ETF策略指数跟踪周报-20251117

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - The report presents several ETF strategy indices developed by Huabao Research, aiming to provide investors with strategies to obtain excess returns relative to the market. These indices are tracked weekly for performance and holdings [13]. 3. Summary by Relevant Catalog 1. ETF Strategy Index Tracking - Overall Performance Table: The table shows the performance of different ETF strategy indices in the last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week return of - 1.06%, with a benchmark (CSI 800) return of - 1.13% and an excess return of 0.07% [14]. 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. The model outputs signals weekly to determine holdings [15]. - Performance: As of 2025/11/14, the excess return since 2024 was 20.08%, the excess return in the last month was - 0.02%, and the excess return in the last week was 0.07%. The index's last - week return was - 1.06%, compared to the CSI 800's - 1.13% [15][18]. - Holdings: As of 2025/11/14, it held 100% of the Shanghai - Shenzhen 300ETF [20]. 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 [20]. - Performance: As of 2025/11/14, the excess return since 2024 was 18.92%, the excess return in the last month was 2.02%, and the excess return in the last week was 1.63%. The index's last - week return was 0.50%, compared to the CSI 800's - 1.13% [20][23]. - Holdings: As of 2025/11/14, it held multiple ETFs, such as the 512890.SH Dividend Low - Volatility ETF with a 25.15% weight [24]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Strategy: 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 digs out potential sectors [24]. - Performance: As of 2025/11/14, the excess return since 2024 was 37.09%, the excess return in the last month was 6.32%, and the excess return in the last week was 1.25%. The index's last - week return was 0.12%, compared to the CSI 800's - 1.13% [24][26]. - Holdings: As of 2025/11/14, it held ETFs like the 516160.SH New Energy ETF with a 20.47% weight [28]. 1.4. Huabao Research Quantitative Balancing Act ETF Strategy Index - Strategy: 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 analysis. It also predicts the market's large - and small - cap styles to adjust equity market positions [28]. - Performance: As of 2025/11/14, the excess return since 2024 was - 11.12%, the excess return in the last month was - 1.10%, and the excess return in the last week was 0.77%. The index's last - week return was - 0.31%, compared to the Shanghai - Shenzhen 300's - 1.08% [28][29]. - Holdings: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 9.23% weight [31]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, investor sentiment, professional views, policy changes, and historical analysis to build an ETF portfolio that can capture market hot - spots [31]. - Performance: As of 2025/11/14, the excess return in the last month was 0.51%, and the excess return in the last week was 2.99%. The index's last - week return was 2.46%, compared to the CSI All - Share Index's - 0.53% [31][34]. - Holdings: As of 2025/11/14, it held the 159652.SZ Non - Ferrous Metals 50ETF with a 36.05% weight [35]. 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 [35]. - Performance: As of 2025/11/14, the excess return in the last month was - 0.05%, and the excess return in the last week was - 0.01%. The index's last - week return was 0.04%, compared to the ChinaBond Aggregate Index's 0.05% [35][36]. - Holdings: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 50.00% weight [38].