Group 1 - The report outlines a grid trading strategy, which is essentially a high buy-low sell trading approach that capitalizes on price fluctuations without predicting market trends, making it suitable for volatile markets [3][13] - The characteristics of suitable grid trading targets include selecting on-market assets, stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being identified as appropriate for this strategy [3][13] - The report highlights key ETFs for grid trading, including the Hong Kong Stock Connect 50 ETF, which focuses on core leading stocks in Hong Kong, benefiting from significant net inflows from southbound funds, which reached 1,404.84 billion HKD in 2025, a 73.89% increase from 2024 [3][14] Group 2 - The report discusses the Hang Seng Pharmaceutical ETF, which benefits from the Federal Reserve's interest rate cuts that improve the financing environment for innovative drugs, with China's new drug pipeline accounting for about 30% of the global total [4][17] - The report mentions the Film and Television ETF, which is expected to see a boost in market expectations due to the upcoming Spring Festival, alongside government policies promoting high-quality development in cultural consumption [5][19] - The Securities and Insurance ETF is highlighted as benefiting from high market activity and relaxed restrictions on insurance capital entering the market, with a record trading volume of 3.12 trillion RMB on January 9, 2026 [7][22]

Report Industry Investment Rating There is no information provided about the report industry investment rating in the given content. Core Viewpoints - Regulatory policies led to a significant cooling of the A - share market last week, with measures like adjusting the margin ratio for margin trading and large - scale ETF sell - offs. This is a precise expectation management by regulators to control leverage risks and guide market rhythm, beneficial for the long - term health of the market [3][4][14]. - The Shanghai Composite Index has an adjustment demand after consecutive positive days, and with policy "cooling" signals, the market is likely to enter a short - term shock consolidation period, and overheated high - position theme stocks face adjustment pressure [4][14]. - Upcoming economic data will confirm the progress of front - loaded fiscal efforts, and funds are expected to shift from pure theme speculation to areas with performance support and clear logic [4][14]. - In the long run, the macro - policy cycle is in a loose window, and corporate profits are expected to enter a mild recovery channel as the decline in PPI narrows, and the game of the profit inflection point will support the subsequent market [14]. - The bond market sentiment has improved, but the further downward space for yields is limited due to non - comprehensive interest rate cuts and bond supply pressure in the first quarter [5][15]. Summary by Relevant Catalogs 1. Weekly Market Observation 1.1. Equity Market Review and Observation - Last week (2026.01.12 - 2026.01.16), major A - share indices showed mixed performance, with the Shanghai Composite Index, CSI 300, and ChiNext Index having weekly returns of - 0.45%, - 0.57%, and 1.00% respectively [13]. - Since mid - December 2025, A - share sentiment first rose slowly. From January 5th to 9th, 2026, the average daily turnover of the entire A - share market reached about 2.9 trillion yuan, and from January 12th to 14th, it further increased to about 3.8 trillion yuan per day, with a peak of nearly 4.0 trillion yuan on January 14th. After that, from January 15th to 16th, the average daily turnover dropped to about 3.0 trillion yuan [13]. - The North Exchange, CSI 2000, and CSI 1000 were the core active areas, possibly related to the source of incremental funds at the beginning of the year, with margin trading and individual investors as the main forces [13]. 1.2. Pan - Fixed - Income Market Review and Observation - Last week, except for the 30 - year ultra - long - term bonds, bond yields fluctuated downward. The 1 - year Treasury yield dropped 4.63BP to 1.24%, the 10 - year Treasury yield decreased 3.58BP to 1.84%, and the 30 - year Treasury yield slightly increased 0.12BP to 2.30%. The bond market continued to stabilize, and the term spread continued to widen [15]. - The central bank announced the first structural "interest rate cut" this year, lowering the re - loan and rediscount rates by 0.25%, exceeding market expectations. Coupled with the moderate cooling of the equity market, the bond market sentiment showed signs of recovery, but the short - term downward space for yields is still limited [5][15]. - Last week, US Treasury yields rose across the board. The 1 - year US Treasury yield increased 3BP to 3.55%, the 2 - year yield rose 5BP to 3.59%, and the 10 - year yield went up 6BP to 4.24%. The uncertainty about the next Fed Chairman was the main influencing factor [16]. - Last week, the CSI REITs Total Return Index fell 0.36% to 1025.26 points, with data centers, new energy, and affordable housing sectors having larger declines. One new public REIT had progress in the primary market [17][18]. 1.3. Public Fund Market Dynamics - On January 15, 2026, the China Securities Regulatory Commission held the 2026 system work conference, aiming to "stabilize progress and improve quality and efficiency", focusing on risk prevention, strong supervision, and promoting high - quality development [19]. - The conference emphasized continuing to deepen public fund reform, expanding long - term fund sources, launching products and risk management tools suitable for long - term investment, and guiding long - term, rational, and value - based investment [19]. - In terms of regulatory enforcement, the conference insisted on strict law - based supervision, aiming to improve the effectiveness and deterrence of supervision, cracking down on malicious illegal acts such as financial fraud, price manipulation, and insider trading [19]. - Regarding innovative products, this year's focus is on the smooth implementation of the commercial real estate REITs pilot [20]. 