ETF策略指数跟踪周报-20251124

Report Overview - The report is a weekly tracking report on public - offering funds' ETF strategy indices, dated November 24, 2025 [1] Report Core View - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and positions on a weekly basis [12] Summary by Relevant Catalog 1. ETF Strategy Index Tracking - Overall Performance: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of - 3.74%, a benchmark of CSI 800 with a return of - 4.31%, and an excess return of 0.57%. The data is as of November 21, 2025, and the last - week return calculation period is from November 14 to November 21, 2025 [13] 1.1. Huabao Research Small - Large Cap 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 predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns relative to the market [4][14] - Performance: As of November 21, 2025, the excess return since 2024 was 20.10%, the excess return in the recent month was 0.51%, and the excess return in the recent week was 0.57% [4][14] - Position: As of November 21, 2025, it held 100% of the CSI 300 ETF [18] 1.2. 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 the exposure of ETFs to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4] - Performance: As of November 21, 2025, the excess return since 2024 was 19.67%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 1.02% [4] - Position: As of November 21, 2025, it held 25.19% of the Dividend Low - Volatility ETF, 25.06% of the Dividend ETF, 24.92% of the CSI Dividend ETF, and 24.83% of the High - Dividend ETF [22] 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - Strategy Principle: It starts from a multi - factor perspective, including the grasp of medium - and 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 excavates potential sectors to obtain excess returns relative to the market [5][22] - Performance: As of November 21, 2025, the excess return since 2024 was 35.64%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 0.09% [5][22] - Position: As of November 21, 2025, it held 20.69% of the Oil and Gas ETF, 20.60% of the Bank ETF, 19.80% of the New Energy ETF, 19.54% of the Securities and Insurance ETF, and 19.37% of the Power ETF [26] 1.4. Huabao Research Quantitative Balance ETF Strategy Index - Strategy Principle: It adopts a multi - factor system including four major categories of factors: economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the trend of the equity market, establishes a prediction model for the market's small - and large - cap styles, and adjusts the position distribution in the equity market. It comprehensively uses timing and rotation to obtain excess returns relative to the market [5][26] - Performance: As of November 21, 2025, the excess return since 2024 was - 8.44%, the excess return in the recent month was 2.51%, and the excess return in the recent week was 1.83% [5][26] - Position: As of November 21, 2025, it held 9.35% of the 10 - Year Treasury Bond ETF, 5.96% of the 500ETF Enhanced, 5.86% of the CSI 1000ETF, 32.40% of the Enhanced 300 ETF, 23.27% of the Policy Financial Bond ETF, and 23.15% of the Short - Term Financing ETF [29] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy Principle: It tracks and excavates hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major 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 in a timely manner, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][29] - Performance: As of November 21, 2025, the excess return in the recent month was 3.13%, and the excess return in the recent week was 0.17% [6][29] - Position: As of November 21, 2025, it held 36.17% of the Non - Ferrous Metals 50ETF, 24.13% of the Bosera Hong Kong Stock Dividend ETF, 21.12% of the Hong Kong Stock Connect Pharmaceutical ETF, and 18.57% of the Short - Term Financing ETF [33] 1.6. Huabao Research Bond ETF Duration Strategy Index - Strategy Principle: It uses bond market liquidity indicators and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is lower than a certain threshold, it reduces the position of long - duration bonds in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability [6][33] - Performance: As of November 21, 2025, the excess return in the recent month was 0.00%, and the excess return in the recent week was 0.11% [6][33] - Position: As of November 21, 2025, it held 49.99% of the 10 - Year Treasury Bond ETF, 25.02% of the Policy Financial Bond ETF, and 24.99% of the 5 - to 10 - Year Treasury Bond ETF [36]