Group 1 - The report outlines a grid trading strategy that capitalizes on price fluctuations rather than predicting market trends, making it suitable for volatile markets [3][13] - Characteristics of suitable grid trading targets include being exchange-traded, having stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being particularly appropriate [3][13] - The report highlights key ETFs for grid trading, including the New Energy Vehicle ETF, which is expected to see significant growth as China's car sales surpass Japan's by 2025, with exports projected to double [4][14] Group 2 - The Cloud Computing ETF is noted for its substantial growth in daily token usage, which has increased over a thousand times in two years, supported by robust computing infrastructure [4][17] - The Asia-Pacific Selected ETF aims to diversify asset allocation across the region, with an expected economic growth rate of 4.5% in 2026, enhancing the potential for investment returns [6][18] - The Sci-Tech Comprehensive Index ETF is positioned to benefit from China's focus on technological self-reliance and innovation, as indicated by significant government investment in R&D and digital economy sectors [7][20]

Report Industry Investment Rating No information provided in the content Core Viewpoints of the Report - The Middle East situation remains tense and complex, with the conflict entering a costly war of attrition. The risk of financial market volatility persists, but the direct impact on the Asian economy may gradually weaken as Asian vessels gain passage through the Strait of Hormuz and oil prices decline. The market is in a period of repeated fluctuations [3][11][12]. - In terms of asset allocation, it is recommended to focus on three main lines: sectors driven by domestic policies and in an upward industrial cycle, such as power grid equipment and lithium - battery materials; technology tracks with long - term growth potential and relatively low valuations, including computing infrastructure, semiconductor equipment and materials; and low - valuation value sectors like coal, chemicals, and finance. In the short term, it is advisable to control positions and seize structural opportunities while waiting for external risks to become clearer [3][12]. Summary by Relevant Catalogs 1. Weekly Market Observation 1.1. Equity Market Review and Observation - Last week (2026.03.23 - 2026.03.27), the A - share market was under short - term pressure due to external disturbances. The market adjusted significantly in the first half of the week and gradually recovered in the second half, with increased trading activity. The average daily trading volume of the entire A - share market was 21,093 billion yuan, a decrease compared to the previous week [11]. - The market hotspots were concentrated in sectors driven by fundamental improvements or external events. The top - performing industries included basic chemicals, non - ferrous metals, public utilities, and pharmaceutical biology. Innovative drugs and lithium - battery new energy were the leading sectors throughout the week [11]. - The Middle East situation continued to evolve in a highly tense and complex manner. The conflict has entered a costly war of attrition, and there is a risk of the region falling into an all - out melee [11]. - In the short term, the Iran - US conflict may lead to repeated attacks before April 6, bringing significant volatility to the financial market. However, the direct impact on the Asian economy may gradually weaken [3][12]. 1.2. Pan - Fixed - Income Market Review and Observation - Last week (2026.03.23 - 2026.03.27), the bond market oscillated and recovered. The yields of 1 - year, 10 - year, and 30 - year treasury bonds decreased by 0.50BP, 1.27BP, and 3.84BP respectively, to 1.25%, 1.82%, and 2.35% [4][13]. - The US Treasury yield curve steepened. The 1 - year US Treasury yield decreased by 3BP to 3.77%, the 2 - year yield remained flat, and the 10 - year yield increased by 5BP to 4.44% [14]. - The CSI REITs Total Return Index fell 0.83% last week, with warehousing logistics and industrial parks among the sectors with the largest declines. In the primary market, 4 new public REITs made progress [14]. 2. Fund Index Performance Tracking 2.1. Equity Strategy Theme - Based Index - **Active Equity Fund Selection**: The index selects 15 funds each period, with equal - weight allocation. The core positions select active equity funds based on performance competitiveness and style stability, and the style distribution is roughly balanced according to the CSI Equity - Oriented Fund Index [18]. - **Value - Oriented Equity Fund Selection**: The index 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 [18]. - **Balanced Equity Fund Selection**: The index selects 10 relatively balanced and value - growth style funds based on multi - period style classification. Fund managers in this style balance the valuation and growth of individual stocks and consider cost - effectiveness at the