2. Fund Index Performance Tracking 2.1. Equity Strategy Theme - Based Index - **Active Stock Fund Selection Index**: The index selects 15 funds each period, with equal - weight allocation for each fund. It selects active equity funds based on performance competitiveness and style stability in value, balanced, and growth styles, and the style distribution is matched according to the CSI Active Equity Fund Index [24]. - **Performance Comparison Benchmark**: CSI Active Equity Fund Index (930950.CSI) [25] 2.2. Investment Style - Based Index - **Value Stock Fund Selection Index**: It includes deep - value and quality - value styles. It selects 10 funds of deep - value, quality - value, and balanced - value styles based on multi - period style classification [28]. - **Performance Comparison Benchmark**: CSI 800 Value Index (H30356.CSI) [28] - **Balanced Stock Fund Selection Index**: Balanced - style fund managers weigh the valuation and growth of individual stocks and are diversified in industries. It selects 10 relatively balanced and value - growth style funds based on multi - period style classification [30]. - **Performance Comparison Benchmark**: CSI 800 (000906.SH) [30] - **Growth Stock Fund Selection Index**: It aims to capture the performance and valuation double - click opportunities of high - growth companies and find potential "dark horses". It selects 10 active - growth, quality - growth, and balanced - growth style funds based on multi - period style classification [33]. - **Performance Comparison Benchmark**: CSI 800 Growth Index (H30355.CSI) [33] 2.3. Industry Theme - Based Index - **Pharmaceutical Stock Fund Selection Index**: It classifies funds based on the intersection market value ratio of fund equity holdings and the representative index (CITIC Pharmaceutical). It selects 15 funds based on evaluation indicators such as relative benchmark index win - rate, product drawdown, style stability, and overall performance competitiveness [35]. - **Performance Comparison Benchmark**: Pharmaceutical Theme Fund Index (fitted by Huabao Securities Fund Research and Investment Platform) [36] - **Consumption Stock Fund Selection Index**: It classifies funds based on the intersection market value ratio of fund equity holdings and representative indices (CITIC Auto, Home Appliances, etc.). It selects 10 funds based on evaluation indicators [36]. - **Performance Comparison Benchmark**: Consumption Theme Fund Index (fitted by Huabao Securities Fund Research and Investment Platform) [37] - **Technology Stock Fund Selection Index**: It classifies funds based on the intersection market value ratio of fund equity holdings and representative indices (CITIC Electronics, etc.). It selects 10 funds based on evaluation indicators [41]. - **Performance Comparison Benchmark**: Technology Theme Fund Index (fitted by Huabao Securities Fund Research and Investment Platform) [42] - **High - end Manufacturing Stock Fund Selection Index**: It classifies funds based on the intersection market value ratio of fund equity holdings and representative indices (CITIC Construction, etc.). It selects 10 funds based on evaluation indicators [46]. - **Performance Comparison Benchmark**: High - end Manufacturing Theme Fund Index (fitted by Huabao Securities Fund Research and Investment Platform) [47] - **Cyclical Stock Fund Selection Index**: It classifies funds based on the intersection market value ratio of fund equity holdings and representative indices (CITIC Petroleum and Petrochemical, etc.). It selects 5 funds based on evaluation indicators [49]. - **Performance Comparison Benchmark**: Cyclical Theme Fund Index (fitted by Huabao Securities Fund Research and Investment Platform) [50] 2.4. Money Market Enhancement Index - **Money Market Enhancement Strategy Index**: It aims at liquidity management, pursuing a curve that exceeds money market funds. It mainly allocates money market funds with good performance and passive index - type bond funds (inter - bank certificate of deposit index funds). - **Performance Comparison Benchmark**: CSI Money Market Fund Index (H11025.CSI) [51] 2.5. Pure Bond Index - **Short - Term Bond Fund Selection Index**: It aims at liquidity management, pursuing a smooth upward curve while controlling drawdown. It selects 5 funds with stable long - term returns, strict drawdown control, and significant absolute return ability [55]. - **Performance Comparison Benchmark**: 50% * Short - Term Pure Bond Fund Index + 50% * Ordinary Money Market Fund Index [55] - **Medium - and Long - Term Bond Fund Selection Index**: It invests in medium - and long - term pure bond funds, aiming for stable returns while controlling drawdown. It selects 5 funds, balancing coupon strategies and band - trading operations, and adjusting duration and the ratio of credit bond funds and interest - rate bond funds according to market conditions [57]. 