饼 究 用 策略说明: · 金融街证券研究所基于策略报告《行业轮动下的策略组合报告:基于行业风格延续和 切换视角下的定量分析》(20241007)和《股票型ETF市场概览与配置方法研究:以基 于行业轮动策略的ETF组合为例》(20241013),构建基于行业和主题ETF的策略组合。 策略更新: 行业轮动ETF策略周报 (20251027-20251102) 证券研究报告·策略周报 证券分析师:张一 S0670524030001 010-83270999-97050 zhangyi@cnht.com.cn 2025年11月3日 证券分析师:李杜 S0670524040001 021-50800937 l idu@cnht. com. cn 20251103一周,模型推荐配置通信设备、房地产开发、游戏等板块。未来一周,策略 . 将新增持有通信ETF、房地产ETF、游戏ETF等产品:继续持有科创医药ETF。截至上周 末,部分ETF及标的指数的交易择时信号给出日度或周度风险提示。 数据来源:wind数据库,金融街证券研究所 * 择时信号为量价指标,等于1为看多信号;等于0为中性信号;等于-1为看空信号 2025102 ...

Core Insights - The report emphasizes a strategy based on sector rotation and thematic ETFs, recommending increased allocations to semiconductor, consumer electronics, and battery sectors for the upcoming week [2][3]. - The strategy has yielded a cumulative net return of approximately 1.52% from September 29 to October 9, 2025, with an excess return of about 0.06% compared to the CSI 300 ETF [3]. Strategy Update - The model recommends adding positions in the Sci-Tech Chip ETF, Consumer Electronics ETF, Sci-Tech New Materials ETF, and Smart Car ETF, while continuing to hold the Satellite ETF [2]. - The report highlights the trading timing signals for various ETFs and indices, indicating daily or weekly risk assessments [2]. Performance Tracking - Since October 14, 2024, the strategy has achieved a cumulative return of approximately 26.66%, outperforming the CSI 300 ETF by about 5.05% [3]. - The report includes a performance comparison chart showing the cumulative return rates of the sector rotation ETF strategy against the CSI 300 ETF [5][6]. Recommended ETFs and Holdings - The report lists specific ETFs and their respective weights, such as the Sci-Tech Chip ETF with a weight of 96.34% and the Consumer Electronics ETF with a weight of 31.89% [13]. - It also details the recent performance of various ETFs, indicating which have been added or removed from the portfolio based on their performance over the past week [14].

Core Insights - The report emphasizes a strategy based on industry rotation and thematic ETFs, recommending sectors such as agriculture, film and cinema, and aerospace equipment for the upcoming week [2][3]. - The strategy has shown a cumulative net return of approximately -0.21% for the period from September 15 to September 19, 2025, with an excess return of about 0.16% compared to the CSI 300 ETF [3][11]. - Since October 14, 2024, the strategy has achieved a cumulative return of approximately 24.91%, outperforming the CSI 300 ETF by about 6.36% [3]. Strategy Update - For the week of September 22, 2025, the model recommends increasing positions in the following ETFs: Grain ETF, Film ETF, Industrial Mother Machine ETF, and Oil & Gas ETF, while continuing to hold Aerospace ETF and Green Electricity ETF [2][10]. - The report includes specific ETFs and their respective weights, indicating a focus on sectors like agriculture (46.77% in Grain ETF) and film (45.35% in Film ETF) [10]. Performance Tracking - The report details the performance of various ETFs over the past week, highlighting that the average return of the ETF portfolio was -0.37%, while the CSI 300 ETF had a return of -0.21% [11]. - The report also notes that certain ETFs, such as the Green Electricity ETF and Aerospace ETF, continue to be held despite recent performance fluctuations [11].

