ETF策略指数跟踪周报-20250728

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices developed by Huabao Research, aiming to help investors convert quantitative models or subjective views into practical investment strategies. It tracks the performance and positions of these indices on a weekly basis, providing data on their excess returns over different time - frames [4][5][6]. 3. Summary by Directory 1. ETF Strategy Index Tracking - ETF Strategy Index Last Week's Performance: - The table shows the last week's performance of six ETF strategy indices, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week return of 1.78%, a benchmark (CSI 800) return of 2.10%, and an excess return of - 0.33% [13]. 1.1. Huabao Research Size 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 weekly signals to determine positions and obtain excess returns [4][14]. - Performance: As of July 25, 2025, the excess return since 2024 was 17.92%, the recent one - month excess return was 0.16%, and the recent one - week excess return was - 0.33% [4][14]. - Position: As of July 25, 2025, it held 100% of the CSI 300 ETF [18]. 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 exposures to 9 Barra factors to obtain excess returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - Performance: As of July 25, 2025, the excess return since 2024 was 15.29%, the recent one - month excess return was - 1.20%, and the recent one - week excess return was 0.25% [4]. - Position: As of July 25, 2025, it held multiple ETFs such as the Value 100ETF, CSI 2000ETF, etc. [23]. 1.3. Huabao Research Quantitative Cyclone 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 behavior 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 [5][22]. - Performance: As of July 25, 2025, the excess return since 2024 was 8.22%, the recent one - month excess return was 4.29%, and the recent one - week excess return was 2.67% [5][22]. - Position: As of July 25, 2025, it held ETFs like the Building Materials ETF, Non - Ferrous Metals 60ETF, etc. [26]. 1.4. Huabao Research Quantitative Balance 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 analysis. It also builds a prediction model for market size styles to adjust equity market position distribution and obtains excess returns through comprehensive timing and rotation [5][26]. - Performance: As of July 25, 2025, the excess return since 2024 was - 2.75%, the recent one - month excess return was - 2.91%, and the recent one - week excess return was - 1.03% [5][26]. - Position: As of July 25, 2025, it held ETFs such as the 10 - Year Treasury Bond ETF, CSI 1000ETF, etc. [30]. 1.5. 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 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 time to provide investors with short - term market trend references [6][30]. - Performance: As of July 25, 2025, the recent one - month excess return was - 0.38%, and the recent one - week excess return was 1.48% [6][30]. - Position: As of July 25, 2025, it held ETFs such as the Non - Ferrous Metals 50ETF, Hong Kong Stock Consumption ETF, etc. [33]. 1.6. Huabao Research Bond ETF Duration Strategy Index - Strategy Principle: It uses bond market liquidity 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 long - duration positions in the bond investment portfolio to improve long - term returns and drawdown control ability [6][33]. - Performance: As of July 25, 2025, the recent one - month excess return was 0.19%, and the recent one - week excess return was 0.12% [6][33]. - Position: As of July 25, 2025, it held ETFs such as the 10 - Year Treasury Bond ETF, Treasury Bond ETF 5 - 10 Years, etc. [38].