2.6. Fixed - Income + Index - **Low - Volatility Fixed - Income + Fund Selection Index**: The equity center is positioned at 10%. It selects 10 funds with an equity center (considering convertible bond and stock holdings) within 15% in the past three years and recently, focusing on the balance of return and risk and holding experience [60]. - **Performance Comparison Benchmark**: 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index (CBA00303.CS) [60] - **Medium - Volatility Fixed - Income + Fund Selection Index**: The equity center is positioned at 20%. It selects 5 funds with an equity center between 15% - 25% in the past three years and recently, emphasizing the balance of return and risk and performance elasticity [63]. - **Performance Comparison Benchmark**: 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index (CBA00303.CS) [63] - **High - Volatility Fixed - Income + Fund Selection Index**: The equity center is positioned at 30%. It selects 5 funds with an equity center between 25% - 35% in the past three years and recently, emphasizing the balance of return and risk and performance elasticity [66]. - **Performance Comparison Benchmark**: 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index (CBA00303.CS) [66] 2.7. Other Pan - Fixed - Income Indices - **Convertible Bond Fund Selection Index**: It selects 5 funds from a sample space of bond funds with a convertible bond investment ratio of at least 60% in the latest period and at least 80% on average in the past four quarters, based on an evaluation system considering fund product, fund manager, and fund company dimensions [69]. - **QDII Bond Fund Selection Index**: It selects 6 QDII bond funds with stable returns and good risk control based on credit and duration conditions. The underlying assets are overseas bonds [72]. - **REITs Fund Selection Index**: It selects 10 REITs funds with stable operation, reasonable valuation, and certain elasticity based on the type of underlying assets, which are mainly mature and high - quality infrastructure projects [73].

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and positions of these indices on a weekly basis. Each index has its own unique strategy and has achieved different levels of excess returns over different time periods [12]. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - **Overall Performance Last Week**: The table shows the performance of various ETF strategy indices last week, including their returns, comparison benchmarks, benchmark returns, and excess returns. For example, the Huabao Research Large - Small Cap Rotation ETF Strategy Index had a last - week return of 1.73%, with a benchmark (CSI 800) return of 0.20% and an excess return of 1.52% [13]. 1.1. Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy**: Utilizes 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. The model outputs signals weekly to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 27.85%, the excess return in the recent month was 4.13%, and the excess return in the recent week was 1.52%. The index's recent - week return was 1.73%, recent - month return was 10.63%, and return since 2024 was 69.44%, compared with the CSI 800's 0.20%, 6.50%, and 41.59% respectively. - **Positions**: As of 2026/1/16, it held 50% in the CSI 500ETF (fund code: 159922.SZ) and 50% in the CSI 1000ETF (fund code: 512100.SH) [14][15][18]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors, and then maps the timing signals to ETFs based on the ETFs' exposure to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs. - **Performance**: As of 2026/1/16, the excess return since 2024 was 16.89%, the excess return in the recent month was - 4.53%, and the excess return in the recent week was - 1.19%. - **Positions**: As of 2026/1/16, it held 25.23% in the Free Cash Flow ETF800 (fund code: 563580.SH), 25.11% in the Shenzhen Dividend ETF (fund code: 159905.SZ), 24.87% in the Dividend Low - Volatility 100ETF (fund code: 515100.SH), and 24.79% in the High - Dividend ETF (fund code: 563180.SH) [18][19][21]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: Starts from a multi - factor perspective, including the grasp of medium - to - long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 39.33%, the excess return in the recent month was 1.80%, and the excess return in the recent week was - 0.03%. - **Positions**: As of 2026/1/16, it held 21.64% in the Non - Ferrous Metals ETF (fund code: 512400.SH), 19.99% in the Chemical ETF (fund code: 159870.SZ), 19.79% in the Penghua Petroleum ETF (fund code: 159697.SZ), 19.43% in the Steel ETF (fund code: 515210.SH), and 19.16% in the E Fund Securities and Insurance ETF (fund code: 512070.SH) [21][23][26]. 1.4. Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: Adopts a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend analysis of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation. - **Performance**: As of 2026/1/16, the excess return since 2024 was - 11.23%, the excess return in the recent month was - 0.53%, and the excess return in the recent week was 0.77%. - **Positions**: As of 2026/1/16, it held 9.05% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 6.50% in the Enhanced 500ETF (fund code: 159610.SZ), 6.38% in the CSI 1000ETF (fund code: 512100.SH), 33.10% in the Enhanced 300 ETF (fund code: 561300.SH), 22.48% in the Short - Term Financing ETF (fund code: 511360.SH), and 22.48% in the Policy Financial Bond ETF (fund code: 511520.SH) [25][26][28]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction, it timely tracks and digs out hot - spot index target products to construct an ETF portfolio that can timely capture market hot - spots, providing investors with references for short - term market trends and helping them make more informed investment decisions. - **Performance**: As of 2026/1/16, the excess return in the recent month was 2.67% and the excess return in the recent week was 1.48%. - **Positions**: As of 2026/1/16, it held 41.45% in the Non - Ferrous 50ETF (fund code: 159652.SZ), 21.71% in the Bosera Hong Kong Stock Dividend ETF (fund code: 513690.SH), 19.81% in the E Fund Hong Kong Stock Connect Pharmaceutical ETF (fund code: 513200.SH), and 17.03% in the Short - Term Financing ETF (fund code: 511360.SH) [28][30][31]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability. - **Performance**: As of 2026/1/16, the excess return in the recent month was 0.30% and the excess return in the recent week was 0.20%. - **Positions**: As of 2026/1/16, it held 50.02% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 24.99% in the Policy Financial Bond ETF (fund code: 511520.SH), and 24.99% in the 5 - to 10 - Year Treasury Bond ETF (fund code: 511020.SH) [31][32][34].

