Report Industry Investment Rating No information provided in the content. Core Viewpoints 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. Each index has its own unique strategy and has achieved different levels of excess returns over different time periods [12]. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - **Overall Performance Last Week**: The table shows the performance of various ETF strategy indices last week, including their returns, comparison benchmarks, benchmark returns, and excess returns. For example, the Huabao Research Large - Small Cap Rotation ETF Strategy Index had a last - week return of 1.73%, with a benchmark (CSI 800) return of 0.20% and an excess return of 1.52% [13]. 1.1. Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy**: Utilizes 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 relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 27.85%, the excess return in the recent month was 4.13%, and the excess return in the recent week was 1.52%. The index's recent - week return was 1.73%, recent - month return was 10.63%, and return since 2024 was 69.44%, compared with the CSI 800's 0.20%, 6.50%, and 41.59% respectively. - **Positions**: As of 2026/1/16, it held 50% in the CSI 500ETF (fund code: 159922.SZ) and 50% in the CSI 1000ETF (fund code: 512100.SH) [14][15][18]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors, and then maps the timing signals to ETFs based on the ETFs' exposure 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. - **Performance**: As of 2026/1/16, the excess return since 2024 was 16.89%, the excess return in the recent month was - 4.53%, and the excess return in the recent week was - 1.19%. - **Positions**: As of 2026/1/16, it held 25.23% in the Free Cash Flow ETF800 (fund code: 563580.SH), 25.11% in the Shenzhen Dividend ETF (fund code: 159905.SZ), 24.87% in the Dividend Low - Volatility 100ETF (fund code: 515100.SH), and 24.79% in the High - Dividend ETF (fund code: 563180.SH) [18][19][21]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: Starts from a multi - factor perspective, including the grasp of medium - to - long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 39.33%, the excess return in the recent month was 1.80%, and the excess return in the recent week was - 0.03%. - **Positions**: As of 2026/1/16, it held 21.64% in the Non - Ferrous Metals ETF (fund code: 512400.SH), 19.99% in the Chemical ETF (fund code: 159870.SZ), 19.79% in the Penghua Petroleum ETF (fund code: 159697.SZ), 19.43% in the Steel ETF (fund code: 515210.SH), and 19.16% in the E Fund Securities and Insurance ETF (fund code: 512070.SH) [21][23][26]. 1.4. Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: Adopts 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 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. - **Performance**: As of 2026/1/16, the excess return since 2024 was - 11.23%, the excess return in the recent month was - 0.53%, and the excess return in the recent week was 0.77%. - **Positions**: As of 2026/1/16, it held 9.05% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 6.50% in the Enhanced 500ETF (fund code: 159610.SZ), 6.38% in the CSI 1000ETF (fund code: 512100.SH), 33.10% in the Enhanced 300 ETF (fund code: 561300.SH), 22.48% in the Short - Term Financing ETF (fund code: 511360.SH), and 22.48% in the Policy Financial Bond ETF (fund code: 511520.SH) [25][26][28]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: 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 timely tracks and digs out hot - spot index target products to construct an ETF portfolio that can timely capture market hot - spots, providing investors with references for short - term market trends and helping them make more informed investment decisions. - **Performance**: As of 2026/1/16, the excess return in the recent month was 2.67% and the excess return in the recent week was 1.48%. - **Positions**: As of 2026/1/16, it held 41.45% in the Non - Ferrous 50ETF (fund code: 159652.SZ), 21.71% in the Bosera Hong Kong Stock Dividend ETF (fund code: 513690.SH), 19.81% in the E Fund Hong Kong Stock Connect Pharmaceutical ETF (fund code: 513200.SH), and 17.03% in the Short - Term Financing ETF (fund code: 511360.SH) [28][30][31]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: 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 below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability. - **Performance**: As of 2026/1/16, the excess return in the recent month was 0.30% and the excess return in the recent week was 0.20%. - **Positions**: As of 2026/1/16, it held 50.02% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 24.99% in the Policy Financial Bond ETF (fund code: 511520.SH), and 24.99% in the 5 - to 10 - Year Treasury Bond ETF (fund code: 511020.SH) [31][32][34].

