1. Investment Analysis of ETF Strategy Indexes 1. ETF Strategy Index Tracking - The Huabao Research Large - Small Cap Rotation ETF Strategy Index uses a machine - learning model based on multi - dimensional technical indicator factors to predict the return difference between the Shenwan Large - Cap Index and Shenwan Small - Cap Index. It outputs signals weekly to predict the strength of the index in the next week and determines positions accordingly to obtain excess returns relative to the market. As of April 18, 2025, the excess return since 2024 was 16.43%, the excess return in the recent month was 0.85%, and the excess return in the recent week was 0.28% [13][14][17]. - The Huabao Research SmartBeta Enhanced ETF Strategy Index uses price - volume indicators to time self - built barra factors and maps timing signals to ETFs based on their exposure to 9 major barra factors, aiming to outperform the market. As of April 18, 2025, the excess return since 2024 was 18.35%, the excess return in the recent month was 4.41%, and the excess return in the recent week was 2.88% [16][17][20]. - The Huabao Research Quantitative Fire - Wheel ETF Strategy Index takes a multi - factor approach, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behaviors. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally explores potential sectors to gain excess returns relative to the market. As of April 18, 2025, the excess return since 2024 was 0.57%, the excess return in the recent month was - 0.94%, and the excess return in the recent week was - 0.37% [20][21][24]. - The Huabao Research Quantitative Balance ETF Strategy Index adopts a multi - factor system, including economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the equity market trend, establishes a prediction model for market large - and small - cap styles to adjust the equity market position distribution, and comprehensively gains excess returns relative to the market through timing and rotation. As of April 18, 2025, the excess return since 2024 was 2.10%, the excess return in the recent month was 3.15%, and the excess return in the recent week was - 0.33% [23][24][26]. - The Huabao Research Hot - Spot Tracking ETF Strategy Index tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots, providing investors with short - term market trend references and assisting them in making more informed investment decisions. As of April 18, 2025, the excess return in the recent month was 2.37%, and the excess return in the recent week was - 0.08% [26][29][30]. - The Huabao Research Bond ETF Duration Strategy Index uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to enhance the portfolio's long - term returns and drawdown control ability. As of April 18, 2025, the excess return in the recent month was 0.16%, and the excess return in the recent week was 0.23% [30][31][34].

2025 年 04 月 20 日 证券研究报告 | 策略周报 政治局会议临近，应如何布局？ 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《关税对 A 股哪些行业影响较大？— 策略周报》2025-04-13 2、《关税迷雾叠加美股震荡，资产应如 何配置？—策略周报》2025-03-30 3、《科技主线重燃，二次上行可期 —策 略周报》2025-03-09 4、《从关税博弈到 AI+突围—策略周 报》2025-02-23 5、《市场情绪持续回暖，春季躁动有望 延续 —策略周报》2025-02-16 投资要点 分析师：郝一凡 销售服务电话： 相关研究报告 【债市方面】政策窗口期短端更为占优。若降准降息政策落地，将直接释放 流动性，推动短端利率债收益率直接下行，长端利率将随之下行。若未释放明 确宽松信号，市场或延续"上有供给顶、下有流动性底"的震荡格局。 ...

| http://www.cninfo.com.cn/new/disclosure/detail?stockCode=002537&announcementId=122306 | 002537 | 海联金汇 | 8349&orgId=9900016929&announcementTime=2025 | -04-14 | | --- | --- | --- | --- | --- | | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=002896&announcementId=122306 | 002896 | 中大力德 | 7893&orgId=9900033209&announcementTime=2025 | -04-14 | | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=002133&announcementId=122306 | 002133 | 广宇集团 | 7427&orgId=9900002761&announcementTime=2025 | -04-14 ...

| 新股发行及今日交易提示 | 2025/4/16 | 星期三 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/4/16 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | | | 603120 | 肯特催化 | 15.00 | 2025/4/16 | 内地市场权益提示 | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=600705&announcementId=122309 | 600705 | 中航产融 | 现金选择权申报期 | ：2025年4月23日至2025年4月25日 | | 6474&orgId=gssh0600705&announcementTime=2025 | -04-15 | 现金选择权 | http://www.cninfo.com.cn/new/disclosure/detail?s ...