Group 1 - The report emphasizes a rational cooling in the market, suggesting that the economic climate remains a safe haven for investors [1][3] - The bond market sentiment has improved due to recent central bank operations that injected liquidity, leading to a quick recovery in the 10-year government bond yield, which is expected to fluctuate around 1.85% [2][12] - The report highlights the importance of high coupon bond allocations, especially if government bond supply pressures ease in late January, presenting a potential mid-term buying opportunity [12][13] Group 2 - The stock market is experiencing a shift back to rationality, with regulatory measures aimed at preventing overheating risks, leading to adjustments in major indices like the CSI 300 [3][10] - The report suggests that after the market returns to rationality, it will benefit a slow bull market and attract funds back to high-growth sectors such as AI hardware, robotics, semiconductors, new energy, non-ferrous metals, and chemicals [3][13] - Short-term market indices may still be in a cooling phase, and it is recommended to wait for reduced selling pressure before making new investments [12][13] Group 3 - The report notes that the overseas markets are likely to continue a strong but volatile trend, although geopolitical risks in the Middle East have increased uncertainty [13] - Recent adjustments in financing margin ratios by the China Securities Regulatory Commission aim to lower leverage levels and protect investor rights, which may contribute to long-term market stability [9][10] - The report indicates that the A-share market has seen a significant increase in trading volume, with daily average turnover rising to 34,651 billion, marking a historical high [20]

Investment Rating - The report indicates a positive outlook for the banking wealth management industry, highlighting the explosive growth of index-based wealth management products in 2025 [4]. Core Insights - The banking wealth management market is experiencing a significant transformation, with a focus on index-based products and enhanced risk management capabilities through independent participation in interest rate derivatives [4][15]. - The report emphasizes the importance of diversified asset allocation and multi-strategy approaches as mainstream directions for the industry [4][15]. - Regulatory developments, such as the implementation of the Asset Management Product Information Disclosure Management Measures, are establishing a unified regulatory framework for information disclosure [15][19]. Summary by Sections Market Overview - As of December, the total market size of wealth management products was 31.66 trillion yuan, showing a slight decrease of 0.16% month-on-month but an increase of 6.69% year-on-year [6][11]. - The annualized yield for cash management products increased to 1.34%, up 5.57 basis points from the previous month [6][11]. New Product Launches - The issuance of new wealth management products increased in December, with a focus on fixed income plus products, closed-end products, and 1-3 year term products dominating the market [7][9]. - The performance benchmarks for newly issued fixed income plus wealth management products mostly continued to decline, reflecting a consensus on long-term low interest rates [7][9]. Regulatory Developments - The banking wealth management industry is moving towards a "net value 3.0" era, emphasizing the need for a comprehensive management system that integrates investment decision-making and risk management [15][19]. - The new disclosure regulations aim to standardize the information disclosure process across different asset management products, enhancing transparency and accountability [19]. Industry Innovations - Wealth management companies are actively participating in IPOs in both A-shares and Hong Kong markets, with notable investments in companies focused on green transformation and technology [5][20]. - The report highlights the trend of wealth management firms developing their own indices to enhance competitive differentiation and meet client demands for customized investment strategies [4][13].

