2025 年 04 月 01 日 证券研究报告 | 公募基金周报 常青低波策略逆市获正收益，海外避险情绪或近尾声 公募基金量化遴选类策略指数跟踪周报（2025.03.30） 分析师：程秉哲 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师：黄浩 分析师登记编码：S0890524110001 电话：021-20321391 邮箱：huanghao@cnhbstock.com 销售服务电话： 021-20515355 1 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/3/31》2025-03-31 2、《常青低波策略占优，海外权益企稳 反弹—公募基金量化遴选类策略指数跟 踪周报（2025.03.23）》2025-03-25 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/3/21》2025-03-24 4、《ETF 策略指数跟踪周报—2025/3/》 2025-03-18 5、《市场关注消费提振新闻发布会，再 次点燃 A 股热情—公募基金量化遴选类 投资要点 本周 A 股市场在上周从高位回 ...

2025/4/1 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 2025 年 04 月 01 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 销售服务电话： 021-20515355 2025/3/25》2025-03-25 2、《ETF 及指数产品网格策略周报— 2025/3/18》2025-03-18 3、《ETF 及指数产品网格策略周报— 2025/3/11》2025-03-11 4、《ETF 及指数产品网格策略周报— 2025/3/4》2025-03-04 5、《ETF 及指数产品网格策略周报— 2025/2/26》2025-02-26 投资要点 分析师：程秉哲 ◆网格交易策略概述：简单来说，"网格交易"本质上是一种高抛低吸的交易 策略。但与依赖判断长期走势的趋势交易不同，网格交易是一种基于价格波动 的策略，它不预测市场的具体走势，而是利用价格在一 ...

New Stock Issuance - New stock issuance includes 泰禾股份 at an issuance price of 10.27 and 信凯科技 at 12.80[1] - The total number of new stocks issued is not specified, but the focus is on the pricing of these stocks[1] Market Alerts - 成大生物 is undergoing a tender offer from March 5 to April 3, 2025[1] - 神开股份 has reported severe abnormal fluctuations in its stock price[1] - Multiple companies, including 中毅达 and 回盛生物, have recent announcements regarding their stock activities[1] Abnormal Fluctuations - A list of companies experiencing abnormal fluctuations includes *ST工智 and 河化股份, with announcements dated March 31, 2025[1] - The report highlights the need for investors to monitor these fluctuations closely due to potential impacts on stock performance[2]

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices constructed with the help of ETFs, which can transform quantitative models or subjective views into practical investment strategies. The performance and positions of these indices are tracked on a weekly basis [11]. 3. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of 0.01%, a benchmark return of - 0.24%, and an excess return of 0.25%. The data is as of 2025/3/28, and the last - week return calculation period is from 2025/3/21 to 2025/3/28 [12]. 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 indices in the next week and determines positions accordingly to obtain excess returns relative to the market [13]. - **Performance**: As of 2025/3/28, the excess return since 2024 was 16.29%, the excess return in the past month was - 0.07%, and the excess return in the past week was 0.25%. The position was 100% in the CSI 300 ETF [13][16]. 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 achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [16]. - **Performance**: As of 2025/3/28, the excess return since 2024 was 14.75%, the excess return in the past month was 0.59%, and the excess return in the past week was 0.93%. The positions were 73.37% in the Dividend Low - Volatility ETF and 26.63% in the Value 100 ETF [16][21]. 1.3. Huabao Research Quantitative Windmill 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 indicate industry risks and multi - dimensionally explores potential sectors to obtain excess returns relative to the market [20]. - **Performance**: As of 2025/3/28, the excess return since 2024 was - 0.11%, the excess return in the past month was - 1.33%, and the excess return in the past week was - 0.68%. The positions included the Bank ETF, Auto ETF, Media ETF, etc. [20][23]. 1.4. Huabao Research Quantitative Balance 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 analysis of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution in the equity market and obtains excess returns through comprehensive timing and rotation [23]. - **Performance**: As of 2025/3/28, the excess return since 2024 was - 0.50%, the excess return in the past month was - 0.30%, and the excess return in the past week was 0.03%. The positions included the 10 - Year Treasury Bond ETF, CSI 1000 ETF, etc. [23][27]. 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, tracking of major industry events, 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 references for short - term market trends and help them make more informed investment decisions [27]. - **Performance**: As of 2025/3/28, the excess return in the past month was 0.25%, and the excess return in the past week was 0.45%. The positions included the Real Estate ETF, Hong Kong Consumption ETF, etc. [27][30]. 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 below a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [31]. - **Performance**: As of 2025/3/28, the excess return in the past month was 0.43%, and the excess return in the past week was 0.00%. The positions included the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, etc. [31][32].