Market Overview - In March 2025, the equity market entered a correction phase, while the commodity market continued to experience fluctuations. Early March saw a continuation of optimistic risk appetite, but by mid-March, the market became more cautious due to earnings season and various disturbances following Trump's administration, leading to a market decline. The market style shifted from small-cap growth to large-cap value, with trading focus diversifying towards sectors like non-ferrous metals, consumer services, and defense [3][14]. Equity Market Performance - The public quantitative strategy performance showed varied results across different indices. For the CSI 300 index, the monthly return was -0.07%, with strict constraint strategies yielding an excess return of 0.57%, SmartBeta strategies at 0.85%, and rotation strategies at 0.70%. The CSI 500 index had a monthly return of -0.04%, with excess returns of 1.39% for strict constraint strategies, 1.82% for SmartBeta, and 1.64% for rotation strategies. The CSI 1000 index saw a monthly return of -0.70%, with excess returns of 1.58%, 2.02%, and 2.45% for the respective strategies [4][17][25]. Private Fund Strategy Performance - In March 2025, the best-performing private fund strategy was the CSI 1000 index strategy with an annualized return of 26.20%. The quantitative stock selection strategy followed with a return of 20.50%, while the CSI 500 index strategy achieved 16.24%. The CSI 300 index strategy lagged with a return of only 0.17%. In the relative value strategy, the convertible bond strategy performed well with a return of 22.67%, while the market-neutral strategy returned 10.22% and the ETF arbitrage strategy returned 3.66%. In the managed futures strategy, the options arbitrage strategy led with a return of 9.31% [5][29][32]. Market Environment Factors - The equity market in March experienced a style shift towards large-cap value, which increased the difficulty for quantitative strategies to achieve excess returns. The volatility in value-growth styles also heightened market instability, impacting the performance of quantitative strategies. Despite a decrease in market volatility and turnover rate, trading volume remained within a "comfortable zone" for quantitative strategies, suggesting a lower likelihood of significant declines in excess returns in the short term [6][30][34]. Commodity Market Analysis - The commodity market in March showed mixed performance influenced by overseas disturbances. The energy sector saw oil prices rise due to new production cuts from OPEC+ and increased sanctions on Iran and Venezuela. Conversely, the black metal prices declined due to unmet domestic demand. Gold prices surged significantly as a safe-haven asset amid uncertainties regarding international trade and economic outlooks [14][36]. Conclusion - Overall, the report indicates a complex market environment with shifting styles and varied performance across different strategies. The quantitative strategies face challenges due to increased volatility and changing market dynamics, while certain sectors within the commodity market present potential opportunities for investors [30][34][36].

| 新股发行及今日交易提示 | 2025/4/15 | 星期二 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/4/15 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | 001400 | 江顺科技 | 37.36 | 301560 | 众捷汽车 | 16.50 | | | | | | 2025/4/15 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | | | | 001335 | 信凯科技 | 12.80 | 2025/4/15 | 内地市场权益提示 | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=600705&announcementId=122309 | 600705 | 中航产融 | 现金选择权申报期 | ：2025年4月23日至2025年4月25日 | | 64 ...

2025 年 04 月 15 日 证券研究报告 | 公募基金周报 低波策略发挥稳定器作用，本周震荡行情获 1.2%超额 公募基金量化遴选类策略指数跟踪周报（2025.04.13） 分析师：程秉哲 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 销售服务电话： 021-20515355 相关研究报告 1 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/4/14》2025-04-14 2、《"对等关税"引全球巨震，常青低 波策略续获超额 —公募基金量化遴选类 策 略 指 数 跟 踪 周 报 （ 2025.04.06 ）》 2025-04-08 2025/4/7》2025-04-07 避险情绪或近尾声—公募基金量化遴选 类策略指数跟踪周报（2025.03.30）》 2025-04-01 2025/3/31》2025-03-31 投资要点 分析师：黄浩 在上周特朗普宣布实施"对等关税"后， ...

2025 年 04 月 15 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 2025/4/15 分析师：卫以诺 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 销售服务电话： 021-20515355 2025/4/9》2025-04-09 2、《ETF 及指数产品网格策略周报— 2025/4/1》2025-04-01 3、《ETF 及指数产品网格策略周报— 2025/3/25》2025-03-25 4、《ETF 及指数产品网格策略周报— 2025/3/18》2025-03-18 5、《ETF 及指数产品网格策略周报— 2025/3/11》2025-03-11 投资要点 分析师：程秉哲 ◆网格交易策略概述：简单来说，"网格交易"本质上是一种高抛低吸的交易 策略。但与依赖判断长期走势的趋势交易不同，网格交易是一种基于价格波动 的策略，它不预测市场的具体走势，而是利用价格在一定范围内的自然波动来 获取利润，适用于价格频繁波动的市场。在震荡行情中，投资者可以考虑灵活 运用网格交易，通过反复多次地赚取相对较 ...