Group 1 - The report indicates that the equity market showed positive performance in December 2025, with major indices rising, particularly in the cyclical and growth sectors, while value sectors lagged behind [3][11] - Specific industries such as defense, non-ferrous metals, and communications saw significant gains of 21.24%, 13.03%, and 12.82% respectively, while real estate, food and beverage, and pharmaceuticals experienced declines of -4.47%, -4.34%, and -4.09% [11][12] - The report highlights a shift in market sentiment from defensive to offensive, driven by favorable liquidity conditions and positive policy signals from the Central Economic Work Conference [4][17] Group 2 - The report emphasizes the importance of focusing on sectors with strong performance indicators, particularly the AI industry chain and commercial aerospace, while also monitoring external factors such as U.S. Federal Reserve interest rate expectations [4][19] - It suggests a strategic resource re-evaluation, particularly in metals and energy resources, as geopolitical dynamics shift towards a focus on national strength and stability [19] - The report outlines a multi-strategy approach for fixed income funds, recommending a balanced allocation between flexible bond strategies and equities with strong risk control and long-term return potential [5][30] Group 3 - The report provides insights into the performance of various fund indices, with the active equity fund index showing a cumulative net value of 1.4934 since its inception, outperforming the benchmark by 20.21% [21][22] - The short-term bond fund index has also shown positive performance, with a cumulative net value of 1.4637, exceeding its benchmark by 0.5434% since its construction [28][29] - The report details the selection criteria for fund indices, focusing on performance stability, risk management, and the ability to adapt to market conditions [24][30]

Group 1: Grid Trading Strategy Overview - The essence of "grid trading" is a high buy low sell strategy, which does not predict market trends but utilizes natural price fluctuations within a certain range to generate profits, suitable for frequently fluctuating markets [4][13] - Characteristics of suitable grid trading targets include: selecting on-market targets, stable long-term trends, low trading costs, good liquidity, and high volatility. Equity ETFs are considered relatively suitable for grid trading [4][13] Group 2: ETF Grid Strategy Target Analysis - **Hang Seng Medicine ETF (159892.SZ)**: Benefiting from the Federal Reserve's interest rate cut cycle, which improves the financing environment for innovative drugs. China's innovative drugs are accelerating their globalization, becoming a core driver for commercialization. As of January 4, 2026, China's new drug pipeline accounts for about 30% of the global total, ranking second worldwide. In 2025, 76 innovative drugs were approved for marketing in China, with domestic innovative drugs accounting for 80.85% of chemical drugs and 91.30% of biological products [4][14] - **Brokerage ETF (159842.SZ)**: High market activity catalyzes the release of brokerage performance, with capital market reforms opening up long-term growth space for leading brokerages. The Shanghai Composite Index rose from a low of 3040 points to break through 4000 points, with an annual increase of 18.41%. The total A-share trading volume reached 420.21 trillion yuan, a year-on-year increase of 62.64% [5][17] - **New Economy ETF (159822.SZ)**: A one-stop layout for high-quality new economy leading enterprises in China, capturing the key to economic transformation. The ETF indirectly tracks the S&P China New Economy Industry Index, holding leading companies in artificial intelligence, internet, biotechnology, and innovative drugs, which are high-growth sectors [6][19] - **Coal ETF (515220.SH)**: Benefiting from the "anti-involution" policy and dividend investment logic. The central economic work conference in December 2025 identified "deepening the rectification of 'involutionary' competition" as a key task for 2026, which is expected to control new capacity and improve the coal industry's supply-demand fundamentals. As of January 13, 2026, the coal sector's dividend yield reached 5.52%, significantly higher than the market average and the yield on ten-year government bonds [7][22]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - A-share market achieved a "good start" in 2026, with the Shanghai Composite Index rising 3.82% in a single week and breaking through 4,100 points. Some sectors such as satellite industry and AI applications were strong, while there was still some differentiation within the market [3]. - Overseas, the US stock market was affected by multiple factors, showing internal differentiation. The Nasdaq Index rose 1.88% and the Russell 2000 Index rose 4.62% in the first week of the new year [3]. - The quantitative strategy allocation view is: stock fund enhancement strategy > evergreen low-volatility strategy > overseas equity strategy. It is optimistic about the future investment opportunities in A-shares, and the stock fund enhancement strategy is more attractive in the short term [4]. - The overseas market has some configuration value, but there are also many risk points to pay attention to, and its overall cost-effectiveness is slightly lower than that of the A-share strategy combination [5]. Summary by Related Catalogs 1. Toolized Fund Portfolio Performance Tracking - **Evergreen Low-Volatility Fund Portfolio**: It has maintained low volatility characteristics for a long time, with both portfolio volatility and maximum drawdown significantly better than the CSI Active Stock Fund Index. It has achieved significant excess returns and has both defensive and offensive capabilities [13]. - **Stock Fund Enhancement Fund Portfolio**: Its strategy has been running for a short time, and its performance is close to the CSI Active Stock Fund Index. It is expected to have stronger elasticity after the market environment improves [16]. - **Cash Enhancement Fund Portfolio**: It has continuously outperformed the benchmark through double screening, and the cumulative excess return has exceeded 0.41% since the strategy started in late July 2023, providing a reference for cash management [17]. - **Overseas Equity Allocation Fund Portfolio**: As a supplementary investment tool in the A-share equity market, it has accumulated high-level excess returns since July 31, 2023, and global allocation can increase the return of the equity investment portfolio [20]. 2. Toolized Fund Portfolio Construction Ideas - **Evergreen Low-Volatility Fund Portfolio**: The goal is to select funds with long-term stable returns in high-equity position actively managed funds. It selects low-volatility funds from the two dimensions of net value performance and holding characteristics to build an actively managed equity fund portfolio with low volatility [25]. - **Stock Fund Enhancement Fund Portfolio**: The goal is to meet the needs of equity fund investors with different risk preferences. It configures funds managed by fund managers with stronger Alpha mining capabilities, and the portfolio shows a high winning rate during the backtesting period [26]. - **Cash Enhancement Fund Portfolio**: It constructs a money fund selection system by comprehensively considering various money fund factors to help investors obtain higher returns and reduce return volatility risks when investing in money funds [27]. - **Overseas Equity Allocation Fund Portfolio**: It selects QDII equity funds corresponding to selected equity indices of multiple countries or regions based on long-term and short-term technical indicators, comprehensive index momentum, and reversal effects to meet the needs of global asset allocation [24].