Report Information - Report Title: ETF Strategy Index Tracking Weekly Report, Public Fund Weekly Report [1] - Report Date: December 29, 2025 [1] Investment Ratings - Not provided in the report Core Views - The report presents several ETF strategy indices constructed by Huabao Securities, aiming to obtain excess returns relative to the market through different quantitative models and strategies. It also tracks the performance and positions of these indices on a weekly basis [4][5][12] Summary by Directory 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week, including the index name, last week's index return, comparison benchmark, last week's benchmark return, and excess return [13] | Index Name | Last Week's Index Return | Comparison Benchmark | Last Week's Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Large - Small Cap Rotation ETF Strategy Index | 1.96% | CSI 800 | 2.50% | -0.54% | | Huabao Research Quantitative Fire - Wheel ETF Strategy Index | 4.18% | CSI 800 | 2.50% | 1.67% | | Huabao Research Quantitative Balance Technique ETF Strategy Index | 1.04% | SSE 300 | 1.95% | -0.91% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | 3.94% | CSI 800 | 2.50% | 1.43% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 2.03% | CSI All - Share | 2.78% | -0.75% | | Huabao Research Bond ETF Duration Strategy Index | 0.03% | ChinaBond Aggregate Index | 0.04% | -0.01% | 1.1 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. The model outputs signals weekly to predict the strength of the indices in the next week and determines positions accordingly [4][14] - **Performance**: As of December 26, 2025, the excess return since 2024 is 19.71%, the excess return in the past month is - 0.63%, and the excess return in the past week is - 0.54% [4][14] - **Position**: Holds 100% of the SSE 300ETF (fund code: 510300.SH) [18] 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses volume - price indicators to time self - built barra factors, and then maps the timing signals to ETFs based on the exposure of ETFs to 9 barra factors. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4] - **Performance**: As of December 26, 2025, the excess return since 2024 is 22.50%, the excess return in the past month is - 1.98%, and the excess return in the past week is 1.43% [4] - **Position**: Holds 25.05% of the Huaxia Science and Technology Innovation Composite Index ETF (fund code: 589000.SH), 25.04% of the Fuguo Science and Technology Innovation Composite Index ETF (fund code: 589600.SH), 25.02% of the Southern GEM 200ETF (fund code: 159270.SZ), and 24.89% of the Wanjia GEM Composite ETF (fund code: 159541.SZ) [22] 1.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: 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 behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors [22] - **Performance**: As of December 26, 2025, the excess return since 2024 is 38.65%, the excess return in the past month is 2.06%, and the excess return in the past week is 1.67% [22][25] - **Position**: Holds 20.97% of the Securities and Insurance ETF (fund code: 512070.SH), 20.60% of the Chemical ETF (fund code: 159870.SZ), 19.54% of the Steel ETF (fund code: 515210.SH), 19.49% of the Oil and Gas ETF (fund code: 159697.SZ), and 19.39% of the New Energy ETF (fund code: 516160.SH) [26] 1.4 Huabao Research Quantitative Balance Technique ETF Strategy Index - **Strategy**: Adopts a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the trend of the equity market and establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution [26] - **Performance**: As of December 26, 2025, the excess return since 2024 is - 11.11%, the excess return in the past month is - 1.05%, and the excess return in the past week is - 0.91% [26][27] - **Position**: Holds 9.23% of the Ten - Year Treasury Bond ETF (fund code: 511260.SH), 6.11% of the 500ETF Enhanced (fund code: 159610.SZ), 5.98% of the CSI 1000ETF (fund code: 512100.SH), 32.84% of the 300 Enhanced ETF (fund code: 561300.SH), 22.94% of the Government Financial Bond ETF (fund code: 511520.SH), and 22.89% of the Short - Term Financing ETF (fund code: 511360.SH) [29] 1.5 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 views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot spots in a timely manner [29] - **Performance**: As of December 26, 2025, the excess return in the past month is - 1.22%, and the excess return in the past week is - 0.75% [29][32] - **Position**: Holds 38.33% of the Non - Ferrous Metals 50ETF (fund code: 159652.SZ), 23.48% of the Boshi Hong Kong Stock Dividend ETF (fund code: 513690.SH), 19.50% of the Hong Kong Stock Connect Pharmaceutical ETF (fund code: 513200.SH), and 18.69% of the Short - Term Financing ETF (fund code: 511360.SH) [33] 1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity and volume - price indicators to screen effective timing factors and predicts bond yields through a machine - learning method. When the expected yield is lower than a certain threshold, it reduces the long - duration positions in the bond investment portfolio [6][33] - **Performance**: As of December 26, 2025, the excess return in the past month is 0.18%, and the excess return in the past week is - 0.01% [6][33] - **Position**: Holds 50.01% of the Ten - Year Treasury Bond ETF (fund code: 511260.SH), 25.00% of the Government Financial Bond ETF (fund code: 511520.SH), and 25.00% of the 5 - to 10 - Year Treasury Bond ETF (fund code: 511020.SH) [36]