industry level [21]. - **Growth - Oriented Equity Fund Selection**: The index aims to capture the performance and valuation double - click opportunities of high - growth companies and selects 10 funds of active - growth, quality - growth, and balanced - growth styles based on multi - period style classification [23][25]. - **Pharmaceutical Equity Fund Selection**: The index selects funds based on the intersection market value ratio of fund equity holdings and the constituent stocks of the representative index (CITIC Pharmaceutical). It constructs an evaluation system and selects 15 funds to form the index [27]. - **Consumer Equity Fund Selection**: The index selects funds based on the intersection market value ratio of fund equity holdings and the constituent stocks of representative consumer - related indices. It constructs an evaluation system and selects 10 funds to form the index [30]. - **Technology Equity Fund Selection**: The index selects funds based on the intersection market value ratio of fund equity holdings and the constituent stocks of representative technology - related indices. It constructs an evaluation system and selects 10 funds to form the index [34]. - **High - end Manufacturing Equity Fund Selection**: The index selects funds based on the intersection market value ratio of fund equity holdings and the constituent stocks of representative high - end manufacturing indices. It constructs an evaluation system and selects 10 funds to form the index [37]. - **Cyclical Equity Fund Selection**: The index selects funds based on the intersection market value ratio of fund equity holdings and the constituent stocks of representative cyclical indices. It constructs an evaluation system and selects 5 funds to form the index [39]. 2.2. Other Fund Indices - **Money - Market Enhancement Index**: The money - market enhancement strategy index aims for liquidity management, pursues a curve that outperforms money - market funds, and is mainly configured with money - market funds and inter - bank certificate of deposit index funds. The performance benchmark is the CSI Money - Market Fund Index [45]. - **Pure - Bond Index**: - **Short - Term Bond Fund Selection**: The index aims for liquidity management and selects 5 funds with stable long - term returns, strict回撤 control, and significant absolute return capabilities. The performance benchmark is a combination of the short - term pure - bond fund index and the common money - market fund index [47]. - **Medium - and Long - Term Bond Fund Selection**: The index invests in medium - and long - term pure - bond funds, aiming for stable returns while controlling回撤. It selects 5 funds that balance coupon strategies and band - trading operations and adjusts the duration and the ratio of credit - bond funds and interest - rate - bond funds according to market conditions [50]. - **Fixed - Income Plus Index**: - **Low - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 10%, selects 10 funds with an equity central position (considering convertible bond and stock positions) of less than 15% in the past three years and recently. The performance benchmark is a combination of the CSI 800 Index and the ChinaBond New Composite Full - Price Index [53]. - **Medium - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 20%, selects 5 funds with an equity central position between 15% - 25% in the past three years and recently. The performance benchmark is a combination of the CSI 800 Index and the ChinaBond New Composite Full - Price Index [55]. - **High - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 30%, selects 5 funds with an equity central position between 25% - 35% in the past three years and recently. The performance benchmark is a combination of the CSI 800 Index and the ChinaBond New Composite Full - Price Index [56]. - **Other Pan - Fixed - Income Indices**: - **Convertible Bond Fund Selection**: The index selects 5 convertible - bond funds based on investment proportion requirements and an evaluation system considering fund product, fund manager, and fund company dimensions [61]. - **QDII Bond Fund Selection**: The index selects 6 QDII bond funds with stable returns and good risk control based on credit and duration conditions [64]. - **REITs Fund Selection**: The index selects 10 REITs funds with stable operation, reasonable valuation, and certain elasticity based on the underlying asset types [65].