Report Industry Investment Rating No relevant content provided in the report. Core Viewpoints of the Report - In the first week of 2026 (01.05 - 01.09), the A - share market continued its upward trend, with the Shanghai Composite Index achieving 16 consecutive positive days and standing above 4100 points. The market trading remained highly active, with Friday's turnover reaching 3 trillion and the margin trading balance exceeding 2.6 trillion. The market was mainly driven by bottom - up growth themes, with technology - related sectors like AI applications, commercial space, and brain - computer interfaces rotating. The small and medium - cap style was dominant [3][12]. - In the short term, the overseas US employment market has resilience but also structural pressure. Inflation data is not expected to have a strong rebound, and the market has digested the possibility of the Fed not cutting interest rates in January. Overseas markets may experience high - level volatility in the short term, with limited impact on the domestic market. The overall supply - demand of market funds is neutral to optimistic, and with the profit - making effect, off - market funds may continue to flow in, and the market is expected to continue its upward trend [3][14]. - Last week (01.05 - 01.09), the bond market showed a "V - shaped reversal", with long - term yields generally weakening. The short - term sentiment in the bond market has stabilized slightly, but the possibility of interest rate cuts in the medium and short term is still low. The bond market lacks positive catalysts, and it may have a short - term rebound but is likely to remain neutral in the medium term, with a dominant wait - and - see sentiment [4][15]. Summary According to Relevant Catalogs 1. Weekly Market Observation 1.1. Equity Market Review and Observation - Market Performance: In the first week of 2026 (01.05 - 01.09), the A - share market continued to rise, with major broad - based indices generally increasing and reaching new stage highs. The trading volume on Friday returned to the peak of 3 trillion, and the margin trading balance exceeded 2.6 trillion. The market was driven by growth themes such as AI applications, commercial space, and brain - computer interfaces, with the small and medium - cap style being dominant [12]. - Sector Analysis: The brain - computer interface sector was active this week. Expectations of Neuralink's mass production, the establishment of Gestalt Technology in China, and market expectations for the "14th Five - Year Plan" drove the sector's sentiment. The sector may maintain its popularity with the upcoming "2026 Brain - Computer Interface Developers Conference" and other positive news. The aerospace sector had a continuous rally, driven by factors such as the IPO boom in the commercial space field, policy support, and satellite constellation plans. The growth of the growth sector was also related to the CES 2026 exhibition, with the intelligent vehicle and robot sectors being catalyzed by the "physical AI" concept and the focus on the autonomous driving ecosystem and mass production plans at the CES 2026 [12][13]. - Outlook: Overseas markets may experience high - level volatility in the short term with limited impact on the domestic market. The market funds' supply - demand is neutral to optimistic, and off - market funds may continue to flow in. However, the establishment of a fundamental one - sided trend still needs the verification of better - than - expected domestic demand. It is recommended that funds that missed the previous rally wait patiently for policy clues during the "Two Sessions" to seek more certain allocation opportunities [14]. 1.2. Pan - Fixed - Income Market Review and Observation - Bond Market: Last week (01.05 - 01.09), the bond market showed a "V - shaped reversal", with the 1 - year Treasury yield falling 4.35BP to 1.29%, the 10 - year yield rising 3.55BP to 1.88%, and the 30 - year yield rising 4.95BP to 2.30%. The short - term sentiment in the bond market has stabilized slightly, but the possibility of interest rate cuts in the medium and short term is low, and it may have a short - term rebound but remain neutral in the medium term [4][15]. - US Treasury Bonds: The US Treasury yield curve flattened last week, with short - term yields rising and long - term yields falling. The 1 - year yield rose 5BP to 3.52%, the 2 - year yield rose 7BP to 3.54%, and the 10 - year yield fell 1BP to 4.18%. The market believes the probability of the Fed cutting interest rates in the short term is small [15][16]. - REITs: The CSI REITs Total Return Index rose 1.89% last week, closing at 1028.93 points. Four new public REITs made progress in the primary market [16]. 2. Fund Index Performance Tracking 2.1. Equity Strategy Theme - Based Index - **Active Stock Fund Selection Index**: The index selects 15 funds in each period, with equal - weight allocation. It selects active equity funds based on performance competitiveness and style stability in value, balanced, and growth styles, and matches the style distribution of the CSI Equity - Oriented Fund Index. The performance benchmark is the CSI Equity - Oriented Fund Index (930950.CSI) [20]. 