20230804-国金证券-ETF轮动策略跟踪_ETF轮动策略表现优异_8月推荐关注农业ETF_10页_1mb

The ETF rotation factor demonstrated strong performance in July 2023, with the top three recommended ETFs being agriculture ETF (159825), logistics ETF (516910), and tourism ETF (159766), based on key indicators like valuation momentum, net profit growth, and operating capital efficiency. The July ETF rotation strategy yielded a 728% return, compared to a 261% benchmark return, resulting in a 468% excess return. This was driven by the outperformance of these three ETFs amid policy recovery and consumer demand growth. For August 2023, the recommended ETFs are agriculture ETF (159825), logistics ETF (516910), and bank industry ETF (515280), reflecting improved factor scores in areas like earnings and analyst expectations. The analysis anticipates further market consumption potential, with risks highlighted including model failure due to changing policies and market conditions.