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View 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 [12] 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - **Overall Performance Table**: The table shows the performance of various ETF strategy indices last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week return of - 1.42%, a benchmark (CSI 800) return of - 1.10%, and an excess return of - 0.32% [13] 3.2 Huabao Research Small - Large Cap Rotation ETF Strategy Index - **Strategy**: 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 indices in the next week and determines positions accordingly to obtain excess returns [14] - **Performance**: As of 2026/3/27, the excess return since 2024 was 26.54%, the excess return in the recent month was - 1.59%, and the excess return in the recent week was - 0.32%. The index's return in the recent week was - 1.42%, in the recent month was - 7.86%, and since 2024 was 60.80% [14][15] - **Position**: As of 2026/3/27, it held 100% of the Huatai - Bairui CSI 300 ETF [18] 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors, and maps the timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market [18] - **Performance**: As of 2026/3/27, the excess return since 2024 was 22.11%, the excess return in the recent month was 2.38%, and the excess return in the recent week was 0.09%. The index's return in the recent week was - 1.01%, in the recent month was - 3.89%, and since 2024 was 56.36% [18][19] - **Position**: As of 2026/3/27, it held 25.11% of the Huabao 800 Dividend Low - Volatility ETF, 24.98% of the Jianxin CSI 300 Dividend ETF, 24.97% of the Huatai - Bairui Dividend Low - Volatility ETF, and 24.94% of the Huatai - Bairui Dividend ETF [22] 3.4 Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: 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 dig out potential sectors to obtain excess returns [22] - **Performance**: As of 2026/3/27, the excess return since 2024 was 49.01%, the excess return in the recent month was - 2.07%, and the excess return in the recent week was 0.64%. The index's return in the recent week was - 0.45%, in the recent month was - 8.34%, and since 2024 was 83.27% [22][25] - **Position**: As of 2026/3/27, it held 22.09% of the Penghua Petroleum ETF, 19.66% of the Chemical ETF, 19.50% of the Electronic ETF, 19.47% of the Fuguo Tourism ETF, and 19.28% of the Cathay Building Materials ETF [26] 3.5 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: It uses 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 small - and large - cap styles to adjust the equity market position distribution and obtain excess returns through comprehensive timing and rotation [26] - **Performance**: As of 2026/3/27, the excess return since 2024 was - 6.72%, the excess return in the recent month was 1.76%, and the excess return in the recent week was 0.94%. The index's return in the recent week was - 0.47%, in the recent month was - 2.66%, and since 2024 was 24.51% [26][27] - **Position**: As of 2026/3/27, it held 9.30% of the Cathay 10 - Year Treasury Bond ETF, 6.27% of the Invesco CSI 500 Enhanced ETF, 6.04% of the Southern CSI 1000 ETF, 32.11% of the Cathay CSI 300 Enhanced ETF, 23.22% of the Fuguo Government Bond ETF, and 23.04% of the Haifutong Short - Term Financing ETF [29] 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and digs out 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 to provide investors with a reference for short - term market trends and help them make more informed investment decisions [29] - **Performance**: As of 2026/3/27, the excess return in the recent month was - 1.70%, and the excess return in the recent week was 2.09%. The index's return in the recent week was 1.36%, and in the recent month was - 9.14% [29][32] - **Position**: As of 2026/3/27, it held 39.26% of the Huitianfu Non - ferrous Metals ETF, 24.61% of the Boshi Hong Kong Stock Dividend ETF, 18.52% of the Haifutong Short - Term Financing ETF, and 17.61% of the E Fund Hong Kong Stock Connect Pharmaceutical ETF [33] 3.7 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: 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 [33] - **Performance**: As of 2026/3/27, the excess return in the recent month was 0.17%, and the excess return in the recent week was 0.05%. The index's return in the recent week was 0.06%, in the recent month was 0.10%, since 2024 was 9.94%, and since its establishment was 24.16% [33][34] - **Position**: As of 2026/3/27, it held 49.99% of the Haifutong Short - Term Financing ETF, 25.01% of the Cathay 10 - Year Treasury Bond ETF, 12.51% of the Ping An Treasury Bond ETF, and 12.49% of the Fuguo Government Bond ETF [36]

2026 年 03 月 29 日 证券研究报告 | 策略周报 中东战事扩大，后续如何布局？ 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：郝一凡 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《中东硝烟未散，两会定调落地—策 略周报》2026-03-08 2、《2026 春节期间国内外大事速递—策 略点评》2026-02-24 3、《节前求稳，节后谋进—策略周报》 2026-02-08 4、《行稳致远，市场节奏如何把握？— 策略周报》2026-01-25 5、《沪指站上 4100 点，如何把握春季 行情？—策略周报》2026-01-11 投资要点 【债市方面】债市或维持窄幅震荡。一方面，若中东战事扩大引发油价飙 升，通胀担忧升温，将对债市形成压制，长久期利率债短期承压；另一方面， 输入性通胀背景下其他资产波动加剧，避险情绪或推动资金流入债市，形成一 定对冲。