国泰海通｜金工：ETF配置系列（六）——四象限月度行业轮动策略

Core Insights - The report identifies four quadrants—macro, technical, sentiment, and economic conditions—to analyze the underlying factors driving industry rotation and constructs an ETF monthly rotation portfolio based on primary industry recommendations [1]. Group 1: Industry Rotation Strategy - The industry rotation strategy utilizes four dimensions: economic conditions (expected fundamentals), sentiment, technical analysis, and macroeconomic factors to build factors from different logical perspectives [2]. - Since its inception in 2018, the strategy has shown strong performance, achieving an annualized excess return of 13.85% for single-factor multi-strategies and 7.28% for composite factor strategies by December 2025 [2]. - In 2025, the absolute return for the single-factor multi-strategy portfolio was 36%, with an excess return of 12.29% compared to an equal-weight benchmark, while the composite factor strategy achieved an absolute return of 38.1% and an excess return of 14.38% [2]. - Both portfolios had a monthly excess return win rate of 58.3% [2]. Group 2: Factor Performance and Market Environment - Factor performance shows significant differentiation in 2025, with macro factors performing exceptionally well, yielding an annualized excess return of 23.8% and a monthly win rate of 67% [2]. - In contrast, the economic and sentiment factors contributed modestly to excess returns at 4.1% and 7.1%, respectively, while technical factors underperformed with an excess return of -1.1% [2]. - The relationship between factor performance and market conditions indicates that in rising markets, macro, economic, and sentiment factors drive industry performance, while technical factors serve a defensive role in declining markets [3]. Group 3: ETF Strategy Performance - The ETF-based strategy portfolio has achieved an annualized excess return of 11.4% relative to the CSI 800 since 2014, with an information ratio of 1.01 [3].