ETF策略指数跟踪周报-20250414

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis. These indices aim to achieve excess returns relative to the market through different quantitative models and strategies [11]. 3. Summary by Directory 1. ETF Strategy Index Tracking - Overall Performance: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of - 2.89%, a benchmark return of - 3.30%, and an excess return of 0.41% [12]. 1.1. Huabao Research Small - Large 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. It outputs weekly signals to determine the next - week's index strength and decides on holdings accordingly [3][13]. - Performance: As of 2025/4/11, the excess return since 2024 was 16.02%, the excess return in the past month was 0.72%, and the excess return in the past week was 0.41%. Last week, the index return was - 2.89%, and the benchmark (CSI 800) return was - 3.30% [3][12][15]. - Holdings: As of 2025/4/11, it held 100% of the CSI 300 ETF [15]. 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 their exposure to 9 major Barra factors, covering mainstream broad - based index ETFs and some style/strategy ETFs [3][15]. - Performance: As of 2025/4/11, the excess return since 2024 was 15.97%, the excess return in the past month was 2.40%, and the excess return in the past week was 0.09%. Last week, the index return was - 3.21%, and the benchmark (CSI 800) return was - 3.30% [3][12][15]. - Holdings: As of 2025/4/11, it held 58.94% of the Dividend Low - Volatility ETF, 21.11% of the CSI 300 ETF, and 19.95% of the Dividend Quality ETF [15]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - Strategy Principle: It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors [20]. - Performance: As of 2025/4/11, the excess return since 2024 was 0.97%, the excess return in the past month was - 1.10%, and the excess return in the past week was 1.40%. Last week, the index return was - 1.91%, and the benchmark (CSI 800) return was - 3.30% [20][23]. - Holdings: As of 2025/4/11, it held 21.93% of the Agriculture ETF, 20.10% of the Bank ETF, 20.06% of the Military Industry ETF, 19.15% of the Non - Ferrous Metals 60 ETF, and 18.76% of the Home Appliance ETF [24]. 1.4. Huabao Research Quantitative Balance Technique ETF Strategy Index - Strategy Principle: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also builds a prediction model for market small - large cap styles to adjust equity market positions [24]. - Performance: As of 2025/4/11, the excess return since 2024 was 2.46%, the excess return in the past month was 2.55%, and the excess return in the past week was 1.41%. Last week, the index return was - 1.46%, and the benchmark (CSI 300) return was - 2.87% [24][25][29]. - Holdings: As of 2025/4/11, it held 5.02% of the CSI 1000 ETF, 4.96% of the 500ETF Enhanced, 28.91% of the Enhanced 300 ETF, 25.60% of the Policy Financial Bond ETF, 25.24% of the Short - Term Financing ETF, and 10.26% of the 10 - Year Treasury Bond ETF [29]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy Principle: It tracks and mines hot - spot index target products through strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional views, policy and regulation changes, and historical deduction, and constructs an ETF portfolio to capture market hot - spots [30]. - Performance: As of 2025/4/11, the excess return in the past month was 2.69%, and the excess return in the past week was 1.47%. Last week, the index return was - 2.83%, and the benchmark (CSI All - Share Index) return was - 4.30% [30][34]. - Holdings: As of 2025/4/11, it held 4.34% of the Real Estate ETF, 26.06% of the Hong Kong Consumption ETF, 25.62% of the Soybean Meal ETF, 23.92% of the Hong Kong Dividend ETF, and 20.07% of the 5 - to 10 - Year Treasury Bond ETF [34]. 1.6. Huabao Research Bond ETF Duration Strategy Index - Strategy Principle: It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine - learning. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio [35]. - Performance: As of 2025/4/11, the excess return in the past month was 0.07%, and the excess return in the past week was - 0.16%. Last week, the index return was 0.19%, and the benchmark (ChinaBond Aggregate Index) return was 0.35% [35][39]. - Holdings: As of 2025/4/11, it held 49.92% of the Short - Term Financing ETF, 25.06% of the 10 - Year Treasury Bond ETF, 12.53% of the 5 - to 10 - Year Treasury Bond ETF, and 12.49% of the Policy Financial Bond ETF [39].