| 新股发行及今日交易提示 | 2025/4/14 | 星期一 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025/4/14 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | | | | | 732202 | 天有为 | 93.50 | 2025/4/14 | 内地市场权益提示 | | | | | | | | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=601028&announcementId=122303 | 现金选择权 | 601028 | 玉龙股份 | 现金选择权申报期 | ：2025年4月17日至2025年4月23日 | | 1697&orgId=9900021563&announcementTime=2025 | -04-09 | http://www.cninfo.com.cn/new/disclosur ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis. These indices aim to achieve excess returns relative to the market through different quantitative models and strategies [11]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of - 2.89%, a benchmark return of - 3.30%, and an excess return of 0.41% [12]. 1.1. Huabao Research Small - Large Cap Rotation ETF Strategy Index - **Strategy Principle**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. It outputs weekly signals to determine the next - week's index strength and decides on holdings accordingly [3][13]. - **Performance**: As of 2025/4/11, the excess return since 2024 was 16.02%, the excess return in the past month was 0.72%, and the excess return in the past week was 0.41%. Last week, the index return was - 2.89%, and the benchmark (CSI 800) return was - 3.30% [3][12][15]. - **Holdings**: As of 2025/4/11, it held 100% of the CSI 300 ETF [15]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors, covering mainstream broad - based index ETFs and some style/strategy ETFs [3][15]. - **Performance**: As of 2025/4/11, the excess return since 2024 was 15.97%, the excess return in the past month was 2.40%, and the excess return in the past week was 0.09%. Last week, the index return was - 3.21%, and the benchmark (CSI 800) return was - 3.30% [3][12][15]. - **Holdings**: As of 2025/4/11, it held 58.94% of the Dividend Low - Volatility ETF, 21.11% of the CSI 300 ETF, and 19.95% of the Dividend Quality ETF [15]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors [20]. - **Performance**: As of 2025/4/11, the excess return since 2024 was 0.97%, the excess return in the past month was - 1.10%, and the excess return in the past week was 1.40%. Last week, the index return was - 1.91%, and the benchmark (CSI 800) return was - 3.30% [20][23]. - **Holdings**: As of 2025/4/11, it held 21.93% of the Agriculture ETF, 20.10% of the Bank ETF, 20.06% of the Military Industry ETF, 19.15% of the Non - Ferrous Metals 60 ETF, and 18.76% of the Home Appliance ETF [24]. 1.4. Huabao Research Quantitative Balance Technique ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also builds a prediction model for market small - large cap styles to adjust equity market positions [24]. - **Performance**: As of 2025/4/11, the excess return since 2024 was 2.46%, the excess return in the past month was 2.55%, and the excess return in the past week was 1.41%. Last week, the index return was - 1.46%, and the benchmark (CSI 300) return was - 2.87% [24][25][29]. - **Holdings**: As of 2025/4/11, it held 5.02% of the CSI 1000 ETF, 4.96% of the 500ETF Enhanced, 28.91% of the Enhanced 300 ETF, 25.60% of the Policy Financial Bond ETF, 25.24% of the Short - Term Financing ETF, and 10.26% of the 10 - Year Treasury Bond ETF [29]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products through strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional views, policy and regulation changes, and historical deduction, and constructs an ETF portfolio to capture market hot - spots [30]. - **Performance**: As of 2025/4/11, the excess return in the past month was 2.69%, and the excess return in the past week was 1.47%. Last week, the index return was - 2.83%, and the benchmark (CSI All - Share Index) return was - 4.30% [30][34]. - **Holdings**: As of 2025/4/11, it held 4.34% of the Real Estate ETF, 26.06% of the Hong Kong Consumption ETF, 25.62% of the Soybean Meal ETF, 23.92% of the Hong Kong Dividend ETF, and 20.07% of the 5 - to 10 - Year Treasury Bond ETF [34]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine - learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio [35]. - **Performance**: As of 2025/4/11, the excess return in the past month was 0.07%, and the excess return in the past week was - 0.16%. Last week, the index return was 0.19%, and the benchmark (ChinaBond Aggregate Index) return was 0.35% [35][39]. - **Holdings**: As of 2025/4/11, it held 49.92% of the Short - Term Financing ETF, 25.06% of the 10 - Year Treasury Bond ETF, 12.53% of the 5 - to 10 - Year Treasury Bond ETF, and 12.49% of the Policy Financial Bond ETF [39].