ETF策略指数跟踪周报-20260226

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents several ETF strategy indices built with the help of ETFs, aiming to convert quantitative models or subjective views into practical investment strategies. The performance and positions of these indices are tracked on a weekly basis [12]. 3. Summary by Relevant Catalogs 3.1 ETF Strategy Index Tracking - Overall Performance Table: The table shows the performance of various ETF strategy indices last week, including their index returns, comparison benchmarks, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of 0.37%, a benchmark (CSI 800) return of 0.80%, and an excess return of - 0.43% [13]. 3.2 Huabao Research Size 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 signals weekly to predict the strength of the index in the next week and determines positions accordingly to obtain excess returns relative to the market [4][14]. - Performance: As of 2026/2/13, the excess return since 2024 was 26.90%, the excess return in the past month was - 0.42%, and the excess return in the past week was - 0.43%. The index had a 0.37% return in the past week, - 1.27% in the past month, and 67.30% since 2024, compared to the CSI 800's 0.80%, - 0.84%, and 40.40% respectively [4][14][15]. - Positions: As of 2026/2/13, it held 50% of the CSI 500ETF (159922.SZ) and 50% of the CSI 1000ETF (512100.SH) [18]. 3.3 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 obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4][18]. - Performance: As of 2026/2/13, the excess return since 2024 was 17.34%, the excess return in the past month was - 3.53%, and the excess return in the past week was 1.96%. The index had a 2.76% return in the past week, - 4.37% in the past month, and 57.74% since 2024, compared to the CSI 800's 0.80%, - 0.84%, and 40.40% respectively [4][18][19]. - Positions: As of 2026/2/13, it held 25.30% of the Southern GEM 200ETF (159270.SZ), 25.00% of the Penghua Science and Technology Innovation 100ETF (588220.SH), 24.87% of the Wanjia GEM Comprehensive ETF (159541.SZ), and 24.84% of the E Fund Growth ETF (159259.SZ) [21]. 3.4 Huabao Research Quantitative Fire - Wheel 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 prompt industry risks and multi - dimensionally dig out potential sectors to obtain excess returns relative to the market [5][21]. - Performance: As of 2026/2/13, the excess return since 2024 was 49.12%, the excess return in the past month was 5.59%, and the excess return in the past week was 0.08%. The index had a 0.87% return in the past week, 4.75% in the past month, and 89.52% since 2024, compared to the CSI 800's 0.80%, - 0.84%, and 40.40% respectively [5][21][23]. - Positions: As of 2026/2/13, it held 20.35% of the Penghua Petroleum ETF (159697.SZ), 20.18% of the Chemical ETF (159870.SZ), 20.03% of the Steel ETF (515210.SH), 19.81% of the E Fund Securities and Insurance ETF (512070.SH), and 19.64% of the Electronic ETF (159997.SZ) [26]. 3.5 Huabao Research Quantitative Balance ETF Strategy Index - Strategy Principle: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend analysis of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation [5][25]. - Performance: As of 2026/2/13, the excess return since 2024 was - 9.06%, the excess return in the past month was 1.58%, and the excess return in the past week was - 0.05%. The index had a 0.31% return in the past week, 0.07% in the past month, and 26.77% since 2024, compared to the CSI 300's 0.36%, - 1.51%, and 35.83% respectively [25][26]. - Positions: As of 2026/2/13, it held 9.06% of the 10 - Year Treasury Bond ETF (511260.SH), 6.68% of the 500ETF Enhanced (159610.SZ), 6.39% of the CSI 1000ETF (512100.SH), 33.00% of the Cathay CSI 300 Enhanced ETF (561300.SH), 22.51% of the Government Bond ETF (511520.SH), and 22.35% of the Haifutong Short - Term Financing ETF (511360.SH) [28]. 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy Principle: It tracks and digs out 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 deductions. It constructs an ETF portfolio that can capture market hot - spots in a timely manner to provide investors with references for short - term market trends and help them make more informed investment decisions [6][28]. - Performance: As of 2026/2/13, the excess return in the past month was 0.77%, and the excess return in the past week was 0.19%. The index had a 1.26% return in the past week and 0.46% in the past month, compared to the CSI All - Share Index's 1.07% and - 0.31% respectively [6][30]. - Positions: As of 2026/2/13, it held 42.01% of the Huitianfu Non - ferrous Metals ETF (159652.SZ), 22.80% of the Boshi Hong Kong Stock Dividend ETF (513690.SH), 18.43% of the E Fund Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 16.76% of the Haifutong Short - Term Financing ETF (511360.SH) [31]. 3.7 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 long - duration positions in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [6][31]. - Performance: As of 2026/2/13, the excess return in the past month was 0.16%, and the excess return in the past week was 0.06%. The bond ETF trading strategy had a 0.17% return in the past week, 0.61% in the past month, 9.94% since 2024, and 24.16% since its establishment, compared to the ChinaBond Aggregate Index's 0.10%, 0.45%, 3.37%, and 7.66% respectively [31][32]. - Positions: As of 2026/2/13, it held 50.02% of the 10 - Year Treasury Bond ETF (511260.SH), 25.00% of the Government Bond ETF (511520.SH), and 24.98% of the 5 - to 10 - Year Treasury Bond ETF (511020.SH) [34].