ETF策略指数跟踪周报-20250901

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis. By using ETFs, users can easily transform quantitative models or subjective views into practical investment strategies [12]. 3. Summary by Directory 3.1 ETF Strategy Index Tracking - Performance in the Last Week (2025/8/22 - 2025/8/29): - HuaBao Research Size Rotation ETF Strategy Index: Index return was 2.77%, benchmark (CSI 800) return was 2.85%, with an excess return of - 0.08% [13]. - HuaBao Research Quantitative Fire - Wheel ETF Strategy Index: Index return was 6.21%, benchmark (CSI 800) return was 2.85%, with an excess return of 3.36% [13]. - HuaBao Research Quantitative Balance ETF Strategy Index: Index return was 1.04%, benchmark (CSI 300) return was 2.71%, with an excess return of - 1.67% [13]. - HuaBao Research SmartBeta Enhanced ETF Strategy Index: Index return was 3.58%, benchmark (CSI 800) return was 2.85%, with an excess return of 0.73% [13]. - HuaBao Research Hot - Spot Tracking ETF Strategy Index: Index return was 0.98%, benchmark (CSI All - Share) return was 1.84%, with an excess return of - 0.87% [13]. - HuaBao Research Bond ETF Duration Strategy Index: Index return was 0.03%, benchmark (ChinaBond Aggregate Index) return was 0.00%, with an excess return of 0.04% [13]. 3.2 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 predict the strength of the indices in the next week and determines the holdings accordingly to obtain excess returns [4][14]. - Performance: As of 2025/8/29, the excess return since 2024 was 18.99%, the excess return in the last month was - 0.45%, and the excess return in the last week was - 0.08%. The current holding is 100% CSI 300ETF [4][14][17]. 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 their exposure to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - Performance: As of 2025/8/29, the excess return since 2024 was 16.39%, the excess return in the last month was - 1.13%, and the excess return in the last week was 0.73%. The current holdings include CSI 500ETF (8.71%), Science and Technology Innovation 50ETF (47.87%), CSI 2000ETF (26.16%), and CSI 1000ETF (17.26%) [4][20][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 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][21]. - Performance: As of 2025/8/29, the excess return since 2024 was 17.58%, the excess return in the last month was 7.45%, and the excess return in the last week was 3.36%. The current holdings include Communication ETF (24.97%), Industrial Mother Machine ETF (20.08%), Non - ferrous Metals ETF (20.02%), Building Materials ETF (17.53%), and Medical and Health ETF (17.40%) [5][21][24]. 3.5 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 trend judgment of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns through timing and rotation [5][24]. - Performance: As of 2025/8/29, the excess return since 2024 was - 8.96%, the excess return in the last month was - 6.43%, and the excess return in the last week was - 1.67%. The current holdings include 10 - Year Treasury Bond ETF (9.36%), Enhanced 500ETF (5.99%), CSI 1000ETF (5.98%), Enhanced 300ETF (32.05%), Government Bond ETF (23.34%), and Short - Term Financing ETF (23.27%) [5][24][29]. 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 time, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][30]. - Performance: As of 2025/8/29, the excess return in the last month was - 4.48%, and the excess return in the last week was - 0.87%. The current holdings include Colorful 50ETF (31.61%), Bosera Hong Kong Stock Dividend ETF (24.77%), Hong Kong Stock Connect Medical ETF (23.50%), and Short - Term Financing ETF (20.12%) [6][30][39]. 3.7 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 position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [6][35]. - Performance: As of 2025/8/29, the excess return in the last month was 0.43%, and the excess return in the last week was 0.04%. The current holding is 100% Short - Term Financing ETF [6][35][40].