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]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided 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 holdings of these indices on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies [11]. 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **HuaBao Research Large - Small Cap Rotation ETF Strategy Index**: Last week's index return was -2.18%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was 1.06% [12]. - **HuaBao Research SmartBeta Enhanced ETF Strategy Index**: Last week's index return was -3.18%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was 0.06% [12]. - **HuaBao Research Quantitative Fire - Wheel ETF Strategy Index**: Last week's index return was -5.49%, the benchmark was CSI 800 with a return of -3.24%, and the excess return was -2.25% [12]. - **HuaBao Research Quantitative Balance Art ETF Strategy Index**: Last week's index return was -1.36%, the benchmark was SSE 300 with a return of -2.19%, and the excess return was 0.83% [12]. - **HuaBao Research Hot - Spot Tracking ETF Strategy Index**: Last week's index return was -5.24%, the benchmark was CSI All - Share Index with a return of -4.10%, and the excess return was -1.15% [12]. - **HuaBao Research Bond ETF Duration Strategy Index**: Last week's index return was 0.05%, the benchmark was ChinaBond Aggregate Index with a return of 0.00%, and the excess return was 0.05% [12]. 3.2 HuaBao Research Large - Small Cap 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 the holdings accordingly to obtain excess returns relative to the market [13]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 27.36%, the excess return in the past month was 0.86%, and the excess return in the past week was 1.06%. The holdings included 100% of Huatai - Peregrine SSE 300 ETF (fund code: 510300.SH) [13][17]. 3.3 HuaBao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time the self - built Barra factors, and then maps the 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 [17]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 22.21%, the excess return in the past month was 3.51%, and the excess return in the past week was 0.06%. The holdings included Hongli Low - Volatility 100ETF (25.46%, fund code: 515100.SH), High - Dividend ETF (25.19%, fund code: 563180.SH), Wanjia Free Cash Flow 800ETF (24.68%, fund code: 563580.SH), and ICBC Hongli ETF (24.66%, fund code: 159905.SZ) [17][21]. 3.4 HuaBao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of the medium - and long - term fundamental dimension, 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 [21]. - **Performance**: As of 2026/3/20, the excess return since 2024 was 48.36%, the excess return in the past month was - 0.14%, and the excess return in the past week was - 2.25%. The holdings included Penghua Petroleum ETF (22.39%, fund code: 159697.SZ), Electronic ETF (19.86%, fund code: 159997.SZ), Fuguo Tourism ETF (19.43%, fund code: 159766.SZ), Cathay Building Materials ETF (19.26%, fund code: 159745.SZ), and Chemical ETF (19.06%, fund code: 159870.SZ) [21][25]. 3.5 HuaBao Research Quantitative Balance Art 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 judgment of the equity market. It establishes a prediction model for the market large - small cap style to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation [25]. - **Performance**: As of 2026/3/20, the excess return since 2024 was - 8.00%, the excess return in the past month was 1.25%, and the excess return in the past week was 0.83%. The holdings included Cathay 10 - Year Treasury Bond ETF (9.19%, fund code: 511260.SH), Enhanced 500ETF (6.37%, fund code: 159610.SZ), Southern CSI 1000ETF (6.18%, fund code: 512100.SH), Cathay SSE 300 Enhanced ETF (32.52%, fund code: 561300.SH), Fuguo Government Financial Bond ETF (22.95%, fund code: 511520.SH), and Haifutong Short - Term Financing ETF (22.77%, fund code: 511360.SH) [25][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 according to strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction, and 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 [28]. - **Performance**: As of 2026/3/20, the excess return in the past month was - 3.41%, and the excess return in the past week was - 1.15%. The holdings included Huitianfu Non - Ferrous Metals ETF (39.17%, fund code: 159652.SZ), Boshi Hong Kong Stock Dividend ETF (24.78%, fund code: 513690.SH), Haifutong Short - Term Financing ETF (18.24%, fund code: 511360.SH), and E Fund Hong Kong Stock Connect Pharmaceutical ETF (17.81%, fund code: 513200.SH) [28][32]. 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 [32]. - **Performance**: As of 2026/3/20, the excess return in the past month was 0.24%, and the excess return in the past week was 0.05%. The holdings included Cathay 10 - Year Treasury Bond ETF (49.96%, fund code: 511260.SH), Fuguo Government Financial Bond ETF (25.09%, fund code: 511520.SH), and Ping An Treasury Bond ETF (24.95%, fund code: 511020.SH) [32][35].

