ETF组合策略月度跟踪报告（2025年3月）-20250422

Market Overview - In March 2025, domestic stock market indices experienced declines, with the CSI 500 showing a minor drop of -0.04% and the Sci-Tech 50 suffering a larger decline of -5.20%. Year-to-date, the CSI 1000 performed well with a gain of +4.51%, while the ChiNext index lagged with a decrease of -1.77% [2][6]. - In terms of market style, large-cap stocks outperformed small-cap stocks in March, and value stocks outperformed growth stocks. The ChiNext small-cap index rose by 4.04%, while the ChiNext large-cap index fell by 1.34%. The National Growth Index increased by 0.46%, whereas the National Value Index decreased by 1.15% [2][6]. - Among industries, the best-performing sectors in March were non-ferrous metals (+7.46%), home appliances (+4.48%), and coal (+3.25%). Conversely, the worst performers were computers (-5.61%), real estate (-4.58%), and electronics (-4.35%) [2][6]. - The bond market saw the China Bond Corporate Bond Total Wealth Index rise by +0.37%, while the China Bond Government Bond Total Wealth Index fell by -0.51%. Year-to-date, corporate bonds outperformed government bonds with returns of +0.29% versus -0.90% [2][6]. - In the commodity market, major domestic commodity indices showed mixed results in March, with the Nanhua Gold Index increasing by 8.33% and the Nanhua Energy Chemical Index decreasing by 3.12%. Year-to-date, the Nanhua Gold Index had the highest gain of +17.64%, while the Nanhua Energy Chemical Index had the largest drop of -3.43% [2][6]. ETF Strategy Performance - As of March 31, 2025, the style rotation strategy showed a cumulative return of +18.98% over the past three years, ranking 69 out of 709 in the category of ordinary equity funds. The valuation-selected ETF strategy had a cumulative return of +23.53%, ranking 45 out of 712. The global allocation strategy achieved a cumulative return of +33.32%, ranking 25 out of 712 [3][10]. - The 28-rotation strategy had a cumulative return of +23.61% over the past three years, ranking 77 out of 2427 in the category of equity hybrid funds. The multi-strategy combination achieved a cumulative return of +22.84%, ranking 84 out of 2427. The short-term reversal strategy had a cumulative return of +5.64%, ranking 314 out of 2427. The asset rotation strategy achieved a cumulative return of +35.26%, ranking 30 out of 2427 [3][10]. - The dynamic duration strategy showed a one-year cumulative return of +5.59%, ranking 70 out of 1280 in the category of long-term pure bond funds [3][10]. ETF Strategy Summary - The style rotation strategy is designed to switch between large and small-cap stocks and value and growth styles based on market performance, aiming for long-term stable returns while controlling drawdowns [11][12]. - The 28-rotation strategy focuses on switching between large and small-cap stocks, aiming to avoid market risks during downturns while achieving stable long-term returns [18][19]. - The valuation-selected ETF strategy employs a reverse investment approach based on valuation metrics, aiming for long-term stable returns while controlling drawdowns [26][27]. - The global allocation strategy utilizes a risk parity approach for global equity asset allocation, aiming for balanced risk contributions from different assets [34][35]. - The macro rotation strategies (conservative, neutral, aggressive) are designed based on macroeconomic data, adjusting asset allocations according to different economic cycles [42][49][56].