ETF策略指数跟踪周报-20251013

Report Summary 1. Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoint The report presents several ETF strategy indices constructed by Huabao Research, tracking their performance and positions on a weekly basis. These indices aim to achieve excess returns relative to the market through different quantitative models and strategies [11]. 3. Summary by Index 3.1 Huabao Research Size Rotation ETF Strategy Index - Strategy: Uses multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index, determining positions weekly [3][13]. - Performance: As of 2025/10/10, the excess return since 2024 is 18.82%, the excess return in the past month is - 1.13%, and the excess return since 2025/9/26 is - 0.18% [3][13]. - Position: Holds 100% of the CSI 300 ETF [16]. 3.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - Strategy: Utilizes price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 Barra factors, covering mainstream broad - based and style/strategy ETFs [3]. - Performance: As of 2025/10/10, the excess return since 2024 is 18.21%, the excess return in the past month is 3.83%, and the excess return since 2025/9/26 is 0.21% [3]. - Position: Holds CSI 1000ETF (29.17%), CSI 2000ETF (27.83%), Value 100ETF (26.57%), and CSI 500ETF (16.44%) [20]. 3.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Strategy: Considers multiple factors including medium - long - term fundamentals, short - term market trends, and market participant behavior, using valuation and crowding signals to identify industry risks and potential sectors [4][21]. - Performance: As of 2025/10/10, the excess return since 2024 is 29.29%, the excess return in the past month is 8.12%, and the excess return since 2025/9/26 is 1.30% [4][21]. - Position: Holds New Energy ETF (22.33%), Non - Ferrous Metals ETF (21.31%), Electronic ETF (20.37%), Communication ETF (18.53%), and Logistics ETF (17.45%) [24]. 3.4 Huabao Research Quantitative Balance ETF Strategy Index - Strategy: Employs a multi - factor system including economic fundamentals, liquidity, technicals, and investor behavior to construct a quantitative timing system for equity market trend analysis and size - style prediction to adjust positions [4][25]. - Performance: As of 2025/10/10, the excess return since 2024 is - 10.98%, the excess return in the past month is - 2.94%, and the excess return since 2025/9/26 is - 0.45% [4][25]. - Position: Holds 10 - Year Treasury Bond ETF (9.18%), CSI 500ETF Enhanced (6.27%), CSI 1000ETF (6.01%), 300 Enhanced ETF (32.97%), Short - Term Financing ETF (22.79%), and Policy Financial Bond ETF (22.77%) [26]. 3.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to identify hot - spot index products and build an ETF portfolio for short - term market trend reference [5][27]. - Performance: As of 2025/10/10, the excess return in the past month is 0.23%, and the excess return since 2025/9/26 is 2.95% [5][27]. - Position: Holds Non - Ferrous Metals 50ETF (36.47%), Hong Kong Stock Connect Pharmaceutical ETF (22.79%), Hong Kong Stock Dividend ETF (22.40%), and Short - Term Financing ETF (18.33%) [32]. 3.6 Huabao Research Bond ETF Duration Strategy Index - Strategy: Uses bond market liquidity and price - volume indicators to select timing factors and predicts bond yields through machine learning, reducing long - duration positions when expected yields are low [5][30]. - Performance: As of 2025/10/10, the excess return in the past month is 0.69%, and the excess return since 2025/9/26 is 0.06% [5][30]. - Position: Holds Short - Term Financing ETF (49.98%), 10 - Year Treasury Bond ETF (25.03%), 5 - 10 - Year Treasury Bond ETF (12.51%), and Policy Financial Bond ETF (12.48%) [35].