国泰海通｜金工：ETF配置系列（四）：多样化的风格轮动ETF配置策略

Core Viewpoint - The report discusses the effectiveness of style rotation strategies in ETF allocations, highlighting the construction of various strategies based on different rebalancing frequencies and investment logic [1]. Group 1: Quarterly Style Rotation Strategy - The quarterly style rotation strategy is based on macroeconomic and micro price-volume dimensions, identifying factors that drive market growth, value, and size rotation. The model achieved an annualized excess return of 20.40% from January 2014 to February 2026, with a monthly win rate of 63.70% when using a value-growth rotation model with dividend and GEM ETFs against the CSI 800 benchmark [2]. - From January 2017 to February 2026, the size rotation model using CSI 300 and CSI 1000 ETFs achieved an annualized excess return of 8.97% with a monthly win rate of 61.82% compared to the CSI 800 benchmark [2]. Group 2: Monthly Style Rotation Strategy - The monthly value-growth rotation strategy, constructed from macro, valuation, and fundamental dimensions, achieved an annualized return of 22.67% from 2014 to February 2026, with an annualized excess return of 16.32% against the CSI 800 benchmark and a monthly win rate of 63.19% [3]. - The monthly size rotation strategy, developed from macro, valuation, fundamental, funding, sentiment, and price-volume dimensions, achieved an annualized return of 26.84%, with an annualized excess return of 20.64% against the CSI 800 benchmark and a monthly win rate of 71.23% [3]. - The monthly dividend growth rotation strategy, which analyzes the impact of dividend stocks versus bond value, U.S. Treasury rates, credit and economic conditions, and industry prosperity, achieved an annualized excess return of 13.29% against the CSI 300 total return benchmark, with a monthly win rate of 61.19% [3].