1. Report Industry Investment Rating - No information provided in the report 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. These indices aim to obtain excess returns relative to the market through different strategies [12] 3. Summary by Directory 3.1 ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: The report shows the performance of six ETF strategy indices last week, including the index name, last week's index return, comparison benchmark, last week's benchmark return, and excess return. For example, the excess return of the Huabao Research Size Rotation ETF Strategy Index last week was -1.78%, and that of the Huabao Research Quantitative Fire - Wheel ETF Strategy Index was 1.06% [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 [14] - **Performance**: As of March 6, 2026, the excess return since 2024 was 27.61%, the excess return in the recent month was -1.00%, and the excess return in the recent week was -1.78% [14] - **Positions**: As of March 6, 2026, 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 then 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 March 6, 2026, the excess return since 2024 was 19.58%, the excess return in the recent month was 0.39%, and the excess return in the recent week was 0.29% [18] - **Positions**: As of March 6, 2026, it held multiple ETFs such as the Free Cash Flow 800ETF Wanjia (563580.SH) with a weight of 12.96%, the CSI Dividend ETF (515080.SH) with a weight of 12.81%, etc. [21] 3.4 Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including the grasp of the medium - and long - term fundamental dimension, 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 [22] - **Performance**: As of March 6, 2026, the excess return since 2024 was 57.82%, the excess return in the recent month was 1.63%, and the excess return in the recent week was 1.06% [22] - **Positions**: As of March 6, 2026, it held the Petroleum Penghua ETF (159697.SZ) with a weight of 22.66%, the Chemical ETF (159870.SZ) with a weight of 19.74%, etc. [27] 3.5 Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to construct a quantitative timing system for trend judgment of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution of the equity market [28] - **Performance**: As of March 6, 2026, the excess return since 2024 was -8.89%, the excess return in the recent month was 1.43%, and the excess return in the recent week was 0.31% [28] - **Positions**: As of March 6, 2026, it held the 10 - Year Treasury Bond ETF (511260.SH) with a weight of 9.12%, the 500ETF Enhanced (159610.SZ) with a weight of 6.62%, etc. [34] 3.6 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products in a timely manner according to strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction, and constructs an ETF portfolio that can capture market hot - spots in a timely manner [32] - **Performance**: As of March 6, 2026, the excess return in the recent month was -5.85%, and the excess return in the recent week was -1.03% [32] - **Positions**: As of March 6, 2026, it held the Non - Ferrous Metals ETF Huitianfu (159652.SZ) with a weight of 43.56%, the Hong Kong Stock Dividend ETF Boshi (513690.SH) with a weight of 23.04%, etc. [37] 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 [38] - **Performance**: As of March 6, 2026, the excess return in the recent month was 0.27%, and the excess return in the recent week was 0.00% [38] - **Positions**: As of March 6, 2026, it held the 10 - Year Treasury Bond ETF (511260.SH) with a weight of 50.01%, the Policy Financial Bond ETF (511520.SH) with a weight of 25.03%, etc. [43]

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].

