ETF策略指数跟踪周报-20260330

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and positions of these indices on a weekly basis [12] 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - Overall Performance Table: The table shows the performance of various ETF strategy indices last week, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week return of - 1.42%, a benchmark (CSI 800) return of - 1.10%, and an excess return of - 0.32% [13] 3.2 Huabao Research Small - Large Cap Rotation ETF Strategy Index - Strategy: 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 indices in the next week and determines positions accordingly to obtain excess returns [14] - Performance: As of 2026/3/27, the excess return since 2024 was 26.54%, the excess return in the recent month was - 1.59%, and the excess return in the recent week was - 0.32%. The index's return in the recent week was - 1.42%, in the recent month was - 7.86%, and since 2024 was 60.80% [14][15] - Position: As of 2026/3/27, it held 100% of the Huatai - Bairui CSI 300 ETF [18] 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - Strategy: It uses price - volume indicators to time self - built Barra factors, and maps the timing signals to ETFs based on the exposure of ETFs to 9 major Barra factors to obtain returns exceeding the market [18] - Performance: As of 2026/3/27, the excess return since 2024 was 22.11%, the excess return in the recent month was 2.38%, and the excess return in the recent week was 0.09%. The index's return in the recent week was - 1.01%, in the recent month was - 3.89%, and since 2024 was 56.36% [18][19] - Position: As of 2026/3/27, it held 25.11% of the Huabao 800 Dividend Low - Volatility ETF, 24.98% of the Jianxin CSI 300 Dividend ETF, 24.97% of the Huatai - Bairui Dividend Low - Volatility ETF, and 24.94% of the Huatai - Bairui Dividend ETF [22] 3.4 Huabao Research Quantitative Windmill ETF Strategy Index - Strategy: 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 [22] - Performance: As of 2026/3/27, the excess return since 2024 was 49.01%, the excess return in the recent month was - 2.07%, and the excess return in the recent week was 0.64%. The index's return in the recent week was - 0.45%, in the recent month was - 8.34%, and since 2024 was 83.27% [22][25] - Position: As of 2026/3/27, it held 22.09% of the Penghua Petroleum ETF, 19.66% of the Chemical ETF, 19.50% of the Electronic ETF, 19.47% of the Fuguo Tourism ETF, and 19.28% of the Cathay Building Materials ETF [26] 3.5 Huabao Research Quantitative Balance Art ETF Strategy Index - Strategy: 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 also establishes a prediction model for the market's small - and large - cap styles to adjust the equity market position distribution and obtain excess returns through comprehensive timing and rotation [26] - Performance: As of 2026/3/27, the excess return since 2024 was - 6.72%, the excess return in the recent month was 1.76%, and the excess return in the recent week was 0.94%. The index's return in the recent week was - 0.47%, in the recent month was - 2.66%, and since 2024 was 24.51% [26][27] - Position: As of 2026/3/27, it held 9.30% of the Cathay 10 - Year Treasury Bond ETF, 6.27% of the Invesco CSI 500 Enhanced ETF, 6.04% of the Southern CSI 1000 ETF, 32.11% of the Cathay CSI 300 Enhanced ETF, 23.22% of the Fuguo Government Bond ETF, and 23.04% of the Haifutong Short - Term Financing ETF [29] 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - Strategy: 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 opinions, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot spots in a timely manner to provide investors with a reference for short - term market trends and help them make more informed investment decisions [29] - Performance: As of 2026/3/27, the excess return in the recent month was - 1.70%, and the excess return in the recent week was 2.09%. The index's return in the recent week was 1.36%, and in the recent month was - 9.14% [29][32] - Position: As of 2026/3/27, it held 39.26% of the Huitianfu Non - ferrous Metals ETF, 24.61% of the Boshi Hong Kong Stock Dividend ETF, 18.52% of the Haifutong Short - Term Financing ETF, and 17.61% of the E Fund Hong Kong Stock Connect Pharmaceutical ETF [33] 3.7 Huabao Research Bond ETF Duration Strategy Index - Strategy: 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 [33] - Performance: As of 2026/3/27, the excess return in the recent month was 0.17%, and the excess return in the recent week was 0.05%. The index's return in the recent week was 0.06%, in the recent month was 0.10%, since 2024 was 9.94%, and since its establishment was 24.16% [33][34] - Position: As of 2026/3/27, it held 49.99% of the Haifutong Short - Term Financing ETF, 25.01% of the Cathay 10 - Year Treasury Bond ETF, 12.51% of the Ping An Treasury Bond ETF, and 12.49% of the Fuguo Government Bond ETF [36]