股 票 基 金 证 券 研 究 报 告 证券分析师 ——基于国泰股票 ETF 行业轮动投资策略研究 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 权 益 量 化 研 究 方思齐 A0230525090002 fangsq@swsresearch.com 联系人 方思齐 A0230525090002 fangsq@swsresearch.com 2025 年 12 月 04 日 2025 年 12 月 ETF 行业轮动组合构 建 相关研究 - | 1. 国泰基金 | 管理规模大，布局完整 3 | | | ETF | | --- | --- | --- | --- | --- | | 1.1 | 3 | 国内 ETF | | 市场发展概况 | | 1.2 | 4 | 国泰基金 | | ETF 布局完整 | | 2. 12 | 组合：家电 ETF、上证综指 ETF、现金流 ETF、 | 月 | ETF | | | 2000ETF | 等 5 | | | | | 2.1 ETF | 行业轮动策略构建简介 5 | | | | | | 2.2 组合历史表现 6 | | | | ...

Group 1 - The report focuses on the ETF industry rotation investment strategy based on Guotai Fund's research [2][4] - As of Q2 2025, the total asset size of 2587 non-monetary index funds reached 5.61 trillion yuan, with an increase of 0.64 trillion yuan from the previous quarter [6][4] - By October 31, 2025, there were 1346 ETFs in the market with a total size of 57,038.30 billion yuan, showing an increase of 103.75 billion yuan in the last week [6][4] Group 2 - Guotai Fund has a comprehensive layout in the ETF market, with 72 non-monetary ETFs totaling 2699.55 billion yuan as of October 31, 2025 [10][4] - The report highlights the top five ETFs selected based on a scoring system that combines anchoring ratio and momentum acceleration [19][25] - The selected ETFs for the current month include Guotai SSE Sci-Tech Innovation Board Chip ETF, Guotai ChiNext New Energy ETF, Guotai CSI New Energy Vehicle ETF, Guotai CSI Semiconductor Materials and Equipment Theme ETF, and Guotai CES Semiconductor Chip ETF [25][26] Group 3 - The historical performance of the ETF index combination from July 1, 2021, to October 31, 2025, showed a total return of 9.46% and an annualized return of 2.11% [20][21] - The ETF combination outperformed the CSI 300 index with an annualized excess return of 4.82% [20][27] - In 2025, the cumulative return of the ETF combination reached 42.43%, significantly surpassing the CSI 300's 17.94% [24][27]

Group 1 - The report highlights the growth of the ETF market, with a total of 1,325 ETFs and a total asset size of 56,267.83 billion yuan as of September 30, 2025, with A-share ETFs and cross-border ETFs leading in size at 36,897.29 billion yuan and 9,048.33 billion yuan respectively [4][8] - Guotai Fund has established a comprehensive presence in the ETF market since launching its first ETF in 2011, currently managing 72 non-monetary ETFs with a total size of 2,550.65 billion yuan as of September 30, 2025 [6][11] - The report introduces a monthly selection strategy based on a composite momentum factor derived from normalized anchoring ratios and momentum acceleration indicators, identifying the top five indices for investment [4][17] Group 2 - The historical performance of the ETF portfolio from July 1, 2021, to September 30, 2025, shows a total return of 13.93% and an annualized return of 3.11%, outperforming the CSI 300 index by an annualized excess return of 5.89% [18][22] - The report lists the current ETF portfolio, which includes Guotai's Science and Technology Innovation Board Chip ETF, New Energy ETF, Artificial Intelligence ETF, and CES Semiconductor Chip ETF, with respective weights of 23.06%, 21.31%, 17.67%, and 22.59% [25][27]