ETF策略指数跟踪周报-20251027

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core View of the Report The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and holdings of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies [12]. 3. Summary by Relevant Catalog 1. ETF Strategy Index Tracking - Overall Performance Last Week - The table shows the performance of various ETF strategy indices last week, including their index returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of 3.34%, a benchmark (CSI 800) return of 3.30%, and an excess return of 0.04% [13]. - Huabao Research Size Rotation ETF Strategy Index - 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. As of October 24, 2025, the excess return since 2024 was 20.29%, the excess return in the past month was 0.96%, and the excess return in the past week was 0.04%. The current holding is 100% of the CSI 300 ETF [14][18]. - Huabao Research SmartBeta Enhanced ETF Strategy Index - 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. As of October 24, 2025, the excess return since 2024 was 16.69%, the excess return in the past month was - 3.36%, and the excess return in the past week was - 1.71%. The holdings include the Central State - owned Enterprise Dividend ETF, 800 Free Cash Flow ETF, High - Dividend ETF, and Dividend ETF [18][22]. - Huabao Research Quantitative Fire - Wheel ETF Strategy Index - It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors. As of October 24, 2025, the excess return since 2024 was 29.58%, the excess return in the past month was 3.36%, and the excess return in the past week was 1.45%. The holdings include the Non - Ferrous Metals ETF, Real Estate ETF, Communication ETF, Home Appliance ETF, and New Energy ETF [22][26]. - Huabao Research Quantitative Balance - Art ETF Strategy Index - 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 builds a prediction model for market size - style to adjust the equity market position distribution. As of October 24, 2025, the excess return since 2024 was - 12.08%, the excess return in the past month was - 2.08%, and the excess return in the past week was - 1.83%. The holdings include the 10 - Year Treasury Bond ETF, 500ETF Enhanced, CSI 1000ETF, 300 Enhanced ETF, Government - Financial Bond ETF, and Short - Term Financing ETF [26][29]. - Huabao Research Hot - Spot Tracking ETF Strategy Index - It tracks and mines hot - spot index target products in a timely manner through 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. As of October 24, 2025, the excess return in the past month was 1.88%, and the excess return in the past week was - 2.60%. The holdings include the Non - Ferrous 50ETF, Hong Kong Stock Dividend ETF Boshi, Hong Kong Stock Connect Medical ETF, and Short - Term Financing ETF [29][33]. - Huabao Research Bond ETF Duration Strategy Index - 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. As of October 24, 2025, the excess return in the past month was 0.45%, and the excess return in the past week was 0.06%. The holdings include the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, Government - Financial Bond ETF, and Treasury Bond ETF [33][36].