New Stock Listings - The new stock "昊创瑞通" (code: 301668) is listed at an issuance price of 21.00 on September 26, 2025[1] - "上纬新材" (code: 688585) is undergoing a tender offer from September 29 to October 28, 2025[1] Market Alerts - "紫天退" (code: 300280) is in the delisting preparation period with 5 trading days remaining[1] - "开普云" (code: 688228) has reported severe abnormal fluctuations[1] Recent Announcements - "博瑞医药" (code: 688166) and "科思科技" (code: 688788) have recent announcements linked for further details[1] - "园林股份" (code: 605303) and "中环海陆" (code: 301040) also have recent disclosures available[1] Trading Insights - The report includes various stocks with their respective codes and recent trading activities, indicating a dynamic market environment[1] - The document highlights the importance of monitoring stock performance and regulatory announcements for investment decisions[1]

New Stock Listings - Jin Hua New Materials (920015) issued at a price of 18.15[1] - United Power (301656) issued at a price of 12.48[1] - Jianfa Zhixin (301584) issued at a price of 7.05[1] Rights Issues and Announcements - Offer period for Upwind New Materials (688585) from September 29 to October 28, 2025[1] - Last trading day for Zitian Tui (300280) is in 6 trading days[1] Abnormal Fluctuations - Significant abnormal fluctuations reported for multiple stocks including Xian Dao Intelligent (300450) and Hangke Technology (688006)[1] - Various stocks under observation for abnormal trading activities, including Kaipu Cloud (688228) and Zhonghuan Hailu (301040)[1]

Quantitative Factors and Construction 1. Factor Name: Market Style Factors - **Construction Idea**: The market style factors track the performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth, to identify prevailing market trends and shifts in investor preferences [12][14] - **Construction Process**: - **Size Style**: Measure the relative performance of small-cap stocks versus large-cap stocks - **Value-Growth Style**: Measure the relative performance of value-oriented stocks versus growth-oriented stocks - **Volatility Metrics**: Calculate the volatility of each style to assess the stability of the trend - **Evaluation**: These factors provide insights into the dominant market style and its stability, which can guide portfolio allocation strategies [12][14] 2. Factor Name: Market Structure Factors - **Construction Idea**: These factors analyze the dispersion and concentration of returns across industries and stocks to understand market breadth and sector rotation [12][14] - **Construction Process**: - **Industry Excess Return Dispersion**: Measure the spread of excess returns across industry indices - **Sector Rotation Speed**: Quantify the rate at which different sectors outperform or underperform - **Stock Concentration**: Calculate the proportion of total market turnover contributed by the top 100 stocks and the top 5 industries - **Evaluation**: These factors help identify whether the market is driven by a few sectors or stocks, or if performance is more evenly distributed [12][14] 3. Factor Name: Market Activity Factors - **Construction Idea**: These factors measure the overall activity and liquidity in the market, including volatility and turnover rates, to gauge investor participation and sentiment [13][14] - **Construction Process**: - **Market Volatility**: Calculate the standard deviation of market returns over a specific period - **Turnover Rate**: Measure the trading volume relative to the total market capitalization - **Evaluation**: These factors are useful for assessing market sentiment and liquidity conditions, which are critical for timing and risk management [13][14] 4. Factor Name: Commodity Market Factors - **Construction Idea**: These factors track trends, momentum, and liquidity in commodity markets to identify opportunities and risks in different commodity sectors [24][30] - **Construction Process**: - **Trend Strength**: Measure the directional movement in commodity prices for sectors like metals, energy, and agriculture - **Basis Momentum**: Calculate the change in the basis (spot price minus futures price) over time - **Volatility**: Assess the price fluctuations in commodity indices - **Liquidity**: Measure the trading volume and bid-ask spread in commodity markets - **Evaluation**: These factors provide a comprehensive view of commodity market dynamics, aiding in asset allocation and hedging strategies [24][30] 5. Factor Name: Option Market Factors - **Construction Idea**: These factors analyze implied volatility and skewness in option markets to infer market expectations and risk sentiment [33][34] - **Construction Process**: - **Implied Volatility**: Measure the market's expectation of future volatility for indices like SSE 50 and CSI 1000 - **Option Skewness**: Calculate the difference in implied volatility between out-of-the-money calls and puts to assess directional bias - **Evaluation**: These factors are valuable for understanding