债市多空力量基本对冲，上下突 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry [3]. Core Insights - The regulatory environment for small and medium-sized banks is showing signs of flexibility, allowing for a smoother transition rather than a forced "zeroing out" of existing wealth management products by the end of 2026 [11]. - As of March 25, 2026, a total of 1,685 wealth management products have been issued by banking institutions, with 99 products maturing beyond 2027, indicating a softer regulatory approach [11]. - The report highlights the successful subscription of a short-term corporate bond by a wealth management company, marking a significant step in cross-market asset allocation and supporting the real economy [12]. Regulatory and Industry Dynamics - The report discusses the flexible regulatory adjustments for small and medium-sized banks, which were previously required to clear existing wealth management products by the end of 2026. The transition period allows for a more stable operational environment [11]. - The report notes that the issuance of wealth management products is being closely monitored, with a focus on the stability of small and medium-sized banks amid regulatory changes [11]. Yield Performance - The annualized yield for cash management products recorded 1.21% for the week of March 16-22, 2026, a decrease of 4 basis points from the previous week [13]. - The yield for money market funds increased slightly to 1.16%, up by 1 basis point, indicating a narrowing yield gap between cash management products and money market funds [13]. - The report indicates that yields for pure fixed-income products generally increased, while yields for fixed-income plus products decreased across various maturities [17]. Net Value Tracking - The report states that the net value ratio for wealth management products rose to 1.35%, an increase of 0.53 percentage points week-on-week, suggesting potential pressure on the products' performance [21]. - The report emphasizes the correlation between the net value ratio and credit spreads, indicating that if credit spreads continue to widen, the net value ratio may face upward pressure [21].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - The overall scale of the ETF market has slightly shrunk compared to the beginning of the year, with the number of listed funds increasing. The performance of different types of ETFs has shown significant differentiation, and the flow of funds has also changed marginally. The trading congestion of bond ETFs has decreased, while the trading of stock ETFs has shifted towards growth and technology. The issuance of ETFs has shown a trend of decline in the number of ongoing issuances and an increase in the number of waiting - to - be - issued products [3][58][72] 3. Summary by Directory 3.1 Scale: Total Expansion and Structural Stratification (Market/Product/Institution) 3.1.1 Market/Product Scale - As of March 20, 2026, the total scale of the entire market's ETFs reached 5.10 trillion yuan, a decrease of 0.92 trillion yuan from the beginning of the year. The number of listed funds increased to 1,458, with 55 new funds added. Stock - type ETFs were the main force in scale, but their scale decreased by 0.89 trillion yuan compared to the beginning of the year. Bond - type ETFs had the largest shrinkage in scale, while commodity - type ETFs increased by 8.2092 billion yuan. Cross - border ETFs added 10 new funds, indicating an increasing demand for diversified asset allocation [3][11][36] 3.1.2 Institution Scale - Last week, the ETF scale of leading institutions decreased by over 10 billion yuan, with the equity side generally under pressure. Only a few fixed - income and money - market directions received marginal support. The differentiation among institutions increased, with some institutions experiencing significant declines in both equity and ETF scales, while others showed relatively stable performance in the money - market segment [13][16] 3.2 Performance: Rise - Fall Differentiation and Valuation Position 3.2.1 Major Types of ETFs - Last week, the domestic equity market was generally weak, with broad - based indexes generally retreating. Small - and medium - cap indexes had larger declines, and their valuation quantiles were at high levels. Defensive sectors also failed to avoid the decline. Bond - type ETFs provided a hedge, and cross - border (QDII) ETFs were also weak. The valuation structure showed that core broad - based indexes were relatively stable, while growth and small - and medium - cap indexes had higher valuations and greater volatility [19][20][24] 3.2.2 CITIC First - Level Industry Index - The performance of industries last week showed obvious differentiation. Most industries had high valuation quantiles but different涨跌 trends. High - valuation sectors were concentrated in strong - performing industries, while low - valuation sectors were generally weak. High - valuation cyclical sectors were particularly under pressure [28] 3.2.3 Representative ETF Products - The current market shows obvious differentiation between high and low valuations, with defensive and risk - averse funds being active. In terms of scale, Huatai - Peregrine CSI 300 ETF ranked first. In terms of trading activity, bond - type ETFs were prominent, reflecting risk - averse sentiment. Some ETFs such as military - leading ETFs and dividend ETFs had high valuation quantiles, while others like Hang Seng