ETF策略指数跟踪周报-20250908

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report 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 holdings of these indices on a weekly basis, providing data on their returns and excess returns compared to benchmarks [13]. 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - Overall Performance Last Week: The table shows the performance of different ETF strategy indices last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a return of -0.80% last week, compared to the benchmark CSI 800's return of -1.09%, resulting in an excess return of 0.29% [14]. 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 determine positions and obtain excess returns [4][15]. - Performance: As of September 5, 2025, the excess return since 2024 was 19.21%, the excess return in the past month was - 0.01%, and the excess return in the past week was 0.29%. The current position is 100% in the SSE 300ETF [15][20]. 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 their exposure to 9 major Barra factors to achieve market - outperforming returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - Performance: As of September 5, 2025, the excess return since 2024 was 13.81%, the excess return in the past month was - 2.52%, and the excess return in the past week was - 1.63% [4]. 3.4 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Strategy Principle: It starts from a multi - factor perspective, including the grasp of medium - to 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 [5]. - Performance: As of September 5, 2025, the excess return since 2024 was 20.39%, the excess return in the past month was 7.87%, and the excess return in the past week was 2.03%. The current positions include the Science and Technology Innovation Board 50ETF, CSI 2000ETF, etc. [24][27]. 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 equity market trend judgment. It also predicts the market's large - and small - cap styles to adjust the equity market position distribution and obtains excess returns through comprehensive timing and rotation [5]. - Performance: As of September 5, 2025, the excess return since 2024 was - 8.68%, the excess return in the past month was - 5.64%, and the excess return in the past week was 0.17%. The current positions include the 10 - Year Treasury Bond ETF, Enhanced 500ETF, etc. [28][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 event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio to capture market hot - spots and assist investors in making investment decisions [6]. - Performance: As of September 5, 2025, the excess return in the past month was - 1.16%, and the excess return in the past week was 3.95%. The current positions include the Non - Ferrous Metals 50ETF, Hong Kong Stock Connect Pharmaceutical ETF, etc. [32][34]. 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. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond portfolio to improve long - term returns and drawdown control [6]. - Performance: As of September 5, 2025, the excess return in the past month was 0.36%, and the excess return in the past week was - 0.02%. The current positions include the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, etc. [35][36].