ETF策略指数跟踪周报-20251222

Report Overview - The report provides a weekly tracking of the performance and positions of several ETF strategy indices developed by Huabao Research, covering the period up to December 19, 2025 [12]. 1. ETF Strategy Index Tracking 1.1. Huabao Research Size Rotation ETF Strategy Index - Utilizes multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan large - cap and small - cap indices, determining positions weekly to gain excess returns [14]. - As of December 19, 2025, the excess return since 2024 is 20.03%, the excess return in the past month is - 0.48%, and the excess return in the past week is 0.07% [14]. - The current position is 100% in the CSI 300ETF [19]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - Uses price - volume indicators to time self - built barra factors and maps timing signals to ETFs based on their exposure to 9 barra factors, aiming for market - outperforming returns [19]. - As of December 19, 2025, the excess return since 2024 is 19.82%, the excess return in the past month is - 0.33%, and the excess return in the past week is - 2.33% [19]. - The current positions include 25.05% in the ChiNext ETF, 25.03% in the ChiNext Large - cap ETF, 24.98% in the STAR Market - ChiNext ETF, and 24.95% in the STAR 50ETF [23]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Adopts a multi - factor approach, including fundamental analysis, short - term trend tracking, and market participant behavior analysis, using valuation and crowding signals to identify risks and potential sectors for excess returns [23]. - As of December 19, 2025, the excess return since 2024 is 34.96%, the excess return in the past month is - 1.12%, and the excess return in the past week is 1.47% [23]. - The current positions are 21.32% in the Securities and Insurance ETF, 20.08% in the Chemicals ETF, 19.97% in the Oil and Gas ETF, 19.51% in the Steel ETF, and 19.12% in the New Energy ETF [27]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - Builds a quantitative timing system with four types of factors (economic fundamentals, liquidity, technicals, and investor behavior) to judge equity market trends and adjust positions between large - and small - cap styles for excess returns [27]. - As of December 19, 2025, the excess return since 2024 is - 9.79%, the excess return in the past month is - 0.93%, and the excess return in the past week is 0.39% [27]. - The current positions include 9.32% in the 10 - Year Treasury Bond ETF, 5.95% in the CSI 500 Enhanced ETF, 5.80% in the CSI 1000ETF, 32.60% in the CSI 300 Enhanced ETF, 23.18% in the Policy Financial Bond ETF, and 23.14% in the Short - Term Financing ETF [30]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to capture hot - spot index products and build an ETF portfolio for short - term market trend reference [30]. - As of December 19, 2025, the excess return in the past month is - 1.31%, and the excess return in the past week is - 0.05% [30]. - The current positions are 37.33% in the Non - Ferrous Metals 50ETF, 23.72% in the Bosera Hong Kong Stock Dividend ETF, 19.94% in the Hong Kong Stock Connect Pharmaceutical ETF, and 19.01% in the Short - Term Financing ETF [34]. 1.6. Huabao Research Bond ETF Duration Strategy Index - 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 to improve long - term returns and control drawdowns [34]. - As of December 19, 2025, the excess return in the past month is 0.29%, and the excess return in the past week is 0.07% [34]. - The current positions include 50.00% in the 10 - Year Treasury Bond ETF, 25.00% in the Policy Financial Bond ETF, and 24.99% in the 5 - to 10 - Year Treasury Bond ETF [37].