ETF研究系列之三：HALO逻辑下，哪些ETF受益？

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - Since 2026, the trading logic of AI has shifted from "light - asset" sectors such as software and games to "physical" sectors like electricity, coal, and public utilities. The market's understanding of AI is moving from a technological narrative to infrastructure - constrained pricing [1]. - The HALO strategy, based on "heavy assets and low obsolescence rate," is used to screen ETFs. After screening, ETFs are divided into four levels: core HALO, enhanced HALO, neutral HALO, and non - HALO [1]. - Core HALO ETFs have a significantly better risk - return ratio. Since 2026, the Sharpe ratio and Calmar ratio of the equally weighted core HALO portfolio have reached 5.54 and 43.71 respectively, with a maximum drawdown of only 3.42%, significantly lower than other portfolios [2]. - In the future, attention should be paid to related targets such as coal, lithium batteries, steel, and building materials [2][3]. 3. Summary According to the Directory 3.1 HALO Strategy ETF Quantitative Screening: Mapping from Individual Stock Characteristics to ETFs - A quantitative framework is constructed to evaluate whether an ETF conforms to the HALO concept. First, evaluate the HALO characteristics of all A - share individual stocks, then calculate the HALO characteristics of ETFs based on their top ten heavy - weighted stocks, and finally form a comparable, rankable, and hierarchical HALO ETF screening result [18]. - The scoring process of the HALO strategy ETF can be summarized in six steps: building a basic sample pool, scoring individual stocks' HALO, extracting the top ten heavy - weighted stocks of ETFs as penetration samples, calculating the HALO characteristics of ETFs through individual stocks' HALO characteristics, performing coverage correction and sample cleaning, and sorting and stratifying ETFs [18][19][21]. - When scoring individual stocks, the H (heavy assets) factor mainly observes the proportion of fixed assets and capital expenditure to revenue and total assets, and the LO (low obsolescence rate) factor focuses on the proportion of annualized depreciation and goodwill in revenue and total assets, and introduces industry prior scores [27]. 3.2 Future Strategy: Focus on the Supplementary Rise Opportunities of Enhanced HALO - The top - ranked HALO ETFs are mainly of the "double - high" and "balanced" types, rather than being driven by a single factor of H or LO. The top - ranked core varieties (green power - related ETFs) have H scores above 90 and LO scores above 70 [31]. - The performance of the core HALO portfolio is the best. Since 2026, the cumulative net value of the equally weighted core HALO portfolio has led other portfolios, with a maximum drawdown of only 3.42%, significantly lower than other portfolios. Its Sharpe ratio and Calmar ratio are 5.54 and 43.71 respectively, with a much higher cost - performance [33]. - In terms of specific industries, coal still has investment value as the geopolitical situation in the Middle East has not substantially eased, and the demand for coal and coal chemical industry is expected to increase. In the enhanced HALO category, the lithium - battery sector has a small increase since the beginning of the year, with a relatively low congestion level, and is expected to have a supplementary rise. Steel and building materials sectors may benefit from anti - involution policies and still have allocation value [3][34][35].