Investment Rating - The report recommends a positive investment rating for sectors such as securities, communication equipment, and liquor [2]. Core Insights - The strategy report indicates a model recommendation for the week of September 1, 2025, to allocate investments in sectors including securities, communication equipment, and liquor, with additional holdings in various ETFs [2]. - The strategy has achieved a cumulative net return of approximately 6.58% during the period from August 25 to August 29, 2025, outperforming the CSI 300 ETF by about 3.86% [2][11]. - Since October 14, 2024, the strategy has recorded a cumulative return of approximately 23.53%, with an excess return of about 5.20% compared to the CSI 300 ETF [2]. Summary by Sections Strategy Update - For the week of September 1, 2025, the model recommends adding holdings in the securities broker ETF, consumer 30 ETF, and defense ETF, while continuing to hold communication equipment ETF, satellite ETF, and battery ETF [2]. Performance Tracking - The strategy's cumulative net return from August 25 to August 29, 2025, is approximately 6.58%, with an excess return of about 3.86% over the CSI 300 ETF [2][11]. - The cumulative return since October 14, 2024, is approximately 23.53%, with an excess return of about 5.20% compared to the CSI 300 ETF [2].

Strategy Overview - Hengtai Securities has developed an ETF strategy based on industry rotation and thematic investments, referencing previous reports from October 2024[2] - The strategy includes a combination of industry and thematic ETFs to optimize investment performance[2] ETF Holdings and Performance - The total value of the ETFs held is approximately 144.96 billion CNY, with significant allocations in sectors such as communication equipment (73.61%) and gaming (81.29%)[3] - The strategy achieved a cumulative net return of about 2.04% from August 11 to August 15, 2025, underperforming the CSI 300 ETF by 0.64%[3] - Since October 14, 2024, the strategy's cumulative return is approximately 9.26%, with an underperformance of 1.20% relative to the CSI 300 ETF[3] Weekly Recommendations - For the week of August 18 to August 22, 2025, the recommended sectors include communication equipment, precious metals, and gaming[12] - New positions will be added in communication equipment ETF, industrial metals ETF, and innovative pharmaceuticals ETF, while continuing to hold positions in gold stocks, gaming ETF, and satellite ETF[12] Risk Considerations - There is a risk of rapid style shifts within a week, which could impact ETF performance[7] - Some ETFs may experience abnormal increases in discount rates, posing additional risks to investors[7]

Strategy Overview - The report focuses on constructing a strategy portfolio based on industry and thematic ETFs, utilizing quantitative analysis from previous strategy reports [2]. Strategy Update - For the week of August 4, 2025, the model recommends increasing allocations to sectors such as electricity, joint-stock banks, and liquor, while continuing to hold real estate and agriculture ETFs [2]. - New additions include Green Power ETF, Bank ETF, and Liquor ETF, with ongoing holdings in Real Estate ETF and Agriculture ETF [2]. - As of the last weekend, some ETFs and index trading timing signals provided daily or weekly risk alerts [2]. Performance Tracking - From July 28 to August 1, 2025, the strategy recorded a cumulative net return of approximately -2.19%, with an excess return of about -0.53% compared to the CSI 300 ETF [2]. - Since October 14, 2024, the cumulative return of the strategy outside the sample period is approximately 4.34%, with an excess return of about -2.17% relative to the CSI 300 ETF [2].

Core Insights - The report emphasizes the strategic allocation of ETFs in various sectors, recommending a focus on liquor, real estate, and white goods for the upcoming week [2] - The model portfolio for the week of July 28, 2025, includes continued holdings in real estate ETFs and the addition of oil and gas ETFs, indicating a shift in market focus [2][5] - The report highlights a cumulative return of approximately 1.40% for the strategy from July 21 to July 25, 2025, with an excess return of -0.32% compared to the CSI 300 ETF [2][5] ETF Strategy Summary - The report outlines specific ETFs and their respective values, with the liquor ETF valued at 32.58 billion, real estate ETF at 6.83 billion, and tourism ETF at 30.84 billion, among others [2] - The report provides a detailed performance tracking of various ETFs, indicating that the average return for the ETFs was 1.40% during the specified period [5] - The report includes a table of ETFs with their current holdings and performance metrics, showing that the real estate ETF has a holding signal of 100% and the liquor ETF has a holding signal of 55.71% [2][5]