ETF策略指数跟踪周报-20250609

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis [11] 3. Summary by Related Catalogs 3.1 ETF Strategy Index Tracking - Overall Performance: The table shows the performance of various ETF strategy indices last week. The indices include the Huabao Research Large - Small Cap Rotation ETF Strategy Index, Huabao Research Quantitative Fire - Wheel ETF Strategy Index, etc. Their last - week index returns, comparison benchmarks, last - week benchmark returns, and excess returns are presented. For example, the Huabao Research Large - Small Cap Rotation ETF Strategy Index had a last - week index return of 0.95%, a comparison benchmark of CSI 800 with a last - week benchmark return of 1.07%, and an excess return of - 0.11% [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 the holdings accordingly to obtain excess returns relative to the market [3][13] - Performance: As of 2025/6/6, the excess return since 2024 was 15.99%, the excess return in the past month was - 1.76%, and the excess return in the past week was - 0.11%. The last - week index return was 0.95%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [3][12][13] - Holdings: As of 2025/6/6, it held 100% of the CSI 300ETF [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 the 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 [3][15] - Performance: As of 2025/6/6, the excess return since 2024 was 20.75%, the excess return in the past month was 3.74%, and the excess return in the past week was 0.40%. The last - week index return was 1.47%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [3][12][15] - Holdings: As of 2025/6/6, it held 47.58% of the Dividend Low - Volatility ETF, 33.84% of the CSI 2000ETF, and 18.59% of the CSI 1000ETF [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 crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market [4][20] - Performance: As of 2025/6/6, the excess return since 2024 was 2.38%, the excess return in the past month was 0.81%, and the excess return in the past week was - 0.22%. The last - week index return was 0.84%, and the comparison benchmark was CSI 800 with a last - week benchmark return of 1.07% [4][12][20] - Holdings: As of 2025/6/6, it held 20.20% of the Non - Ferrous Metals 60ETF, 20.08% of the Coal ETF, 20.00% of the Medical and Health ETF, 19.89% of the Bank ETF, and 19.83% of the Logistics ETF [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 build a quantitative timing system for trend analysis of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and obtains excess returns relative to the market through comprehensive timing and rotation [4][23] - Performance: As of 2025/6/6, the excess return since 2024 was 0.97%, the excess return in the past month was - 0.14%, and the excess return in the past week was - 0.36%. The last - week index return was 0.52%, and the comparison benchmark was SSE 50 with a last - week benchmark return of 0.88% [4][12][23] - Holdings: As of 2025/6/6, it held 5.27% of the CSI 1000ETF, 5.11% of the Enhanced 500ETF, 29.60% of the 300 Enhanced ETF, 25.15% of the Policy Financial Bond ETF, 24.80% of the Short - Term Financing ETF, and 10.06% of the 10 - Year Treasury Bond ETF [27] 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 [5][27] - Performance: As of 2025/6/6, the excess return in the past month was 1.49%, and the excess return in the past week was 0.43%. The last - week index return was 1.91%, and the comparison benchmark was CSI All - Share with a last - week benchmark return of 1.47% [5][12][27] - Holdings: As of 2025/6/6, it held 28.59% of the Hong Kong Stock Consumption ETF, 26.84% of the Non - Ferrous Metals 50ETF, 25.57% of the Hong Kong Stock Dividend ETF, and 19.00% of the 5 - to 10 - Year Treasury Bond ETF [31] 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 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 [5][31] - Performance: As of 2025/6/6, the excess return in the past month was 0.25%, and the excess return in the past week was - 0.01%. The last - week index return was 0.14%, and the comparison benchmark was ChinaBond Aggregate Index with a last - week benchmark return of 0.14% [5][12][31] - Holdings: As of 2025/6/6, it held 50.02% of the 10 - Year Treasury Bond ETF, 12.50% of the 5 - to 10 - Year Treasury Bond ETF, and 12.49% of the Policy Financial Bond ETF [34]