ETF策略指数跟踪周报-20250428

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report provides several ETF strategy indices constructed with the help of ETFs and tracks the performance and positions of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies and models [11]. 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - ETF Strategy Index Last Week's Performance: - HuaBao Research Large - Small Cap Rotation ETF Strategy Index: Last week's index return was 0.46%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was -0.14% [12]. - HuaBao Research Quantitative Fire - Wheel ETF Strategy Index: The index return was 0.75%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was 0.15% [12]. - HuaBao Research Quantitative Balance Art ETF Strategy Index: The index return was 0.28%, the benchmark was SSE 300 with a return of 0.38%, and the excess return was -0.11% [12]. - HuaBao Research SmartBeta Enhanced ETF Strategy Index: The index return was 0.28%, the benchmark was CSI 800 with a return of 0.59%, and the excess return was -0.32% [12]. - HuaBao Research Hot - Spot Tracking ETF Strategy Index: The index return was 1.55%, the benchmark was CSI All - Share Index with a return of 1.10%, and the excess return was 0.45% [12]. - HuaBao Research Bond ETF Duration Strategy Index: The index return was -0.10%, the benchmark was ChinaBond Aggregate Index with a return of -0.08%, and the excess return was -0.02% [12]. 3.2 HuaBao Research Large - Small 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. The model outputs signals weekly to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns [13]. - Performance: As of April 25, 2025, the excess return since 2024 was 16.35%, the excess return in the recent month was 0.58%, and the excess return in the recent week was -0.14%. The position was 100% in the SSE 300 ETF [13][16]. 3.3 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 obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [16]. - Performance: As of April 25, 2025, the excess return since 2024 was 18.06%, the excess return in the recent month was 3.02%, and the excess return in the recent week was -0.32%. The position was 100% in the Dividend Low - Volatility ETF [16][21]. 3.4 HuaBao Research Quantitative Fire - Wheel 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 congestion signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns [20]. - Performance: As of April 25, 2025, the excess return since 2024 was 0.74%, the excess return in the recent month was 0.92%, and the excess return in the recent week was 0.15%. The positions included 21.03% in the Agriculture ETF and 18.93% in the Home Appliance ETF [20][23]. 3.5 HuaBao Research Quantitative Balance Art ETF Strategy Index - Strategy Principle: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to construct a quantitative timing system for trend judgment of the equity market. It also builds a prediction model for the large - small cap style of the market to adjust the position distribution in the equity market and comprehensively obtains excess returns through timing and rotation [23]. - Performance: As of April 25, 2025, the excess return since 2024 was 1.99%, the excess return in the recent month was 2.40%, and the excess return in the recent week was -0.11%. The positions included various ETFs such as the CSI 1000 ETF, Enhanced 500 ETF, etc. [23][26]. 3.6 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, industry major event tracking, investor sentiment and professional views, 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 [26]. - Performance: As of April 25, 2025, the excess return in the recent month was 2.74%, and the excess return in the recent week was 0.45%. The positions included the Real Estate ETF, Hong Kong Stock Consumption ETF, etc. [26][30]. 3.7 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 lower than 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 [30]. - Performance: As of April 25, 2025, the excess return in the recent month was 0.17%, and the excess return in the recent week was -0.02%. The positions included the 10 - Year Treasury Bond ETF, Policy Financial Bond ETF, etc. [30][34].