华宝指数产品配置月报：4月建议关注科创人工智能ETF华宝、养老ETF、券商ETF等产品-2025-04-01

• Model Name: Multi-Dimensional Information Scoring Model; Model Construction Idea: The model scores target indices based on multiple dimensions including historical performance, consensus expectations, and historical momentum[7]; Model Construction Process: The model integrates various factors such as ROE improvement, operating profit improvement, net profit improvement, momentum continuity, expected ROE change, and expected net profit change to score the indices[8][9][10]; Model Evaluation: The model effectively distinguishes between different target indices[9] - Factor Name: Historical Performance; Factor Construction Idea: The factor evaluates the historical performance of indices; Factor Construction Process: The factor includes ROE_TTM quarter-on-quarter change, operating profit TTM quarter-on-quarter growth rate, and net profit attributable to parent TTM quarter-on-quarter growth rate[9]; Factor Evaluation: The factor shows good differentiation ability among different target indices[9] - Factor Name: Consensus Expectations; Factor Construction Idea: The factor assesses the consensus expectations of index constituent stocks; Factor Construction Process: The factor aggregates the consensus expected net profit and consensus expected ROE of index constituent stocks weighted by market capitalization, and observes the marginal changes in analyst expectations through quarter-on-quarter changes[10] - Factor Name: Momentum Continuity; Factor Construction Idea: The factor measures the continuity of momentum; Factor Construction Process: The factor strips out the maximum increase in the interval based on the Sharpe ratio to further characterize momentum continuity, with long-term differentiation ability in the recent 6-month and 12-month momentum continuity factors[11] - The multi-dimensional information scoring model suggested focusing on the following ETFs in April: Sci-Tech Artificial Intelligence ETF Huabao, Pension ETF, Securities ETF, Financial Technology ETF, and GEM Artificial Intelligence ETF[15][17] - The Huabao index product portfolio outperformed the GEM index in the first three months of 2025, with a decline of 1.55%, but underperformed the CSI 300 index[12][14]