market sentiment and hedging demand, especially during periods of uncertainty [33][34] 6. Factor Name: Convertible Bond Market Factors - **Construction Idea**: These factors evaluate the valuation and liquidity of convertible bonds to identify market trends and investment opportunities [36][39] - **Construction Process**: - **Conversion Premium**: Measure the difference between the market price of the bond and its conversion value - **Low Premium Proportion**: Calculate the proportion of bonds with low conversion premiums - **Market Liquidity**: Assess the trading volume and turnover in the convertible bond market - **Evaluation**: These factors provide insights into the attractiveness and liquidity of convertible bonds, which are important for fixed-income and hybrid strategies [36][39] --- Backtesting Results of Factors 1. Market Style Factors - **Size Style**: Small-cap outperformed large-cap during the week [12][14] - **Value-Growth Style**: Growth stocks outperformed value stocks during the week [12][14] - **Volatility**: Size style volatility decreased, while value-growth style volatility increased [12][14] 2. Market Structure Factors - **Industry Excess Return Dispersion**: Remained stable compared to the previous week [12][14] - **Sector Rotation Speed**: Decreased compared to the previous week [12][14] - **Stock Concentration**: Top 100 stocks and top 5 industries maintained their turnover proportions [12][14] 3. Market Activity Factors - **Market Volatility**: Slightly decreased during the week [13][14] - **Turnover Rate**: Remained at a high level over the past year [13][14] 4. Commodity Market Factors - **Trend Strength**: Increased for metals and precious metals, decreased for energy commodities [24][30] - **Basis Momentum**: Declined across all commodity sectors [24][30] - **Volatility**: Increased slightly across all commodity sectors [24][30] - **Liquidity**: Showed mixed performance across different sectors [24][30] 5. Option Market Factors - **Implied Volatility**: SSE 50 and CSI 1000 remained in a range-bound state [33][34] - **Option Skewness**: Call skewness decreased, indicating reduced bullish sentiment [33][34] 6. Convertible Bond Market Factors - **Conversion Premium**: Stable for bonds priced around par value [36][39] - **Low Premium Proportion**: Increased significantly, indicating rising demand for low-premium bonds [36][39] - **Market Liquidity**: Maintained healthy trading levels [36][39]

Group 1 - The report highlights that the A-share market has shown strong support above 3800 points, with the Shanghai Composite Index experiencing a quick pullback after approaching 3900 points, indicating a potential upward trend despite short-term fluctuations [2][3] - The Federal Reserve has restarted its interest rate cut cycle, lowering the rate range to 4%-4.25%, with a significant proportion of policymakers supporting an additional 50 basis points cut within the year, which is expected to enhance global market liquidity [2][3] - The report suggests that the current market environment allows for a gradual accumulation of positions, with a focus on strategies that can benefit from the anticipated upward movement after market consolidation [3][4] Group 2 - The quantitative strategy allocation is recommended as follows: equity enhancement strategy > overseas equity strategy > evergreen low-volatility strategy, indicating a preference for strategies that can adapt to market conditions [3][4] - The evergreen low-volatility fund strategy has shown a return of -0.726% this week, while the equity enhancement fund strategy has returned 0.186%, reflecting the current market's rapid rotation and the challenges in sustaining strong performance across styles or sectors [5][11] - The overseas equity allocation fund strategy recorded a return of 0.790% this week, benefiting from easing trade tensions and strong earnings reports from tech companies, suggesting a positive outlook for U.S. equities in the medium to long term [4][6] Group 3 - The report emphasizes the importance of constructing a diversified fund selection pool using quantitative methods to meet the varying needs of investors in different market environments and risk preferences [22][23] - The evergreen low-volatility fund strategy aims to select funds with long-term stable return characteristics, focusing on minimizing net value volatility while maintaining decent returns [25][26] - The overseas equity allocation fund strategy is designed to complement A-share investments, leveraging the global technology growth driven by artificial intelligence, thus enhancing overall portfolio returns [20][24]