Report Industry Investment Rating - Not mentioned in the report Core Viewpoints - By leveraging ETFs, it is convenient to transform quantitative models or subjective viewpoints into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis [12] Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. The "Huabao Research Small and Large - Cap Rotation ETF Strategy Index" had a weekly return of - 2.57%, a benchmark return of - 1.72%, and an excess return of - 0.85%. The "Huabao Research Quantitative Fire - Wheel ETF Strategy Index" had a weekly return of - 2.71%, a benchmark return of - 1.72%, and an excess return of - 0.99%. The "Huabao Research Quantitative Balance Art ETF Strategy Index" had a weekly return of - 0.44%, a benchmark return of - 1.33%, and an excess return of 0.90%. The "Huabao Research SmartBeta Enhanced ETF Strategy Index" had a weekly return of - 5.17%, a benchmark return of - 1.72%, and an excess return of - 3.45%. The "Huabao Research Hot - Spot Tracking ETF Strategy Index" had a weekly return of - 4.02%, a benchmark return of - 1.56%, and an excess return of - 2.46%. The "Huabao Research Bond ETF Duration Strategy Index" had a weekly return of 0.14%, a benchmark return of 0.14%, and an excess return of 0.00% [13] 1.1 Huabao Research Small and 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 holdings accordingly to obtain excess returns relative to the market [14][3] - **Performance**: As of February 6, 2026, the excess return since 2024 was 27.39%, the excess return in the past month was 1.49%, and the excess return in the past week was - 0.85%. The recent week's return was - 2.57%, the recent month's return was 0.06%, and the return since 2024 was 66.67%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [14][18] - **Holdings**: As of February 6, 2026, it held 50% of the "CSI 500ETF" (fund code 159922.SZ) and 50% of the "CSI 1000ETF" (fund code 512100.SH) [18] 1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposures to 9 major Barra factors to achieve returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [17][18] - **Performance**: As of February 6, 2026, the excess return since 2024 was 14.21%, the excess return in the past month was - 3.36%, and the excess return in the past week was - 3.45%. The recent week's return was - 5.17%, the recent month's return was - 4.79%, and the return since 2024 was 53.50%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [18][19] - **Holdings**: As of February 6, 2026, it held 25.28% of the "Western Capital Growth Enterprise Market Large - Cap ETF" (fund code 159814.SZ), 25.10% of the "Huaxia Science and Technology Innovation Comprehensive Index ETF" (fund code 589000.SH), 24.82% of the "Science and Technology Innovation 50ETF" (fund code 588000.SH), and 24.80% of the "E Fund Science and Technology Innovation and Growth Enterprise Market ETF" (fund code 159781.SZ) [18][21] 1.3 Huabao Research Quantitative Fire - Wheel 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 indicate industry risks and multi - dimensionally digs potential sectors to obtain excess returns relative to the market [21][4] - **Performance**: As of February 6, 2026, the excess return since 2024 was 48.59%, the excess return in the past month was 5.45%, and the excess return in the past week was - 0.99%. The recent week's return was - 2.71%, the recent month's return was 4.02%, and the return since 2024 was 87.87%. The benchmark (CSI 800) had a recent - week return of - 1.72%, a recent - month return of - 1.43%, and a return since 2024 of 39.28% [21][23] - **Holdings**: As of February 6, 2026, it held 20.66% of the "E Fund Securities and Insurance ETF" (fund code 512070.SH), 20.05% of the "Steel ETF" (fund code 515210.SH), 19.97% of the "Penghua Petroleum ETF" (fund code 159697.SZ), 19.66% of the "Electronic ETF" (fund code 159997.SZ), and 19.65% of the "Chemical Industry ETF" (fund code 159870.SZ) [26] 1.4 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 comprehensively obtains excess returns relative to the market through timing and rotation [25] - **Performance**: As of February 6, 2026, the excess return since 2024 was - 8.96%, the excess return in the past month was 2.38%, and the excess return in the past week was 0.90%. The recent week's return was - 0.44%, the recent month's return was - 0.04%, and the return since 2024 was 26.37%. The benchmark (CSI 300) had a recent - week return of - 1.33%, a recent - month return of - 2.42%, and a return since 2024 was 35.34% [25][26] - **Holdings**: As of February 6, 2026, it held 9.11% of the "10 - Year Treasury Bond ETF" (fund code 511260.SH), 6.50% of the "500ETF Enhanced" (fund code 159610.SZ), 6.26% of the "CSI 1000ETF" (fund code 512100.SH), 32.94% of the "Guotai CSI 300 Enhanced ETF" (fund code 561300.SH), 22.64% of the "Policy - Financial Bond ETF" (fund code 511520.SH), and 22.55% of the "Haifutong Short - Term Financing ETF" (fund code 511360.SH) [28] 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction to track and dig hot - spot index target products in a timely manner, constructing an ETF portfolio that can capture market hotspots in time to provide investors with references for short - term market trends and help them make more informed investment decisions [28][5] - **Performance**: As of February 6, 2026, the excess return in the past month was 2.05%, and the excess return in the past week was - 2.46%. The recent week's return was - 4.02%, the recent month's return was 1.15%. The benchmark (CSI All - Share Index) had a recent - week return of - 1.56% and a recent - month return of - 0.90% [28][31] - **Holdings**: As of February 6, 2026, it held 41.13% of the "Huitianfu Non - Ferrous Metals ETF" (fund code 159652.SZ), 23.13% of the "Bosera Hong Kong Stock Dividend ETF" (fund code 513690.SH), 18.44% of the "E Fund Hong Kong - Stock Connect Pharmaceutical ETF" (fund code 513200.SH), and 17.30% of the "Haifutong Short - Term Financing ETF" (fund code 511360.SH) [31][32] 1.6 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. 