ETF策略指数跟踪周报-20251110

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents several ETF strategy indices constructed by Huabao Securities, tracking their performance and positions on a weekly basis. These indices aim to achieve excess returns relative to the market through various quantitative models and strategies [4][5][6]. 3. Summary by Directory 1. ETF Strategy Index Tracking - Overall Performance: The table shows the performance of different 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 0.83%, a benchmark (CSI 800) return of 0.59%, and an excess return of 0.24% [13]. 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, determining positions weekly. - Performance: As of 2025/11/7, the excess return since 2024 was 20.20%, the excess return in the past month was 0.81%, and the excess return in the past week was 0.24%. The current position is 100% in the SSE 50 ETF (510300.SH) [14][16][18]. 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 exposure to 9 major Barra factors. - Performance: As of 2025/11/7, the excess return since 2024 was 16.62%, the excess return in the past month was - 1.12%, and the excess return in the past week was 1.97%. The positions include 25.07% in the Dividend ETF (510880.SH), 25.04% in the SSE 300 Dividend ETF (512530.SH), 24.98% in the Dividend Low - Volatility ETF (512890.SH), and 24.91% in the CSI Dividend ETF (515080.SH) [18][19][22]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - Strategy: It starts from a multi - factor perspective, including mid - to - long - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and congestion signals to prompt industry risks and digs out potential sectors. - Performance: As of 2025/11/7, the excess return since 2024 was 35.34%, the excess return in the past month was 3.52%, and the excess return in the past week was 2.16%. The positions include 20.19% in the New Energy ETF (516160.SH), 20.11% in the Bank ETF (512800.SH), 20.03% in the Oil and Gas ETF (159697.SZ), 20.01% in the Power ETF (159611.SZ), and 19.67% in the Securities and Insurance ETF (512070.SH) [22][25][26]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - Strategy: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for equity market trend analysis. It also builds a prediction model for market small - large cap styles to adjust equity market positions. - Performance: As of 2025/11/7, the excess return since 2024 was - 12.21%, the excess return in the past month was - 0.88%, and the excess return in the past week was - 0.62%. The positions include 9.23% in the 10 - Year Treasury Bond ETF (511260.SH), 6.16% in the CSI 500 Enhanced ETF (159610.SZ), 5.95% in the CSI 1000 ETF (512100.SH), 32.82% in the SSE 300 Enhanced ETF (561300.SH), 22.97% in the Policy Financial Bond ETF (511520.SH), and 22.86% in the Short - Term Financing ETF (511360.SH) [26][27][29]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: It tracks and digs out hot - spot index target products based on strategies such as market sentiment analysis, industry event tracking, investor sentiment, professional opinions, policy changes, and historical analysis, constructing an ETF portfolio to capture market hot - spots. - Performance: As of 2025/11/7, the excess return in the past month was - 1.11%, and the excess return in the past week was - 0.37%. The positions include 36.05% in the Non - Ferrous Metals 50 ETF (159652.SZ), 24.27% in the Hong Kong Stock Dividend Bosera ETF (513690.SH), 20.99% in the Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 18.70% in the Short - Term Financing ETF (511360.SH) [29][32][33]. 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 portfolio. - Performance: As of 2025/11/7, the excess return in the past month was - 0.07%, and the excess return in the past week was 0.05%. The positions include 49.89% in the Short - Term Financing ETF (511360.SH), 25.07% in the 10 - Year Treasury Bond ETF (511260.SH), 12.53% in the Policy Financial Bond ETF (511520.SH), and 12.52% in the 5 - Year Treasury Bond ETF (511020.SH) [33][34][36].