ETF策略指数跟踪周报-20260126

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content. 2. Core Viewpoints of the Report - The report provides several ETF strategy indices constructed with the help of ETFs and tracks the performance and positions of these indices on a weekly basis. These indices aim to achieve excess returns relative to the market through various strategies [11]. 3. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - The performance of each ETF strategy index last week is as follows: - Huabao Research Large - Small Cap Rotation ETF Strategy Index: Last - week index return was 3.61%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 2.81%. As of January 23, 2026, the excess return since 2024 was 32.84%, the excess return in the past month was 7.61%, and the excess return in the past week was 2.81% [12][13]. - Huabao Research SmartBeta Enhanced ETF Strategy Index: Last - week index return was 1.65%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 0.85%. As of January 23, 2026, the excess return since 2024 was 24.95%, the excess return in the past month was 1.03%, and the excess return in the past week was 0.85% [12][15]. - Huabao Research Quantitative Fire - Wheel ETF Strategy Index: Last - week index return was 4.79%, benchmark was CSI 800 with a return of 0.80%, and the excess return was 3.98%. As of January 23, 2026, the excess return since 2024 was 46.85%, the excess return in the past month was 4.96%, and the excess return in the past week was 3.98% [12][20]. - Huabao Research Quantitative Balancing Act ETF Strategy Index: Last - week index return was 0.48%, benchmark was SSE 300 with a return of - 0.62%, and the excess return was 1.10%. As of January 23, 2026, the excess return since 2024 was - 9.77%, the excess return in the past month was 1.04%, and the excess return in the past week was 1.10% [12][24]. - Huabao Research Hot - Spot Tracking ETF Strategy Index: Last - week index return was 1.66%, benchmark was CSI All - Share Index with a return of 1.76%, and the excess return was - 0.10%. As of January 23, 2026, the excess return in the past month was 2.44%, and the excess return in the past week was - 0.10% [12][27]. - Huabao Research Bond ETF Duration Strategy Index: Last - week index return was 0.19%, benchmark was ChinaBond Aggregate Index with a return of 0.23%, and the excess return was - 0.04%. As of January 23, 2026, the excess return in the past month was 0.31%, and the excess return in the past week was - 0.04% [12][30]. 1.1 Huabao Research Large - Small Cap Rotation ETF Strategy Index - This index 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. As of January 23, 2026, the positions included 50% of CSI 500ETF (159922.SZ) and 50% of CSI 1000ETF (512100.SH) [13][17]. 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - It uses price - volume indicators to time self - built Barra factors and maps the timing signals to ETFs based on their exposures to 9 major Barra factors to achieve excess market returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs. As of January 23, 2026, the positions included 25.28% of Full - Science and Technology Innovation Composite Index ETF (589600.SH), 25.28% of Full - Science and Technology Innovation Composite Index ETF (589000.SH), 24.74% of GEM 200ETF (159270.SZ), and 24.70% of Science and Technology Innovation 100ETF (588220.SH) [15][20]. 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Starting from a multi - factor perspective, it includes 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 digs out potential sectors to obtain excess returns relative to the market. As of January 23, 2026, the positions included 21.42% of Non - Ferrous Metals ETF (512400.SH), 20.64% of Chemicals ETF (159870.SZ), 20.23% of Petroleum ETF (159697.SZ), 19.58% of Steel ETF (515210.SH), and 18.13% of Securities and Insurance ETF (512070.SH) [20][25]. 1.4 Huabao Research Quantitative Balancing Act ETF Strategy Index - It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for trend analysis of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution in the equity market. Through comprehensive timing and rotation, it aims to obtain excess returns relative to the market. As of January 23, 2026, the positions included 9.05% of 10 - Year Treasury Bond ETF (511260.SH), 6.69% of 500ETF Enhanced (159610.SZ), 6.42% of CSI 1000ETF (512100.SH), 32.87% of 300 Enhanced ETF (561300.SH), 22.51% of Policy - Financial Bond ETF (511520.SH), and 22.45% of Short - Term Financing Bond ETF (511360.SH) [24][27]. 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - It tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, 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 wiser investment decisions. As of January 23, 2026, the positions included 42.09% of Non - Ferrous Metals 50ETF (159652.SZ), 21.93% of Hong Kong Stock Dividend ETF (513690.SH), 18.90% of Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 17.07% of Short - Term Financing Bond ETF (511360.SH) [27][30]. 1.6 Huabao Research Bond ETF Duration Strategy Index - 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 return and drawdown control ability. As of January 23, 2026, the positions included 50.01% of 10 - Year Treasury Bond ETF (511260.SH), 25.00% of Policy - Financial Bond ETF (511520.SH), and 24.98% of Treasury Bond ETF (511020.SH) [30][33].