Group 1 - The report highlights the ongoing recovery in the bond market, driven by the central bank's unexpected MLF operations, but notes that a long-term trend requires further monetary policy easing or changes in economic fundamentals [1][12]. - In the stock market, the report suggests focusing on undervalued sectors such as steel, oil and petrochemicals, and coal, while waiting for further policy initiatives or clarity on U.S. tariff policies before making aggressive investments [2][12]. - The report indicates that the A-share market is experiencing weak fluctuations, with a notable shift of funds from high-valuation sectors to defensive sectors like pharmaceuticals and food and beverage [10][20]. Group 2 - The report mentions that the U.S. consumer confidence index has dropped to its lowest level in over two years, influenced by tariff impacts, while long-term inflation expectations have reached a 32-year high [9][10]. - It notes that the core PCE price index in the U.S. increased by 2.8% year-on-year, marking the highest level since December 2024, which has raised concerns about stagflation [10][12]. - The report emphasizes the importance of monitoring the upcoming U.S. tariff policy announcement on April 2, as better-than-expected outcomes could lead to a short-term recovery in U.S. stocks [13].

| 新股发行及今日交易提示 | 2025/3/28 | 星期五 | | | | | | --- | --- | --- | --- | --- | --- | --- | | 2025/3/28 | 新股发行 | 证券代码 | 证券简称 | 发行价格 | | | | 732210 | 泰鸿万立 | 8.60 | 2025/3/28 | 新股上市 | | | | 证券代码 | 证券简称 | 发行价格 | 920029 | 开发科技 | 30.38 | | | 2025/3/28 | 内地市场权益提示 | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=688739&announcementId=1222921245&orgI | 要约收购 | 688739 | 成大生物 | 要约申报期：2025年3月5日至2025年4月3日 | d=gfbj0831550&announcementTime=2025 | -03-28 | | http://www.cninfo.com.cn ...

| 新股发行及今日交易提示 | 2025/3/27 | 星期四 | | | | | | --- | --- | --- | --- | --- | --- | --- | | 2025/3/27 | 新股上市 | 证券代码 | 证券简称 | 发行价格 | | | | 301616 | 浙江华业 | 20.87 | 301535 | 浙江华远 | 4.92 | | | 2025/3/27 | 内地市场权益提示 | 类别 | 证券代码 | 证券简称 | 权益日期 | 最新公告链接 | | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=688739&announcementId=1222856975&orgI | 要约收购 | 688739 | 成大生物 | 要约申报期：2025年3月5日至2025年4月3日 | d=gfbj0831550&announcementTime=2025 | -03-21 | | http://www.cninfo.com.cn/new/disclosure/detail?stockCode=600610&announ ...

Core Insights - The report highlights that the "Evergreen Low Volatility Strategy" is currently outperforming, while overseas equity markets are stabilizing and rebounding [3][4][5]. Group 1: Market Overview - The A-share market experienced a pullback after failing to maintain momentum above 3400 points, with significant adjustments in previously strong sectors like robotics and semiconductors [3][4]. - Defensive sectors, particularly dividend-related stocks, have shown resilience during market weakness, validating previous allocation views [3][4]. - In the overseas market, concerns about economic recession have eased slightly following comments from the Federal Reserve Chairman, leading to a rebound in U.S. stock markets [3][4]. Group 2: Strategy Allocation - The report ranks strategies as follows: Evergreen Low Volatility Strategy > Overseas Equity Strategy > Stock Fund Enhancement Strategy [4]. - The Evergreen Low Volatility Fund Strategy recorded a slight decline of -0.772% this week, while the stock fund enhancement strategy fell by -1.150% [6][18]. - The cash-enhanced fund strategy achieved a return of 0.032%, outperforming the benchmark [7][18]. Group 3: Fund Strategy Performance - The Evergreen Low Volatility Fund has shown strong stability since its inception, with a cumulative return of 9.170% since July 31, 2023 [18][20]. - The Stock Fund Enhancement Strategy has a cumulative return of 10.753% since its launch, indicating potential for excess returns as market conditions improve [18][24]. - The Overseas Equity Allocation Fund has accumulated a high level of excess returns, benefiting from the global technology growth driven by artificial intelligence [18][28]. Group 4: Fund Composition and Selection - The Evergreen Low Volatility Fund focuses on selecting funds with long-term stable returns, emphasizing low volatility and drawdown characteristics [14][20]. - The Stock Fund Enhancement Strategy aims to identify funds with strong alpha generation capabilities, focusing on stock selection and industry exposure [15][24]. - The Cash Enhanced Fund Strategy utilizes a multi-dimensional factor approach to select high-performing money market funds, optimizing short-term cash management [16][27]. Group 5: Global Investment Strategy - The report emphasizes the importance of QDII funds for global asset allocation, utilizing momentum and reversal factors to select overseas equity indices for investment [17][28]. - The Overseas Equity Allocation Fund has been effective in providing additional returns to A-share investments, particularly in the context of the Federal Reserve's interest rate policies [28][29].

New Stock Listings - New stock "胜科纳米" (688757) listed at an issuance price of 9.08 on March 25, 2025[1] - "成大生物" (688739) is in the offer period from March 5 to April 3, 2025[1] Market Alerts - "国脉科技" (002093) reported severe abnormal fluctuations[1] - "襄阳轴承" (000678) and "中信重工" (601608) also flagged for abnormal trading activities[1] Recent Announcements - "佛山照明" (000541) and "海洋王" (002724) issued announcements on March 25, 2025[1] - "明牌珠宝" (002574) and "ST柯利达" (603828) also released updates on the same date[1] Additional Information - Multiple companies including "先锋电子" (002767) and "惠博普" (002554) have recent disclosures[1] - The report includes links to detailed announcements for each stock mentioned[1]