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 [32] - **Performance**: As of February 6, 2026, the excess return in the past month was 0.29%, and the excess return in the past week was 0.00%. The recent week's return was 0.14%, the recent month's return was 0.76%, the return since 2024 was 9.76%, and the return since its establishment was 23.95%. The benchmark (ChinaBond Aggregate Index) had a recent - week return of 0.14%, a recent - month return of 0.47%, a return since 2024 of 3.26%, and a return since its establishment of 7.55% [32][33] - **Holdings**: As of February 6, 2026, it held 50.03% of the "10 - Year Treasury Bond ETF" (fund code 511260.SH), 24.99% of the "Policy - Financial Bond ETF" (fund code 511520.SH), and 24.98% of the "5 - to 10 - Year Treasury Bond ETF" (fund code 511020.SH) [32][35]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - The report presents several ETF strategy indices constructed by Huabao Research and tracks their performance and positions on a weekly basis, aiming to help investors convert quantitative models or subjective views into practical investment strategies [11] 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. The Huabao Research Quantitative Windmill ETF Strategy Index had the highest weekly excess return of 2.56%, while the Huabao Research SmartBeta Enhanced ETF Strategy Index had the lowest weekly excess return of -2.76% [12] 3.1.1 Huabao Research Size 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. It outputs weekly signals to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns [13] - **Performance**: As of 2026/1/30, the excess return since 2024 was 29.34%, the excess return in the past month was 5.89%, and the excess return in the past week was - 1.86%. The index's positions include 50% in the CSI 500ETF and 50% in the CSI 1000ETF [13][17] 3.1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors to achieve market - outperforming returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [17] - **Performance**: As of 2026/1/30, the excess return since 2024 was 20.15%, the excess return in the past month was - 2.11%, and the excess return in the past week was - 2.76%. The index's positions are mainly in several science - innovation and growth - style ETFs [17] 3.1.3 Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including the grasp of medium - to - long - term fundamentals, tracking of short - term market trends, and analysis of the behavior 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 [20] - **Performance**: As of 2026/1/30, the excess return since 2024 was 51.39%, the excess return in the past month was 6.51%, and the excess return in the past week was 2.56%. The index's positions are mainly in commodity - related and financial - related ETFs [20][25] 3.1.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: It adopts a multi - factor system, including economic fundamentals, liquidity, technical analysis, and investor behavior factors, to construct a quantitative timing system for trend analysis of the equity market. It also builds a prediction model for market large - and small - cap styles to adjust the equity market position distribution and obtain excess returns through comprehensive timing and rotation [24] - **Performance**: As of 2026/1/30, the excess return since 2024 was - 10.24%, the excess return in the past month was 0.48%, and the excess return in the past week was - 0.36%. The index's positions include bonds and equity - based ETFs [24][27] 3.1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, tracking of major industry events, investor sentiment and professional opinions, policy and regulatory changes, and historical analysis to track and dig out hot - spot index target products in a timely manner, constructing an ETF portfolio that can capture market hot spots and providing short - term market trend references for investors [27] - **Performance**: As of 2026/1/30, the excess return in the past month was 6.21%, and the excess return in the past week was 3.21%. The index's positions are mainly in commodity, Hong - Kong - stock, and short - term financing ETFs [27][30] 3.1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity 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 long - term returns and drawdown control [30] - **Performance**: As of 2026/1/30, the excess return in the past month was 0.40%, and the excess return in the past week was 0.14%. The index's positions are mainly in bond - related ETFs [30][33]

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].

