ETF策略指数跟踪周报-20250811

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints 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 achieve excess returns relative to the market through different strategies [13]. 3. Summary by Directory 1. ETF Strategy Index Tracking - Overall Performance: The table shows the performance of various ETF strategy indices last week, including index returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of 1.27%, a benchmark (CSI 800) return of 1.38%, and an excess return of - 0.11% [14]. 1.1. Huabao Research Small - Large Cap Rotation ETF Strategy Index - Strategy: 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 signals weekly to decide positions and obtain excess returns. - Performance: As of 2025/8/8, the excess return since 2024 was 17.66%, the excess return in the recent month was - 0.25%, and the excess return in the recent week was - 0.11%. The current position is 100% in the SSE 50 ETF (510300.SH) [15][18][19]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - Strategy: It uses price - volume indicators to time self - built barra factors and maps timing signals to ETFs based on their exposures to 9 major barra factors to achieve market - outperforming returns. - Performance: As of 2025/8/8, the excess return since 2024 was 15.81%, the excess return in the recent month was - 0.76%, and the excess return in the recent week was - 0.34%. The positions include CSI 1000 ETF (512100.SH) with a weight of 6.25%, STAR 50 ETF (588000.SH) with a weight of 51.51%, etc. [19][20][23]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - Strategy: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamentals, tracking of short - term market trends, and analysis of market participants' behaviors. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally dig potential sectors. - Performance: As of 2025/8/8, the excess return since 2024 was 9.46%, the excess return in the recent month was 4.80%, and the excess return in the recent week was 1.54%. The positions include Industrial Mother Machine ETF (159667.SZ) with a weight of 20.56%, Non - ferrous Metals ETF (512400.SH) with a weight of 20.47%, etc. [23][25][27]. 1.4. Huabao Research Quantitative Balance Art ETF Strategy Index - Strategy: It uses 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, predicts the market's small - large cap style, and adjusts the equity market position distribution. - Performance: As of 2025/8/8, the excess return since 2024 was - 1.88%, the excess return in the recent month was - 0.84%, and the excess return in the recent week was - 0.48%. The positions include 10 - year Treasury Bond ETF (511260.SH) with a weight of 9.74%, CSI 1000 ETF (512100.SH) with a weight of 5.70%, etc. [27][28][31]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: It tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry event tracking, and policy changes, and constructs an ETF portfolio to capture market hot - spots. - Performance: As of 2025/8/8, the excess return in the recent month was 0.78%, and the excess return in the recent week was 0.91%. The positions include Non - ferrous Metals 50 ETF (159652.SZ) with a weight of 29.66%, Hong Kong Consumption ETF (513230.SH) with a weight of 26.50%, etc. [31][34][35]. 1.6. Huabao Research Bond ETF Duration Strategy Index - Strategy: 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. - Performance: As of 2025/8/8, the excess return in the recent month was 0.05%, and the excess return in the recent week was 0.06%. The positions include 10 - year Treasury Bond ETF (511260.SH) with a weight of 50.03%, 5 - to 10 - year Treasury Bond ETF (511020.SH) with a weight of 25.01%, etc. [35][36][38].