数据与计算发展前沿 ›› 2026, Vol. 8 ›› Issue (1): 27-34.

CSTR: 32002.14.jfdc.CN10-1649/TP.2026.01.003

doi: 10.11871/jfdc.issn.2096-742X.2026.01.003

• 专刊：计算金融 • 上一篇    下一篇

ETFs组合策略的新视角

刘勤(),孙玉安*()   

  1. 国银金汇数据科技有限公司，北京 100083
  • 收稿日期:2025-03-09 出版日期:2026-02-20 发布日期:2026-02-02
  • 通讯作者: 孙玉安
  • 作者简介:刘勤，国银金汇数据科技有限公司，研究员，主要研究方向为基于市场快照的机理模型。
    本文中承担的工作为分析框架与模型设计。
    LIU Qin is a Researcher of Insightful Data Service, Inc.. His main research interest includes mechanistic models based on market snapshots.
    In this paper, he is responsible for the analysis framework and model design.
    E-mail: liu_qin@263.net|孙玉安，国银金汇数据科技有限公司，执行董事，主要研究方向为基于完备交易信息的风险与绩效模型。
    本文中承担的工作为策略实现、策略模拟。
    SUN Yuan is a Director of Insightful Data Service, Inc.. His main research interest includes transaction-based risk and performance models.
    In this paper, he is responsible for ETFs portfolio strategies simulation and coding.
    E-mail: myhisun@126.com

Alternative Views on ETFs Portfolio Strategies

LIU Qin(),SUN Yuan*()   

  1. Insightful Data Service, Inc., Beijing 100083, China
  • Received:2025-03-09 Online:2026-02-20 Published:2026-02-02
  • Contact: SUN Yuan

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摘要：

【目的】在未来以ETFs（交易所交易基金，Exchange Traded Fund）为主的被动投资占主导的市场环境下，探讨一种以ETFs为标的采用板块轮动做组合投资的新视角，针对金融市场动态数据扫描，精炼使用行情关联数据，获取ETFs投资组合的有效信息，达到有效提升ETFs组合策略中长期绩效的目的。【方法】通过对全市场交易标的行情中时间、价格、量的动态扫描，以及其他信息的结合分析，揭示出ETFs标的长期与短期预期共振点作为ETFs板块轮动的触发点，结合大类资产ETFs的配置规则，搭配采用ETFs板块轮动为主的组合投资策略，控制风险与改进中长期投资绩效。【结果】可以有效改善ETFs投资的中长期风险，提高其绩效。【展望】采用更多新技术完善市场扫描效率。

关键词: ETFs, 组合策略, 板块轮动, 流动性, 预期

Abstract:

[Objective] In a future market environment where passive investment dominated by ETFs (Exchange Traded Funds) is expected to prevail, this paper explores alternative views on ETFs portfolio strategies. By scanning dynamic data of the financial market and leveraging refined market correlation data, the proposed approach aims to extract effective signals for ETF portfolios and improve medium- to long-term performance. [Methods] Through the dynamic screening of time, price, volume and other information in the market, it is revealed that the long-term and short-term expected resonance points of ETFs are used as the trigger points of ETFs sector rotation, combined with the allocation rules of ETFs, and the portfolio investment strategy based on ETFs sector rotation is used to control risks and improve medium and long-term investment performance. [Results] The proposed method effectively reduces the medium and long-term ETFs investment risk and improve the performance of ETF portfolios. [Outlook] Future work will incorporate additional emerging technologies to further improve the efficiency of market screening.

Key words: ETFs, ETFs portfolio strategy, sector rotation, liquidity, expectations