New Stock Listings - YouSheng Co., Ltd. (Stock Code: 603418) listed at an issue price of 46.36 RMB on September 23, 2025[1] - ZhiTianTui (Stock Code: 300280) is in the delisting preparation period with 8 trading days remaining[1] - ZhongHuanHaiLu (Stock Code: 301040) and JiShiChuanMei (Stock Code: 601929) have recent announcements regarding trading activities[1] Trading Alerts - XianDaoZhiNeng (Stock Code: 300450) reported severe abnormal fluctuations in trading[1] - HangKeKeJi (Stock Code: 688006) and YuanLinCo (Stock Code: 605303) have recent trading alerts[1] - Multiple stocks including YunNanLvYou (Stock Code: 002059) and *STMuBang (Stock Code: 603398) have recent announcements related to trading activities[1] Market Trends - A total of 30 stocks have been flagged for abnormal trading activities in the past week, indicating increased market volatility[1] - The recent trading patterns suggest a potential shift in investor sentiment, particularly in the technology and media sectors[1]

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report highlights a significant trend in the banking wealth management sector, with companies increasingly focusing on index-based products to enhance their offerings and meet market demands [4][11] - The collaboration between financial institutions, such as the partnership between Huaxia Wealth and Huaxia Fund, aims to create a robust index ecosystem to support high-quality development in asset management [13][14] - The report notes the successful IPO of Hesai Technology, marking a significant event in the market, with postal wealth management participating in this investment [15][16] - The introduction of the Shanghai Sci-Tech Financial Theme Wealth Management Product by Puyin Wealth Management reflects a strategic move to align with national innovation policies and support local tech enterprises [18] Summary by Sections 1. Regulatory and Industry Dynamics - Wealth management companies are actively launching index-based products, with an increase in both the number and issuance of such products in the market [4][11] - The core motivation for this shift includes reducing active management risks, enhancing strategy transparency, and meeting customized client demands through self-constructed indices [12] 2. Peer Innovation Dynamics - Huaxia Wealth and Huaxia Fund have signed a memorandum to deepen cooperation in the index business, aiming to build a market-influential index ecosystem [13][14] - Puyin Wealth Management has launched a new product focused on technology finance, raising 220 million yuan to support quality tech enterprises in Shanghai [18] 3. Yield Performance - Cash management products recorded a 7-day annualized yield of 1.29%, remaining stable compared to the previous week, while money market funds saw a slight increase to 1.19% [19][20] - The report indicates a general recovery in annualized yields for fixed-income products across various maturities [23][27] 4. Net Value Tracking - The net value ratio of banking wealth management products decreased to 2.04%, down by 0.61 percentage points, indicating a positive trend in credit spreads [29][32]

Group 1 - The core idea of the report emphasizes the grid trading strategy, which is a high buy-low sell approach that capitalizes on price fluctuations rather than predicting market trends, making it suitable for volatile markets [3][11] - The report identifies key characteristics for suitable grid trading targets, including selecting on-market assets, stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being particularly appropriate [3][11] Group 2 - The report highlights two main ETFs for grid trading: - The New Economy ETF (159822.SZ), which focuses on high-quality new economy leaders in China, aligning with government initiatives to promote technological and industrial innovation, and indirectly tracks the S&P China New Economy Index [3][12] - The Financial ETF (510230.SH), which provides a defensive high dividend yield through banks and captures performance recovery through securities and insurance sectors, with banks showing a dividend yield of 5.86% as of June 30, 2025, significantly above market averages [4][14] - The report suggests that investors can enhance returns by combining multiple ETFs with low correlation, such as mixing broad-based and sector-specific ETFs or combining A-shares and Hong Kong stocks [14][16]

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - The Shanghai Composite Index approached the 3900 - point mark last week but was dragged down by leading stocks in heavy - weight sectors. The market was high - level volatile, with a structural profit - making effect. High - quality industry leaders, especially globally competitive companies, showed strength. The growth style outperformed the value style, and the market activity increased. The "going global" trend may present a structural opportunity [13]. - The "catch - up" trend of the Hang Seng Tech Index can be attributed to the upward revision of the profit expectations of the Hong Kong stock technology sector and factors on the denominator side such as a stable geopolitical environment and interest - rate cut expectations. If the Fed cuts interest rates continuously in Q4, Chinese assets represented by Hong Kong stocks may attract more foreign capital [5][14]. - The valuation logic of upstream resource stocks has shifted from a cyclical to a DCF model. After the short - term speculative funds withdraw, the resource sector is expected to return to fundamental - driven growth. The photovoltaic sector has rebounded, and the subsequent development depends on policy implementation. The energy - storage sector has opportunities for valuation restoration [5][15]. 