Tech ETF and pharmaceutical ETFs had low valuations, which were attractive for long - term investors [30] 3.3 Funds: Sector Liquidity and Net Inflow Structure 3.3.1 Overall Market Overview: Scale and Net Redemption/Subscription - As of March 20, 2026, the market continued to expand, but different types of ETFs had different scale changes. Stock - type ETFs were still the main force, bond - type ETFs had the largest shrinkage, and commodity - type ETFs increased due to risk - averse demand [36] 3.3.2 Inside the Equity Market: Broad - Based vs. Industry/Theme vs. Strategy - As of March 20, 2026, the funds of major broad - based ETFs showed marginal improvement in the short - term, but the medium - term pressure of net outflows still existed. Long - term funds continued to migrate towards themes and cyclical sectors, while short - term funds showed a style - switching trend [48] 3.3.3 Leveraged Funds - Last week, there was an obvious differentiation between redemption/subscription and margin trading. Some broad - based ETFs had strong inflows of funds through both margin trading and subscription, while some products were mainly dominated by leveraged funds, and most products had weak short - term fund popularity [51] 3.4 ETF Trading Congestion 3.4.1 Trading Intensity - As of March 22, 2026, the total trading volume of the ETF market decreased compared to the previous week. Funds shifted from bonds to equities and cross - border assets. The trading activity of bond - type ETFs declined, and the turnover structure of stock - type ETFs shifted from defensive to growth and technology sectors [58][61][64] 3.5 Issuance Dynamics - Last week, the ETF issuance market continued to decline, with the number of ongoing issuances decreasing and the number of waiting - to - be - issued products increasing. The number of newly established funds increased significantly, and the supply side improved. However, the number of ETFs scheduled to be listed in the next two weeks is limited [72][74]

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - The core variable in the current market lies in the Middle East. Until the geopolitical uncertainty decreases or the commodity price volatility declines, the market will continue to be affected by event narratives and liquidity, and may even fall into a game of long - term expectations. A - shares will maintain a volatile market, with more structural opportunities than overall opportunities [3][13]. - In the equity market, it is recommended to focus on energy sectors related to the Middle East situation, "three - low" sectors with low valuation, low volatility, and low consensus, and sectors that can maintain high - growth independently regardless of geopolitics and oil prices [3][13]. - In the bond market, short - term yields are down while long - term yields are up, and the yield curve is moving towards a bearish steepening. In the short term, it is recommended to maintain a neutral or slightly lower duration, and credit bonds may offer better value [4][14]. Summary by Directory 1. Weekly Market Observation 1.1 Equity Market Review and Observation - Last week, the A - share market showed a volatile downward trend, with significant fluctuations in market sentiment. The average daily trading volume of the entire A - share market was 2209.1 billion yuan, a decrease compared to the previous week [12]. - Due to the ongoing blockage of shipping in the Strait of Hormuz and the unresolved Middle East situation, global risk assets accelerated their decline. Funds shifted from cyclical sectors sensitive to macro - fluctuations to technology and manufacturing sectors with independent industrial logic and long - term growth potential [12]. - AI hardware industry chains such as memory chips, CPO, PCB, and computing power leasing attracted market attention, driven by multiple industry benefits. In contrast, resource - related cyclical sectors such as non - ferrous metals and chemicals faced pressure and declined [12]. 1.2 Pan - Fixed - Income Market Review and Observation - Last week, the bond market showed a significant differentiation between short - and long - term yields. The 1 - year Treasury yield decreased by 2.00BP to 1.26%, the 10 - year Treasury yield increased by 1.56BP to 1.83%, and the 30 - year Treasury yield increased by 2.16BP to 2.39% [4][14]. - The bond market is currently in a volatile pattern. Short - term yields have been declining due to extreme risk - aversion, while long - term yields are rising due to concerns about intensifying geopolitical conflicts and increased imported inflation expectations. The yield curve is moving towards a bearish steepening [4][14]. - The US Treasury yields increased across the board last week. The 1 - year US Treasury yield increased by 14BP to 3.80%, the 2 - year US Treasury yield increased by 15BP to 3.88%, and the 10 - year US Treasury yield increased by 11BP to 4.39% [15]. - The performance of REITs was differentiated. The CSI REITs Total Return Index fell 0.13% to 1021.78 points. Affordable housing and expressways had the highest gains, while warehousing and logistics, environmental protection, etc. had the highest losses [15]. 