2.2. Investment Style - Based Index - **Value Stock Fund Selection Index**: It includes both deep - value and quality - value styles. It selects 10 funds of deep - value, quality - value, and balanced - value styles based on multi - period style classification. The performance benchmark is the CSI 800 Value Index (H30356.CSI) [20]. - **Balanced Stock Fund Selection Index**: Balanced - style fund managers balance stock valuation and growth. The index selects 10 relatively balanced, value - growth style funds based on multi - period style classification. The performance benchmark is the CSI 800 (000906.SH) [22]. - **Growth Stock Fund Selection Index**: The growth style aims to capture the double - click opportunities of performance and valuation. It selects 10 funds of active - growth, quality - growth, and balanced - growth styles based on multi - period style classification. The performance benchmark is the 800 Growth Index (H30355.CSI) [24][26]. 2.3. Industry Theme - Based Index - **Pharmaceutical Stock Fund Selection Index**: It selects funds based on the intersection market value of fund equity holdings and the constituent stocks of the representative index (CITIC Pharmaceutical). The average purity in the past 3 years/inception should be no less than 60%. It constructs an evaluation system and selects 15 funds. The performance benchmark is the pharmaceutical theme fund index (fitted by Huabao Securities) [28]. - **Consumer Stock Fund Selection Index**: It selects funds based on the intersection market value of fund equity holdings and the constituent stocks of representative indices (CITIC Automobile, Home Appliances, etc.). The average purity in the past 3 years/inception should be no less than 50%. It constructs an evaluation system and selects 10 funds. The performance benchmark is the consumer theme fund index (fitted by Huabao Securities) [31]. - **Technology Stock Fund Selection Index**: It selects funds based on the intersection market value of fund equity holdings and the constituent stocks of representative indices (CITIC Electronics, etc.). The average purity in the past 3 years/inception should be no less than 60%. It constructs an evaluation system and selects 10 funds. The performance benchmark is the technology theme fund index (fitted by Huabao Securities) [34]. - **High - end Manufacturing Stock Fund Selection Index**: It selects funds based on the intersection market value of fund equity holdings and the constituent stocks of representative indices (CITIC Construction, etc.). The average purity in the past 3 years/inception should be no less than 50%. It constructs an evaluation system and selects 10 funds. The performance benchmark is the high - end manufacturing theme fund index (fitted by Huabao Securities) [37]. - **Cyclical Stock Fund Selection Index**: It selects funds based on the intersection market value of fund equity holdings and the constituent stocks of representative indices (CITIC Petroleum & Chemicals, etc.). The average purity in the past 3 years/inception should be no less than 50%. It constructs an evaluation system and selects 5 funds. The performance benchmark is the cyclical theme fund index (fitted by Huabao Securities) [41]. 2.4. Money - Market Enhancement Index - **Money - Market Enhancement Strategy Index**: It aims at liquidity management, pursuing a curve that exceeds money - market funds and is smooth and upward. It mainly allocates money - market funds with relatively good performance and inter - bank certificate of deposit index funds in passive index - bond funds. The performance benchmark is the CSI Money - Market Fund Index (H11025.CSI) [44]. 2.5. Pure - Bond Index - **Short - Term Bond Fund Selection Index**: It aims at liquidity management, pursuing a smooth and upward curve while ensuring drawdown control. It mainly allocates 5 funds with stable long - term returns, strict drawdown control, and significant absolute - return ability. The performance benchmark is 50% * Short - Term Pure - Bond Fund Index + 50% * Ordinary Money - Market Fund Index [46]. - **Medium - and Long - Term Bond Fund Selection Index**: It invests in medium - and long - term pure - bond funds, pursuing stable returns while controlling drawdowns. It selects 5 funds with both return and drawdown control, and adjusts the duration and the ratio of credit - bond funds and interest - rate - bond funds according to market conditions. [48] 2.6. Fixed - Income + Index - **Low - Volatility Fixed - Income + Selection Index**: The equity center is 10%. It selects 10 funds with an equity center (considering convertible bond and stock holdings) within 15% in the past three years and recently. The performance benchmark is 10% CSI 800 Index+90% ChinaBond New Composite Full - Price Index (CBA00303.CS) [49][52]. - **Medium - Volatility Fixed - Income + Selection Index**: The equity center is 20%. It selects 5 funds with an equity center between 15% - 25% in the past three years and recently. The performance benchmark is 20% CSI 800 Index+80% ChinaBond New Composite Full - Price Index (CBA00303.CS) [52]. - **High - Volatility Fixed - Income + Selection Index**: The equity center is 30%. It selects 5 funds with an equity center between 25% - 35% in the past three years and recently. The performance benchmark is 30% CSI 800 Index+70% ChinaBond New Composite Full - Price Index (CBA00303.CS) [56]. 2.7. Other Pan - Fixed - Income Index - **Convertible Bond Fund Selection Index**: It selects bond - type funds with the average proportion of convertible bond investment in bond market value no less than 60% in the latest period and no less than 80% in the past four quarters as the sample space. It constructs an evaluation system and selects 5 funds [59]. - **QDII Bond Fund Selection Index**: It selects 6 funds with stable returns and good risk control based on credit and duration conditions, with underlying assets being overseas bonds [61]. - **REITs Fund Selection Index**: It selects 10 funds with stable operation, reasonable valuation, and certain elasticity based on the underlying asset type [62].

