ETF策略指数跟踪周报-20250421

1. Investment Analysis of ETF Strategy Indexes 1. ETF Strategy Index Tracking - The Huabao Research Large - Small Cap Rotation ETF Strategy Index uses a machine - learning model based on multi - dimensional technical indicator factors to predict the return difference between the Shenwan Large - Cap Index and Shenwan Small - Cap Index. It outputs signals weekly to predict the strength of the index in the next week and determines positions accordingly to obtain excess returns relative to the market. As of April 18, 2025, the excess return since 2024 was 16.43%, the excess return in the recent month was 0.85%, and the excess return in the recent week was 0.28% [13][14][17]. - The Huabao Research SmartBeta Enhanced ETF Strategy Index 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, aiming to outperform the market. As of April 18, 2025, the excess return since 2024 was 18.35%, the excess return in the recent month was 4.41%, and the excess return in the recent week was 2.88% [16][17][20]. - The Huabao Research Quantitative Fire - Wheel ETF Strategy Index takes 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 multi - dimensionally explores potential sectors to gain excess returns relative to the market. As of April 18, 2025, the excess return since 2024 was 0.57%, the excess return in the recent month was - 0.94%, and the excess return in the recent week was - 0.37% [20][21][24]. - The Huabao Research Quantitative Balance ETF Strategy Index adopts a multi - factor system, including economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the equity market trend, establishes a prediction model for market large - and small - cap styles to adjust the equity market position distribution, and comprehensively gains excess returns relative to the market through timing and rotation. As of April 18, 2025, the excess return since 2024 was 2.10%, the excess return in the recent month was 3.15%, and the excess return in the recent week was - 0.33% [23][24][26]. - The Huabao Research Hot - Spot Tracking ETF Strategy Index tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry 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, providing investors with short - term market trend references and assisting them in making more informed investment decisions. As of April 18, 2025, the excess return in the recent month was 2.37%, and the excess return in the recent week was - 0.08% [26][29][30]. - The Huabao Research Bond ETF Duration Strategy Index uses bond market liquidity indicators and price - volume indicators to screen 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 to enhance the portfolio's long - term returns and drawdown control ability. As of April 18, 2025, the excess return in the recent month was 0.16%, and the excess return in the recent week was 0.23% [30][31][34].