achieved positive excess returns annually, with a notable 8.74% excess return year-to-date [63][65]. Group 4: Factor Testing and Adjustments - The factor's performance was enhanced through the adjustment of the loss function, leading to improved multi-directional return performance [17][19]. - The AGRU factor demonstrated strong stock selection effects across various stock pools, with annualized excess returns of 21.97% for the CSI 300 pool and 11.46% for the CSI 500 pool [64][65]. Group 5: MMR Algorithm and Risk Diversification - The MMR (Maximum Marginal Relevance) algorithm was employed to reduce the correlation among selected investment targets, enhancing the stability of the strategy's performance [45][50]. - The strategy's annualized excess return improved from 7.94% to 8.43% after implementing the MMR adjustments, with a corresponding increase in the information ratio [50][52].