Report Summary 1. Investment Ratings No investment ratings for the industry are provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices constructed with the help of ETFs, which can convert quantitative models or subjective views into practical investment strategies. The performance and positions of these indices are tracked on a weekly basis [12]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **Huabao Research Size Rotation ETF Strategy Index**: Last week's index return was 7.47%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was 3.30% [13]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Last week's index return was 1.97%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -2.21% [13]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Last week's index return was 3.81%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -0.36% [13]. - **Huabao Research Quantitative Balance Art ETF Strategy Index**: Last week's index return was 1.73%, the benchmark was SSE 300 with a return of 2.79%, and the excess return was -1.06% [13]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Last week's index return was 6.24%, the benchmark was CSI All - Share with a return of 5.04%, and the excess return was 1.20% [13]. - **Huabao Research Bond ETF Duration Strategy Index**: Last week's index return was -0.12%, the benchmark was ChinaBond Aggregate Index with a return of -0.23%, and the excess return was 0.11% [13]. 1.1 Huabao Research Size 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. The model 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 [14]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 25.26%, the excess return in the recent month was 2.56%, and the excess return in the recent week was 3.30% [14]. - **Positions**: As of January 9, 2026, it held 50% of CSI 500ETF (code: 159922.SZ) and 50% of CSI 1000ETF (code: 512100.SH) [18]. 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 the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [18]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 18.76%, the excess return in the recent month was -3.73%, and the excess return in the recent week was -2.21% [18]. - **Positions**: As of January 9, 2026, it held 25.21% of High - Dividend ETF (code: 159207.SZ), 25.13% of Shenzhen Dividend ETF (code: 159905.SZ), 24.98% of Free Cash Flow ETF800 (code: 563580.SH), and 24.68% of Dividend Low - Volatility 100ETF (code: 515100.SH) [21]. 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behaviors of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market [21]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 39.31%, the excess return in the recent month was 2.75%, and the excess return in the recent week was -0.36% [21]. 1.4 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend judgment of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution of the equity market and comprehensively obtains excess returns relative to the market through timing and rotation [25]. - **Performance**: As of January 9, 2026, the excess return since 2024 was -12.27%, the excess return in the recent month was -1.07%, and the excess return in the recent week was -1.06% [25]. - **Positions**: As of January 9, 2026, it held 20.50% of Non - Ferrous Metals ETF (code: 512400.SH), 20.11% of Chemical ETF (code: 159870.SZ), 20.06% of Securities and Insurance ETF E Fund (code: 512070.SH), 19.88% of Steel ETF (code: 515210.SH), and 19.46% of Oil and Gas ETF (code: 159697.SZ) [26]. 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major 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 in a timely manner, providing investors with references for short - term market trends and helping them make more informed investment decisions [28]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 1.08%, and the excess return in the recent week was 1.20% [30]. - **Positions**: As of January 9, 2026, it held 40.04% of Non - Ferrous Metals 50ETF (code: 159652.SZ), 22.32% of Hong Kong Stock Dividend ETF Bosera (code: 513690.SH), 19.90% of Hong Kong Stock Connect Pharmaceutical E Fund ETF (code: 513200.SH), and 17.74% of Short - Term Financing ETF (code: 511360.SH) [31]. 1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [31]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 0.15%, and the excess return in the recent week was 0.11% [32]. - **Positions**: As of January 9, 2026, it held 50.00% of 10 - Year Treasury Bond ETF (code: 511260.SH), 25.00% of Treasury Bond ETF 5 - 10 Years (code: 511020.SH), and 25.00% of Policy Financial Bond ETF (code: 511520.SH) [34].