ETF策略指数跟踪周报-20260105

Report Summary 1. Investment Ratings - No investment ratings for the industry are provided in the report. 2. Core Viewpoints - The report presents several ETF strategy indices constructed with the help of ETFs, aiming to convert quantitative models or subjective views into practical investment strategies. It tracks the performance and positions of these indices on a weekly basis [12]. 3. Summary by Index 3.1 ETF Strategy Index Tracking - Performance Last Week: - Huabao Research Large - Small Cap Rotation ETF Strategy Index: Returned -0.59% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.18% [13]. - Huabao Research Quantitative Windmill ETF Strategy Index: Returned -0.49% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.09% [13]. - Huabao Research Quantitative Balance Technique ETF Strategy Index: Returned -0.28% last week, with a benchmark (CSI 300) return of -0.59% and an excess return of 0.31% [13]. - Huabao Research SmartBeta Enhanced ETF Strategy Index: Returned -1.08% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.68% [13]. - Huabao Research Hot - Spot Tracking ETF Strategy Index: Returned -0.68% last week, with a benchmark (CSI All - Share) return of -0.32% and an excess return of -0.35% [13]. - Huabao Research Bond ETF Duration Strategy Index: Returned -0.17% last week, with a benchmark (ChinaBond Aggregate Index) return of -0.20% and an excess return of 0.03% [13]. 3.2 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. It outputs weekly signals to determine positions and obtain excess returns [4]. - Performance: As of 2025/12/31, the excess return since 2024 was 19.34%, the excess return in the past month was -0.98%, and the excess return last week was -0.18%. The current position is 100% in the SSE 50 ETF (510300.SH) [4][14][18]. 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - Strategy: 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 to outperform the market. It selects mainstream broad - based index ETFs and some style and strategy ETFs [4]. - Performance: As of 2025/12/31, the excess return since 2024 was 21.34%, the excess return in the past month was -3.08%, and the excess return last week was -0.68%. The positions include Tianhong ChiNext 300ETF (159836.SZ) with 25.01%, ChiNext Large - Cap ETF (159814.SZ) with 25.01%, E Fund ChiNext ETF (159915.SZ) with 25.00%, and Wanjia ChiNext Composite ETF (159541.SZ) with 24.98% [4][18][22]. 3.4 Huabao Research Quantitative Windmill ETF Strategy Index - Strategy: Adopts a multi - factor approach, including grasping medium - and long - term fundamental dimensions, tracking short - term market trends, and analyzing the behavior of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs potential sectors for excess returns [5]. - Performance: As of 2025/12/31, the excess return since 2024 was 38.33%, the excess return in the past month was 2.15%, and the excess return last week was -0.09%. The positions include Chemical ETF (159870.SZ) with 20.94%, E Fund Securities and Insurance ETF (512070.SH) with 20.47%, Oil and Gas ETF (159697.SZ) with 19.77%, Steel ETF (515210.SH) with 19.48%, and New Energy ETF (516160.SH) with 19.34% [5][22][26]. 3.5 Huabao Research Quantitative Balance Technique ETF Strategy Index - Strategy: Employs a multi - factor system covering economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also builds a prediction model for market large - and small - cap styles to adjust equity market position distribution and obtain excess returns through timing and rotation [5]. - Performance: As of 2025/12/31, the excess return since 2024 was -10.66%, the excess return in the past month was -0.66%, and the excess return last week was 0.31%. The positions include 10 - Year Treasury Bond ETF (511260.SH) with 9.20%, Enhanced 500ETF (159610.SZ) with 6.15%, CSI 1000ETF (512100.SH) with 6.00%, 300 Enhanced ETF (561300.SH) with 32.86%, Short - Term Financing ETF (511360.SH) with 22.90%, and Government Bond ETF (511520.SH) with 22.88% [5][26][29]. 3.6 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 opinions, policy and regulatory changes, and historical deductions. It constructs an ETF portfolio to capture market hot spots and provides short - term market trend references for investors [6]. - Performance: As of 2025/12/31, the excess return in the past month was -2.40%, and the excess return last week was -0.35%. The positions include Non - Ferrous Metals 50ETF (159652.SZ) with 39.28%, Bosera Hong Kong Stock Dividend ETF (513690.SH) with 23.20%, E Fund Hong Kong Stock Connect Pharmaceutical ETF (513200.SH) with 18.96%, and Short - Term Financing ETF (511360.SH) with 18.56% [6][29][32]. 3.7 Huabao Research Bond ETF Duration Strategy Index - Strategy: Uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve long - term returns and control drawdowns [6]. - Performance: As of 2025/12/31, the excess return in the past month was 0.15%, and the excess return last week was 0.03%. The positions include 10 - Year Treasury Bond ETF (511260.SH) with 50.01%, 5 - to 10 - Year Treasury Bond ETF (511020.SH) with 25.00%, and Government Bond ETF (511520.SH) with 24.99% [6][32][35].