2. Fund Index Performance Tracking 2.1 Equity Strategy Theme - Based Index - **Active Equity Fund Selection**: The index selects 15 funds each period, with equal - weight allocation. The core positions select active equity funds based on performance competitiveness and style stability, and balance the style distribution according to the CSI Equity - Oriented Fund Index [19]. 2.2 Investment Style - Based Index - **Value Equity Fund Selection**: The index selects 10 funds with deep - value, quality - value, and balanced - value styles, with the CSI 800 Value Index as the benchmark [19]. - **Balanced Equity Fund Selection**: The index selects 10 relatively balanced and value - growth style funds, with the CSI 800 as the benchmark [22]. - **Growth Equity Fund Selection**: The index selects 10 funds with active - growth, quality - growth, and balanced - growth styles, with the 800 Growth Index as the benchmark [26]. 2.3 Industry Theme - Based Index - **Pharmaceutical Equity Fund Selection**: The index selects 15 funds based on the intersection market value ratio of fund equity holdings and the representative index, with the CSI All - Index Pharmaceutical and Healthcare Index as the benchmark [28]. - **Consumer Equity Fund Selection**: The index selects 10 funds based on the intersection market value ratio of fund equity holdings and the representative index, with the consumer - theme fund index as the benchmark [32]. - **Technology Equity Fund Selection**: The index selects 10 funds based on the intersection market value ratio of fund equity holdings and the representative index, with the technology - theme fund index as the benchmark [35]. - **High - End Manufacturing Equity Fund Selection**: The index selects 10 funds based on the intersection market value ratio of fund equity holdings and the representative index, with the high - end manufacturing - theme fund index as the benchmark [38]. - **Cyclical Equity Fund Selection**: The index selects 5 funds based on the intersection market value ratio of fund equity holdings and the representative index, with the CS Cyclical Index as the benchmark [40]. 2.4 Money - Market Enhancement Index - **Money - Market Enhancement Strategy**: The index aims for liquidity management, targeting a curve that outperforms money - market funds. It mainly invests in money - market funds and inter - bank certificate of deposit index funds, with the CSI Money - Market Fund Index as the benchmark [45]. 2.5 Pure - Bond Index - **Short - Term Bond Fund Selection**: The index aims for liquidity management, selecting 5 funds with stable long - term returns, strict drawdown control, and significant absolute - return capabilities, with a benchmark of 50% Short - Term Pure - Bond Fund Index + 50% Ordinary Money - Market Fund Index [47]. - **Medium - and Long - Term Bond Fund Selection**: The index invests in medium - and long - term pure - bond funds, aiming for stable returns while controlling drawdowns. It selects 5 funds, balancing coupon strategies and band - trading operations, and adjusting the ratio of credit - bond funds and interest - rate - bond funds according to market conditions [50]. 2.6 Fixed - Income Plus Index - **Low - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 10%, selects 10 funds with an equity central position within 15% in the past three years and recently, with a benchmark of 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index [53]. - **Medium - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 20%, selects 5 funds with an equity central position between 15% - 25% in the past three years and recently, with a benchmark of 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index [55]. - **High - Volatility Fixed - Income Plus Selection**: The index has an equity central position of 30%, selects 5 funds with an equity central position between 25% - 35% in the past three years and recently, with a benchmark of 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index [56]. 2.7 Other Pan - Fixed - Income Index - **Convertible Bond Fund Selection**: The index selects 5 funds from a sample space of bond - type funds with a convertible - bond investment ratio meeting certain criteria, based on multiple evaluation indicators [60]. - **QDII Bond Fund Selection**: The index selects 6 funds with stable returns and good risk control based on credit and duration conditions, with underlying assets being overseas bonds [64]. - **REITs Fund Selection**: The index selects 10 funds with stable operations, reasonable valuations, and certain elasticity based on the underlying asset types of REITs [65].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core View of the Report The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and holdings of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies [11]. 