Quantitative Models and Construction Methods 1. Model Name: Style Rotation Model - **Model Construction Idea**: The model is built from basic style factors such as valuation, market capitalization, volatility, and momentum, gradually constructing a style timing and scoring system[4][9] - **Model Construction Process**: 1. Construct 640 micro features based on 80 basic micro indicators[9] 2. Use common indices as style stock pools to replace the absolute proportion division of style factors, constructing new style returns as labels[4][9] 3. Use a random forest model for style timing and obtain the current score for each style[4][9] 4. Integrate the timing results and scoring results to construct a monthly frequency style rotation model[4][9] - **Model Evaluation**: The model effectively avoids overfitting risks through rolling training of the random forest model and constructs a comprehensive framework from style timing to style scoring and from style scoring to actual investment[9] Model Backtesting Results 1. **Style Rotation Model**: - Annualized Return: 16.18%[10][11] - Volatility: 20.28%[10][11] - Information Ratio (IR): 0.80[10][11] - Win Rate: 59.43%[10][11] - Maximum Drawdown: 25.20%[11] 2. **Market Benchmark (Hedged)**: - Annualized Return: 10.36%[10][11] - Volatility: 10.85%[10][11] - Information Ratio (IR): 0.95[10][11] - Win Rate: 54.72%[10][11] - Maximum Drawdown: 8.53%[11]

Report Summary 1. Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoint The report presents several ETF strategy indices constructed by Huabao Research, tracking their performance and positions on a weekly basis. These indices aim to achieve excess returns relative to the market through different quantitative models and strategies [11]. 3. Summary by Index 3.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy**: Uses multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index, determining positions weekly [3][13]. - **Performance**: As of 2025/10/10, the excess return since 2024 is 18.82%, the excess return in the past month is - 1.13%, and the excess return since 2025/9/26 is - 0.18% [3][13]. - **Position**: Holds 100% of the CSI 300 ETF [16]. 3.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Utilizes price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 Barra factors, covering mainstream broad - based and style/strategy ETFs [3]. - **Performance**: As of 2025/10/10, the excess return since 2024 is 18.21%, the excess return in the past month is 3.83%, and the excess return since 2025/9/26 is 0.21% [3]. - **Position**: Holds CSI 1000ETF (29.17%), CSI 2000ETF (27.83%), Value 100ETF (26.57%), and CSI 500ETF (16.44%) [20]. 3.3 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: Considers multiple factors including medium - long - term fundamentals, short - term market trends, and market participant behavior, using valuation and crowding signals to identify industry risks and potential sectors [4][21]. - **Performance**: As of 2025/10/10, the excess return since 2024 is 29.29%, the excess return in the past month is 8.12%, and the excess return since 2025/9/26 is 1.30% [4][21]. - **Position**: Holds New Energy ETF (22.33%), Non - Ferrous Metals ETF (21.31%), Electronic ETF (20.37%), Communication ETF (18.53%), and Logistics ETF (17.45%) [24]. 3.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: Employs a multi - factor system including economic fundamentals, liquidity, technicals, and investor behavior to construct a quantitative timing system for equity market trend analysis and size - style prediction to adjust positions [4][25]. - **Performance**: As of 2025/10/10, the excess return since 2024 is - 10.98%, the excess return in the past month is - 2.94%, and the excess return since 2025/9/26 is - 0.45% [4][25]. - **Position**: Holds 10 - Year Treasury Bond ETF (9.18%), CSI 500ETF Enhanced (6.27%), CSI 1000ETF (6.01%), 300 Enhanced ETF (32.97%), Short - Term Financing ETF (22.79%), and Policy Financial Bond ETF (22.77%) [26]. 3.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to identify hot - spot index products and build an ETF portfolio for short - term market trend reference [5][27]. - **Performance**: As of 2025/10/10, the excess return in the past month is 0.23%, and the excess return since 2025/9/26 is 2.95% [5][27]. - **Position**: Holds Non - Ferrous Metals 50ETF (36.47%), Hong Kong Stock Connect Pharmaceutical ETF (22.79%), Hong Kong Stock Dividend ETF (22.40%), and Short - Term Financing ETF (18.33%) [32]. 3.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity and price - volume indicators to select timing factors and predicts bond yields through machine learning, reducing long - duration positions when expected yields are low [5][30]. - **Performance**: As of 2025/10/10, the excess return in the past month is 0.69%, and the excess return since 2025/9/26 is 0.06% [5][30]. - **Position**: Holds Short - Term Financing ETF (49.98%), 10 - Year Treasury Bond ETF (25.03%), 5 - 10 - Year Treasury Bond ETF (12.51%), and Policy Financial Bond ETF (12.48%) [35].

Group 1 - The report highlights the performance of various ETF strategy indices, indicating that the Huabao Research Large and Small Cap Rotation ETF Strategy Index achieved an excess return of 17.33% since the beginning of 2024, with a weekly return of 0.29% [14][18] - The Huabao Research SmartBeta Enhanced ETF Strategy Index reported an excess return of 17.02% since the beginning of 2024, with a recent monthly return of -2.18% [18][21] - The Huabao Research Quantitative Fire Wheel ETF Strategy Index has shown an excess return of 3.01% since the beginning of 2024, with a weekly return of -0.09% [22][24] Group 2 - The Huabao Research Quantitative Balance ETF Strategy Index has recorded an excess return of -0.42% since the beginning of 2024, with a recent weekly return of -0.87% [26][28] - The Huabao Research Hotspot Tracking ETF Strategy Index has a recent monthly excess return of -0.68% and a weekly return of -1.09% [30][31] - The Huabao Research Bond ETF Duration Strategy Index reported a recent monthly excess return of -0.10% and a weekly return of -0.05% [34][36]