Report Information - Report Title: ETF Strategy Index Tracking Weekly Report, Public Fund Weekly Report [1] - Report Date: December 29, 2025 [1] Investment Ratings - Not provided in the report Core Views - The report presents several ETF strategy indices constructed by Huabao Securities, aiming to obtain excess returns relative to the market through different quantitative models and strategies. It also tracks the performance and positions of these indices on a weekly basis [4][5][12] Summary by Directory 1. ETF Strategy Index Tracking - Overall Performance: The table shows the performance of various ETF strategy indices last week, including the index name, last week's index return, comparison benchmark, last week's benchmark return, and excess return [13] | Index Name | Last Week's Index Return | Comparison Benchmark | Last Week's Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Large - Small Cap Rotation ETF Strategy Index | 1.96% | CSI 800 | 2.50% | -0.54% | | Huabao Research Quantitative Fire - Wheel ETF Strategy Index | 4.18% | CSI 800 | 2.50% | 1.67% | | Huabao Research Quantitative Balance Technique ETF Strategy Index | 1.04% | SSE 300 | 1.95% | -0.91% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | 3.94% | CSI 800 | 2.50% | 1.43% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 2.03% | CSI All - Share | 2.78% | -0.75% | | Huabao Research Bond ETF Duration Strategy Index | 0.03% | ChinaBond Aggregate Index | 0.04% | -0.01% | 1.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - Strategy: 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 predict the strength of the indices in the next week and determines positions accordingly [4][14] - Performance: As of December 26, 2025, the excess return since 2024 is 19.71%, the excess return in the past month is - 0.63%, and the excess return in the past week is - 0.54% [4][14] - Position: Holds 100% of the SSE 300ETF (fund code: 510300.SH) [18] 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - Strategy: Uses volume - price indicators to time self - built barra factors, and then maps the timing signals to ETFs based on the exposure of ETFs to 9 barra factors. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4] - Performance: As of December 26, 2025, the excess return since 2024 is 22.50%, the excess return in the past month is - 1.98%, and the excess return in the past week is 1.43% [4] - Position: Holds 25.05% of the Huaxia Science and Technology Innovation Composite Index ETF (fund code: 589000.SH), 25.04% of the Fuguo Science and Technology Innovation Composite Index ETF (fund code: 589600.SH), 25.02% of the Southern GEM 200ETF (fund code: 159270.SZ), and 24.89% of the Wanjia GEM Composite ETF (fund code: 159541.SZ) [22] 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Strategy: 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 behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors [22] - Performance: As of December 26, 2025, the excess return since 2024 is 38.65%, the excess return in the past month is 2.06%, and the excess return in the past week is 1.67% [22][25] - Position: Holds 20.97% of the Securities and Insurance ETF (fund code: 512070.SH), 20.60% of the Chemical ETF (fund code: 159870.SZ), 19.54% of the Steel ETF (fund code: 515210.SH), 19.49% of the Oil and Gas ETF (fund code: 159697.SZ), and 19.39% of the New Energy ETF (fund code: 516160.SH) [26] 1.4 Huabao Research Quantitative Balance Technique ETF Strategy Index - Strategy: Adopts a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the trend of the equity market and establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution [26] - Performance: As of December 26, 2025, the excess return since 2024 is - 11.11%, the excess return in the past month is - 1.05%, and the excess return in the past week is - 0.91% [26][27] - Position: Holds 9.23% of the Ten - Year Treasury Bond ETF (fund code: 511260.SH), 6.11% of the 500ETF Enhanced (fund code: 159610.SZ), 5.98% of the CSI 1000ETF (fund code: 512100.SH), 32.84% of the 300 Enhanced ETF (fund code: 561300.SH), 22.94% of the Government Financial Bond ETF (fund code: 511520.SH), and 22.89% of the Short - Term Financing ETF (fund code: 511360.SH) [29] 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: Tracks and mines 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 [29] - Performance: As of December 26, 2025, the excess return in the past month is - 1.22%, and the excess return in the past week is - 0.75% [29][32] - Position: Holds 38.33% of the Non - Ferrous Metals 50ETF (fund code: 159652.SZ), 23.48% of the Boshi Hong Kong Stock Dividend ETF (fund code: 513690.SH), 19.50% of the Hong Kong Stock Connect Pharmaceutical ETF (fund code: 513200.SH), and 18.69% of the Short - Term Financing ETF (fund code: 511360.SH) [33] 1.6 Huabao Research Bond ETF Duration Strategy Index - Strategy: Uses bond market liquidity and volume - price indicators to screen effective timing factors and predicts bond yields through a machine - learning method. When the expected yield is lower than a certain threshold, it reduces the long - duration positions in the bond investment portfolio [6][33] - Performance: As of December 26, 2025, the excess return in the past month is 0.18%, and the excess return in the past week is - 0.01% [6][33] - Position: Holds 50.01% of the Ten - Year Treasury Bond ETF (fund code: 511260.SH), 25.00% of the Government Financial Bond ETF (fund code: 511520.SH), and 25.00% of the 5 - to 10 - Year Treasury Bond ETF (fund code: 511020.SH) [36]
ETF策略指数跟踪周报-20251229
HWABAO SECURITIES·2025-12-29 06:43