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **HuaBao Research Large - Small Cap Rotation ETF Strategy Index**: Last week's index return was -2.18%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was 1.06% [12]. - **HuaBao Research SmartBeta Enhanced ETF Strategy Index**: Last week's index return was -3.18%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was 0.06% [12]. - **HuaBao Research Quantitative Fire - Wheel ETF Strategy Index**: Last week's index return was -5.49%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was -2.25% [12]. - **HuaBao Research Quantitative Balance Art ETF Strategy Index**: Last week's index return was -1.36%, the benchmark was SSE 300 with a return of -2.19%, and the excess return was 0.83% [12]. - **HuaBao Research Hot - Spot Tracking ETF Strategy Index**: Last week's index return was -5.24%, the benchmark was CSI All - Share Index with a return of -4.10%, and the excess return was -1.15% [12]. - **HuaBao Research Bond ETF Duration Strategy Index**: Last week's index return was 0.05%, the benchmark was ChinaBond Aggregate Index with a return of 0.00%, and the excess return was 0.05% [12]. 3.2 HuaBao Research Large - Small 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. The model outputs signals weekly to predict the strength of the index in the next week and determines the holdings accordingly to obtain excess returns relative to the market [13]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 27.36%, the excess return in the past month was 0.86%, and the excess return in the past week was 1.06%. The holdings included 100% of Huatai - Peregrine SSE 300 ETF (fund code: 510300.SH) [13][17]. 3.3 HuaBao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time the self - built Barra factors, and then maps the 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 [17]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 22.21%, the excess return in the past month was 3.51%, and the excess return in the past week was 0.06%. The holdings included Hongli Low - Volatility 100ETF (25.46%, fund code: 515100.SH), High - Dividend ETF (25.19%, fund code: 563180.SH), Wanjia Free Cash Flow 800ETF (24.68%, fund code: 563580.SH), and ICBC Hongli ETF (24.66%, fund code: 159905.SZ) [17][21]. 3.4 HuaBao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of the medium - and long - term fundamental dimension, 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 dig out potential sectors to obtain excess returns relative to the market [21]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 48.36%, the excess return in the past month was - 0.14%, and the excess return in the past week was - 2.25%. The holdings included Penghua Petroleum ETF (22.39%, fund code: 159697.SZ), Electronic ETF (19.86%, fund code: 159997.SZ), Fuguo Tourism ETF (19.43%, fund code: 159766.SZ), Cathay Building Materials ETF (19.26%, fund code: 159745.SZ), and Chemical ETF (19.06%, fund code: 159870.SZ) [21][25]. 3.5 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 large - small cap style to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation [25]. - **Performance**: As of 2026/3/20, the excess return since 2024 was - 8.00%, the excess return in the past month was 1.25%, and the excess return in the past week was 0.83%. The holdings included Cathay 10 - Year Treasury Bond ETF (9.19%, fund code: 511260.SH), Enhanced 500ETF (6.37%, fund code: 159610.SZ), Southern CSI 1000ETF (6.18%, fund code: 512100.SH), Cathay SSE 300 Enhanced ETF (32.52%, fund code: 561300.SH), Fuguo Government Financial Bond ETF (22.95%, fund code: 511520.SH), and Haifutong Short - Term Financing ETF (22.77%, fund code: 511360.SH) [25][28]. 3.6 HuaBao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and digs out hot - spot index target products in a timely manner according to strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction, and constructs an ETF portfolio that can capture market hot - spots in a timely manner to provide investors with a reference for short - term market trends and help them make more informed investment decisions [28]. - **Performance**: As of 2026/3/20, the excess return in the past month was - 3.41%, and the excess return in the past week was - 1.15%. The holdings included Huitianfu Non - Ferrous Metals ETF (39.17%, fund code: 159652.SZ), Boshi Hong Kong Stock Dividend ETF (24.78%, fund code: 513690.SH), Haifutong Short - Term Financing ETF (18.24%, fund code: 511360.SH), and E Fund Hong Kong Stock Connect Pharmaceutical ETF (17.81%, fund code: 513200.SH) [28][32]. 3.7 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 [32]. - **Performance**: As of 2026/3/20, the excess return in the past month was 0.24%, and the excess return in the past week was 0.05%. The holdings included Cathay 10 - Year Treasury Bond ETF (49.96%, fund code: 511260.SH), Fuguo Government Financial Bond ETF (25.09%, fund code: 511520.SH), and Ping An Treasury Bond ETF (24.95%, fund code: 511020.SH) [32][35].

