Alternative Views on ETFs Portfolio Strategies

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

Abstract

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

LIU Qin,SUN Yuan. Alternative Views on ETFs Portfolio Strategies[J]. Frontiers of Data and Computing, 2026, 8(1): 27-34, https://cstr.cn/32002.14.jfdc.CN10-1649/TP.2026.01.003.

Figures/Tables 6

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Table 1

Indicator description of dtrategy simulation performance report (using daily frequency data)[11]"

策略赢率	绝对收益评价基本指标	$I m p a c t R a t i o × A c c u r a c y R a t i o$
策略胜率	ImpactRatio	$T p T l$
策略效率	AccuracyRatio	$a v g (m a x ? (P L i, 0)) a v g (m i n ? (P L i, 0))$
Winning.Days	盈利日数量	$T p$
Losing.Days	亏损日数量	$T l$
最大回撤比率	最大回撤	$m a x c u m ? m a x P L i - P L i / m a x P L i$
VaR	风险价值	市场正常波动下，一定概率水平下，资产的最大可能损失
SharpeRatio	夏普比率	$E R p - R f σ p$ ，单位风险承担的超额收益
Annulized.Sharpe.Ratio	年化夏普比率	年化超额收益/年化标准差
Conditional.Sharpe.Ratio		$E R p - R f C V a R$ ，单位风险承担的超额收益
SortinoRatio	索提诺比率	$E R p - R f δ p$ ，单位风险承担的超额收益， $δ p$ 为下行标准差，为了可比，一般会把下行标准差标准化为 $2 δ p$
偏度		刻画收益率分布的不对称性。取值为正时，分布右偏。
峰度		刻画收益率分布的陡峭程度。取值越大，分布越陡峭。
CalmarRatio	卡玛比率	年化收益率/最大回撤.SterlingRatio的改进版
SterlingRatio		年化收益率/平均年度最大回撤.
Daily GPR	Gain-Loss Ratio	无风险收益取值为0的OmegaRatio， $m a x ? (R p, 0) ˉ m a x ? (0 - R p, 0) ˉ$
i-score	收益稳定性指标	刻画净值在面值之上序列，i-score越高，净值序列过程中的起伏越小
ExpectedShortfall	CVaR	是指在损失超过VaR的条件下，投资组合遭受的平均损失（期望值）
Avg.Drawdown.Ratio		$E R p - R f 平均回撤$ ，单位风险承担的超额收益
Ulceratio		$E R p - R f U l c e r I n d e x$ ，UlcerIndex是用于衡量价格下跌的深度和持续时间方面的下行风险。随着价格远离近期高点，该指数价值增加，随着价格上涨至新高而下跌。
Mad.Ratio		$E R p - R f M A D, 其中 M A D = S U M (\| R p - R p ˉ \|) n$
Gini.Ratio		$E R p - R f m d, 其中 m d = ? ∑ i = 1 n ∑ j = 1 n (\| R i - ? R j \|) n * n$
Max.Loss.Ratio		$m e a n R p a b s m i n R p ，如果 m i n R p ＞ 0, 则指标取值为 0$
Prosepct.Ratio		$∑ i = 1 n (m a x R i, 0 + 2.25 * m i n R i, 0 - M A R) n * σ D$ ,其中，MAR表示最小可接受收益率，一般表示无风险收益。 $σ D 向下标准差$
Information.Ratio		相对比较基准的年化绝对收益/年化跟踪误差
SDR.Information.Ratio		对信息比率的修正，分母修正为相对比较基准的下方标准差* $2$
可比风险指标		风险指标* i-score

Table 1

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