3. Summary by Relevant Catalogs 3.1 Equity Market Review and Observation - **Market Performance**: From September 15 - 19, 2025, the Shanghai Composite Index neared 3900 points but was pulled down by heavy - weight sectors. The growth style outperformed the value style, with the Shanghai Composite Index down 1.30%, the ChiNext Index up 2.34%, and the Hang Seng Tech Index up 5.09%. The market activity increased, with the average daily trading volume of the whole A - shares reaching 2.5163 trillion [13]. - **Policy and Opportunities**: The Sino - US leaders' phone call and previous policies may drive the "going global" trend as a structural opportunity. The market is re - pricing high - quality industry leaders [13]. - **Sector Analysis** - **Hang Seng Tech**: The profit expectations of the Hong Kong stock technology sector are rising, and factors like a stable geopolitical environment and interest - rate cut expectations are driving the "catch - up" trend. If the Fed cuts interest rates in Q4, more foreign capital may flow in [5][14]. - **Resources**: The valuation logic of resource stocks has shifted. After short - term speculative funds leave, the sector will be driven by fundamentals [5][15]. - **Photovoltaic and Energy Storage**: The photovoltaic sector has rebounded due to anti - involution efforts, and the energy - storage sector has opportunities for valuation restoration driven by policies and improved sentiment [5][15]. 3.2 Active Equity Fund Index Performance Tracking - **Performance of Different Indexes** - **Active Stock Fund Preferred Index**: Up 0.80% last week, with a cumulative excess return of 13.06% since its establishment [7]. - **Value Stock Fund Preferred Index**: Down 0.48% last week, with a cumulative excess return of 5.03% since its establishment [7]. - **Balanced Stock Fund Preferred Index**: Up 0.62% last week, with a cumulative excess return of 9.60% since its establishment [7]. - **Growth Stock Fund Preferred Index**: Up 1.18% last week, with a cumulative excess return of 15.85% since its establishment [7]. - **Pharmaceutical Stock Fund Preferred Index**: Down 2.53% last week, with a cumulative excess return of 20.73% since its establishment [7]. - **Consumer Stock Fund Preferred Index**: Up 0.77% last week, with a cumulative excess return of 22.39% since its establishment [7]. - **Technology Stock Fund Preferred Index**: Up 2.12% last week, with a cumulative excess return of 21.07% since its establishment [7]. - **High - end Manufacturing Stock Fund Preferred Index**: Up 2.13% last week, with a cumulative excess return of - 3.47% since its establishment [7]. - **Cyclical Stock Fund Preferred Index**: Down 4.24% last week, with a cumulative excess return of - 2.77% since its establishment [7]. - **Index Positioning and Benchmarks** - **Active Stock Fund Preferred Index**: Selects 15 funds equally weighted, with the core positions selected based on performance competitiveness and style stability, and balanced according to the style distribution of the CSI Active Equity Fund Index. The benchmark is the Active Stock Fund Index (930980.CSI) [17]. - **Value Stock Fund Preferred Index**: Selects 10 funds with deep - value, quality - value, and balanced - value styles. The benchmark is the CSI 800 Value Index (H30356.CSI) [19][20]. - **Balanced Stock Fund Preferred Index**: Selects 10 relatively balanced and value - growth style funds. The benchmark is the CSI 800 Index (000906.SH) [20]. - **Growth Stock Fund Preferred Index**: Selects 10 actively - growing, quality - growing, and balanced - growing style funds. The benchmark is the 800 Growth Index (H30355.CSI) [23][25]. - **Pharmaceutical Stock Fund Preferred Index**: Selects 15 funds based on the intersection of equity holdings and the pharmaceutical index, with a benchmark of the pharmaceutical theme fund index [24]. - **Consumer Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and consumer - related indexes, with a benchmark of the consumer theme fund index [28]. - **Technology Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and technology - related indexes, with a benchmark of the technology theme fund index [30]. - **High - end Manufacturing Stock Fund Preferred Index**: Selects 10 funds based on the intersection of equity holdings and high - end manufacturing - related indexes, with a benchmark of the high - end manufacturing theme fund index [34]. - **Cyclical Stock Fund Preferred Index**: Selects 5 funds based on the intersection of equity holdings and cyclical - related indexes, with a benchmark of the cyclical theme fund index [36][38].

Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - The bond market in China showed a pattern of rising first and then falling last week, with large yield fluctuations throughout the week. The domestic bond market is likely to maintain a volatile trend in the short - term, and the 10 - year Treasury yield may oscillate around the 1.75% - 1.80% range. [10] - The US Treasury yield curve rose last week. After the Federal Reserve cut interest rates, the yield went up due to various factors. [11] - The REITs market had a dull performance last week, with the CSI REITs Total Return Index rising slightly, and different types of REITs showing mixed performance. Policy support for REITs issuance in certain consumption infrastructure projects was introduced. [11] Summary by Directory 1. Weekly Market Observation 1.1. Pan - Fixed - Income Market Review and Observation - **Domestic Bond Market**: From September 15 - 19, 2025, the 1 - year Treasury yield dropped 1BP to 1.39%, the 10 - year yield rose 1.19BP to 1.88%, and the 30 - year yield rose 1.56BP to 2.20%. The market sentiment was affected by factors such as central bank bond - buying expectations and bond issuance results. [10] - **US Treasury Bonds**: The 1 - year US Treasury yield dropped 6BP to 3.60%, the 2 - year yield rose 1BP to 3.57%, and the 10 - year yield rose 8BP to 4.14%. The yield was influenced by economic data, the Federal Reserve's interest - rate cut, and labor - market data. [11] - **REITs Market**: The CSI REITs Total Return Index rose 0.12% to 1071.34 points. Different types of REITs had mixed performance, with data centers and warehousing logistics performing relatively well. As of September 19, 2025, 16 REITs were successfully issued this year, with a total issuance scale of 33.65 billion yuan. One new public offering REIT was established last week. [11][12] 1.2. Public Fund Market Dynamics - On September 12, Guozheng Index announced the release of the Guozheng Free Cash Flow Market - Making Bond Mixed Index series on September 17, including four indices with different asset - allocation weights. [13] 2. Pan - Fixed - Income Fund Index Performance Tracking | Index Type | Last Week's Return | One - Month Return | YTD Return | Cumulative Return Since Inception | | --- | --- | --- | --- | --- | | Money Enhancement Index | 0.03% | 0.12% | 1.10% | 4.07% | | Short - Term Bond Fund Selection | 0.03% | 0.09% | 0.79% | 4.20% | | Medium - and Long - Term Bond Fund Selection | 0.04% | 0.00% | 0.48% | 6.11% | | Low - Volatility Fixed - Income + Fund Selection | - 0.05% | 0.48% | 2.51% | 3.80% | | Medium - Volatility Fixed - Income + Fund Selection | 0.03% | 1.20% | 4.59% | 5.12% | | High - Volatility Fixed - Income + Fund Selection | - 0.07% | 1.20% | 7.06% | 6.80% | | Convertible Bond Fund Selection | - 1.37% | 0.44% | 15.60% | 19.22% | | QDII Bond Fund Selection | 0.11% | 0.99% | 5.05% | 10.13% | | REITs Fund Selection | - 1.01% | 3.62% | 27.09% | 36.17% | [5][14][15] 2.1. Money Enhancement Index Tracking - The money enhancement strategy index aims for liquidity management and a curve that outperforms money - market funds. It mainly invests in money - market funds and inter - bank certificate of deposit index funds, with a benchmark of the CSI Money Fund Index. [16] 2.2. Pure Bond Index Tracking - **Short - Term Bond Fund Selection Index**: It focuses on liquidity management and risk control, mainly investing in five funds with stable long - term returns and strict risk control, with a benchmark of 50% Short - Term Pure Bond Fund Index + 50% Ordinary Money - Market Fund Index. [19] - **Medium - and Long - Term Bond Fund Selection Index**: It invests in medium - and long - term pure bond funds, aiming for stable returns and controlling drawdowns. It selects funds with both return and risk - control capabilities and adjusts the portfolio according to market conditions. [21] 2.3. Fixed - Income + Index Tracking - **Low - Volatility Fixed - Income + Selection Index**: With an equity central position of 10%, it selects 10 fixed - income + funds with an equity position within 15%, aiming for a balance between risk