Group 1 - The report indicates that the bond market has become somewhat numb to external risks, with a prevailing high level of cautious sentiment. It is expected that the yield on 10-year government bonds will continue to fluctuate above 1.80% in the short term, with overall smaller fluctuations in coupon strategies [2][3][13] - The stock market is experiencing unpredictable volatility, and investors are advised to remain patient. Global markets are gradually pricing in a "prolonged conflict," leading to a decline in risk appetite. Despite China's relative resilience, the A-share market may face pressure in the short term due to seasonal factors and external disturbances. The report suggests focusing on broad indices like the CSI 300 and defensive sectors such as low-volatility dividends and high-growth technology hardware to hedge against volatility risks [3][11][14] Group 2 - The report highlights that the A-share market has shown a decline, with the Shanghai Composite Index dropping by 3.38% and the Wind All A Index falling by 4.13%. Concerns over a prolonged conflict in the Middle East have led to increased worries about energy crises, rising inflation, and changes in monetary policy, further suppressing global risk appetite [11][14] - The domestic macro multi-asset model has achieved a one-year return of 12.66%, exceeding the benchmark by 3.93%. The Sharpe ratio for the same period stands at 1.83, significantly higher than the benchmark's 1.19, indicating strong performance [22][24] - The global macro multi-asset model has recorded a one-year return of 11.60%, surpassing the benchmark by 2.87%. The Sharpe ratio for this model is 1.58, also exceeding the benchmark's 1.19, reflecting effective asset allocation strategies [22][28]

Investment Rating - The report indicates a positive investment rating for the banking wealth management industry, highlighting a transition towards quality improvement following the implementation of the regulatory rating system [4][11]. Core Insights - The introduction of the "Interim Measures for the Regulatory Rating of Wealth Management Companies" marks a significant step in establishing a unified and systematic regulatory framework for wealth management firms in China, promoting a shift from scale expansion to quality enhancement [4][11][12]. - The regulatory framework emphasizes asset management capabilities and risk management, reducing the focus on scale-related assessments, thereby providing clear operational guidance for wealth management companies [18][19]. - Recent innovations in the industry include diversified investment strategies, such as 招银理财's "嘉裕稳进" series, which combines various strategies to capture multi-dimensional returns amid market uncertainties [21][22]. Summary by Sections Regulatory and Industry Dynamics - The regulatory rating system was officially implemented on March 16, 2026, aiming to enhance the regulatory framework for wealth management companies and promote quality over quantity in operations [4][11]. - The development of this regulatory framework has been a gradual process over four years, with previous measures laying the groundwork for the current system [12][13]. Yield Performance - For the week of March 9-15, 2026, cash management products recorded an annualized yield of 1.25%, a decrease of 2 basis points from the previous week, while money market funds yielded 1.15%, down by 1 basis point [23][25]. - The yield performance of fixed-income products varied, with most experiencing declines, influenced by geopolitical uncertainties and inflation narratives [28][30]. Net Value Tracking - The net value ratio of banking wealth management products was reported at 0.85%, an increase of 0.11 percentage points week-on-week, indicating potential pressure on the products if credit spreads continue to widen [32][35].