国泰海通 · 晨报260318｜ETF配置系列（六）——四象限月度行业轮动策略

Core Viewpoint - The article discusses the "Four Quadrant Monthly Industry Rotation Strategy," which utilizes four dimensions: economic conditions, sentiment, technical analysis, and macroeconomic factors to construct investment strategies. The strategy has shown strong performance since its inception in 2018, with annualized excess returns of 13.85% for single-factor multi-strategies and 7.28% for composite factor strategies by the end of 2025 [2]. Summary by Sections Performance Metrics - By 2025, the single-factor multi-strategy portfolio achieved an absolute return of 36%, with an excess return of 12.29% compared to an equal-weight benchmark. The composite factor strategy portfolio had an absolute return of 38.1% and an excess return of 14.38%. Both portfolios had a monthly excess return win rate of 58.3% [2]. Factor Analysis - In 2025, factor effectiveness showed significant differentiation. The macroeconomic factor performed exceptionally well with an annualized excess return of 23.8% and a monthly win rate of 67%. In contrast, the economic conditions and sentiment factors contributed modestly with excess returns of 4.1% and 7.1%, respectively. The technical factor underperformed with an excess return of -1.1%, consistent with historical trends during market uptrends [2]. Market Environment Interaction - The performance of factors is closely linked to market conditions. In rising markets, macroeconomic, economic conditions, and sentiment factors drive industry performance, while the technical factor serves a defensive role in declining markets. Future research aims to incorporate market environment predictions into the strategy to achieve more stable excess returns [3]. ETF Strategy Performance - Since 2014, a strategy portfolio based on ETFs has achieved an annualized excess return of 11.4% relative to the CSI 800 index, with an information ratio of 1.01 [3].