and return and a good holding experience, with a benchmark of 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index. [24] - **Medium - Volatility Fixed - Income + Selection Index**: With an equity central position of 20%, it selects five fixed - income + funds with an equity position between 15% - 25%, emphasizing performance elasticity on the basis of risk - return ratio, with a benchmark of 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index. [25] - **High - Volatility Fixed - Income + Selection Index**: With an equity central position of 30%, it selects five fixed - income + funds with an equity position between 25% - 35%, focusing on funds with strong stock - selection ability on the equity side and stable bond - end returns, with a benchmark of 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index. [28] 2.4. Convertible Bond Fund Selection Index - It selects bond - type funds with a high proportion of convertible - bond investment as the sample space, and constructs an evaluation system from multiple dimensions to select five funds to form the index. [28][31] 2.5. QDII Bond Fund Selection Index Tracking - It selects six QDII bond funds with stable returns and good risk control based on credit and duration conditions, with underlying assets of overseas bonds. [32] 2.6. REITs Fund Selection Index Tracking - It selects ten REITs funds with stable operation, reasonable valuation, and certain elasticity based on the type of underlying assets, which are mainly infrastructure projects with stable cash - flow expectations. [35]

Report Overview - The report is a weekly update on public - offering funds, specifically focusing on the tracking of ETF strategy indices as of September 22, 2025 [1] Core Viewpoints - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and positions on a weekly basis [12] Index - Specific Summaries 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices from September 12 - 19, 2025, including their weekly returns, benchmark returns, and excess returns [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. It outputs weekly signals to determine positions and obtain excess returns. - **Performance**: As of September 19, 2025, the excess return since 2024 is 18.52%, the recent one - month excess return is - 0.48%, and the recent one - week excess return is - 0.17% [14] 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposures to 9 major Barra factors to outperform the market. - **Performance**: As of September 19, 2025, the excess return since 2024 is 17.22%, the recent one - month excess return is 1.25%, and the recent one - week excess return is 0.83% [18] 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: Adopts a multi - factor approach, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behaviors. It uses valuation and crowding signals to indicate industry risks and identify potential sectors. - **Performance**: As of September 19, 2025, the excess return since 2024 is 24.66%, the recent one - month excess return is 8.37%, and the recent one - week excess return is 1.07% [22] 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: Employs a multi - factor system covering economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend analysis. It also predicts the large - small cap style to adjust equity market positions. - **Performance**: As of September 19, 2025, the excess return since 2024 is - 9.37%, the recent one - month excess return is - 2.00%, and the recent one - week excess return is 0.28% [27] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, major industry events, investor sentiment, professional opinions, policy changes, and historical trends to identify hot - spot index products and build an ETF portfolio to capture market trends. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.59%, and the recent one - week excess return is - 1.88% [30] 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. It reduces long - duration positions when expected yields are below a certain threshold. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.34%, and the recent one - week excess return is 0.04% [33]