{
  "scope": "本轮核读原研究摘要、指定正文/方法段落；不声称逐篇完整论文复现。研究发现的强弱与对本策略的适用性分开。",
  "sources": [
    {
      "id": "S1",
      "title": "The myth of business cycle sector rotation",
      "url": "https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2882",
      "published": "2023 online / 2024 journal",
      "read_scope": "摘要、引言、6.1—6.3稳健性及结论",
      "finding": "传统经济周期阶段配行业的优势有限，成本与时点误差使结果减弱。",
      "transfer": "直接针对行业轮动，是反对简单周期钟配置的重要证据；并不否定一切行业方法。",
      "failure_implication": "不能把事后NBER阶段标签视作当时可交易的预测，也不能把经济判断正确当作行业超额收益。"
    },
    {
      "id": "S2",
      "title": "Momentum Strategies",
      "url": "https://www.nber.org/papers/w5375",
      "published": "1995 working paper / 1996 journal",
      "read_scope": "NBER摘要；web直接打开403，但本机原页下载成功并核对，未读完整论文",
      "finding": "价格与盈利消息在研究样本中各含后续收益信息，分析师对消息调整可能较慢。",
      "transfer": "是股票横截面中期证据，不等于6只行业ETF未来3年回报。",
      "failure_implication": "需独立盈利修订时点数据，不能拿单张高增长预测冒充上调。"
    },
    {
      "id": "S3",
      "title": "Do Industries Explain Momentum?",
      "url": "https://spinup-000d1a-wp-offload-media.s3.amazonaws.com/faculty/wp-content/uploads/sites/3/2019/09/DoIndustriesExplainMomentum.pdf",
      "published": "1999",
      "read_scope": "PDF第2—3页（印刷1249—1250）摘要和引言结果",
      "finding": "行业动量可解释相当部分个股动量；期限不同，持续性与反转也不同。",
      "transfer": "比纯个股因子更贴近行业，但样本/行业定义/多空组合不是本ETF方案。",
      "failure_implication": "价格强不能直接证明长期经营优势；多年持有须更新盈利依据。"
    },
    {
      "id": "S4",
      "title": "The Other Side of Value: Good Growth and the Gross Profitability Premium",
      "url": "https://www.nber.org/papers/w15940",
      "published": "2010 working paper / 2013 journal",
      "read_scope": "NBER摘要；web直接打开403，本机原页下载成功并核对",
      "finding": "毛利润/资产与价值一起提供股票横截面解释信息；盈利能力不应被低估值单独替代。",
      "transfer": "支持结合质量与价格，但不是板块轮动或1—3年必胜证据。",
      "failure_implication": "毛利润/资产不等于毛利率、ROE或现金流；资本密集和无形资产会影响跨行业可比性。"
    },
    {
      "id": "S5",
      "title": "MSCI Quality Indexes",
      "url": "https://www.msci.com/indexes/group/quality-indexes",
      "published": null,
      "read_scope": "网页How we build our indexes；本机返回HTTP200验证码页，未取得有效本地原页",
      "finding": "质量指数使用ROE、盈利稳定性与低财务杠杆等维度。",
      "transfer": "提供可操作定义，不证明整个低杠杆行业一定便宜或会跑赢。",
      "failure_implication": "回购压低权益可抬高ROE；负净资产、行业资本结构、会计差异需另标记。"
    },
    {
      "id": "S6",
      "title": "Momentum Crashes",
      "url": "https://business.columbia.edu/faculty/research/momentum-crashes",
      "published": "2016 journal; university metadata still says forthcoming",
      "read_scope": "作者所在大学研究页摘要；正式刊年由作者已发表稿首页交叉确认",
      "finding": "动量策略会在恐慌后市场反弹等时期遭遇显著损失。",
      "transfer": "解释趋势失败机制；多空动量损失幅度不能直接套到本只做多ETF。",
      "failure_implication": "不把趋势当保证下行保护，不根据一段牛市挑动量参数。"
    },
    {
      "id": "S7",
      "title": "S&P U.S. Indices Methodology",
      "url": "https://www.spglobal.com/spdji/en/methodology/article/sp-us-indices-methodology/",
      "published": null,
      "read_scope": "网页Highlights及Capped Market Capitalization Weighted Indices",
      "finding": "板块指数从母指数按GICS选成分，并采用相应权重上限机制。",
      "transfer": "行业ETF是持仓与规则组合，未必代表某热门叙事全部受益者。",
      "failure_implication": "分类与限权会改变，当前方法不能回填旧年份；本轮不声称核准全部最新限权参数。"
    },
    {
      "id": "S8",
      "title": "Sector Investing",
      "url": "https://institutional.fidelity.com/advisors/insights/spotlights/sector-investing",
      "published": null,
      "read_scope": "官方索引可见周期框架及阶段非线性说明；本机HTTP200不可用页，未取得有效原页",
      "finding": "发行机构用周期框架解释行业，但也说明阶段可能跳过或回退。",
      "transfer": "用来组织条件情景，属于机构框架而非本系统实证收益。",
      "failure_implication": "单一四阶段钟不能代替真实时点验证；需与S1的直接反证一起阅读。"
    }
  ]
}