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 Summary 1. Investment Ratings No investment ratings for the industry are provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices constructed with the help of ETFs, which can 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 Directory 1. ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - **Huabao Research Size Rotation ETF Strategy Index**: Last week's index return was 7.47%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was 3.30% [13]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Last week's index return was 1.97%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -2.21% [13]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Last week's index return was 3.81%, the benchmark was CSI 800 with a return of 4.18%, and the excess return was -0.36% [13]. - **Huabao Research Quantitative Balance Art ETF Strategy Index**: Last week's index return was 1.73%, the benchmark was SSE 300 with a return of 2.79%, and the excess return was -1.06% [13]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Last week's index return was 6.24%, the benchmark was CSI All - Share with a return of 5.04%, and the excess return was 1.20% [13]. - **Huabao Research Bond ETF Duration Strategy Index**: Last week's index return was -0.12%, the benchmark was ChinaBond Aggregate Index with a return of -0.23%, and the excess return was 0.11% [13]. 1.1 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 [14]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 25.26%, the excess return in the recent month was 2.56%, and the excess return in the recent week was 3.30% [14]. - **Positions**: As of January 9, 2026, it held 50% of CSI 500ETF (code: 159922.SZ) and 50% of CSI 1000ETF (code: 512100.SH) [18]. 1.2 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 [18]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 18.76%, the excess return in the recent month was -3.73%, and the excess return in the recent week was -2.21% [18]. - **Positions**: As of January 9, 2026, it held 25.21% of High - Dividend ETF (code: 159207.SZ), 25.13% of Shenzhen Dividend ETF (code: 159905.SZ), 24.98% of Free Cash Flow ETF800 (code: 563580.SH), and 24.68% of Dividend Low - Volatility 100ETF (code: 515100.SH) [21]. 1.3 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 digs out potential sectors to obtain excess returns relative to the market [21]. - **Performance**: As of January 9, 2026, the excess return since 2024 was 39.31%, the excess return in the recent month was 2.75%, and the excess return in the recent week was -0.36% [21]. 1.4 Huabao Research Quantitative Balance Art 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 judgment of the equity market. It establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution of the equity market and comprehensively obtains excess returns relative to the market through timing and rotation [25]. - **Performance**: As of January 9, 2026, the excess return since 2024 was -12.27%, the excess return in the recent month was -1.07%, and the excess return in the recent week was -1.06% [25]. - **Positions**: As of January 9, 2026, it held 20.50% of Non - Ferrous Metals ETF (code: 512400.SH), 20.11% of Chemical ETF (code: 159870.SZ), 20.06% of Securities and Insurance ETF E Fund (code: 512070.SH), 19.88% of Steel ETF (code: 515210.SH), and 19.46% of Oil and Gas ETF (code: 159697.SZ) [26]. 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It 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 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 more informed investment decisions [28]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 1.08%, and the excess return in the recent week was 1.20% [30]. - **Positions**: As of January 9, 2026, it held 40.04% of Non - Ferrous Metals 50ETF (code: 159652.SZ), 22.32% of Hong Kong Stock Dividend ETF Bosera (code: 513690.SH), 19.90% of Hong Kong Stock Connect Pharmaceutical E Fund ETF (code: 513200.SH), and 17.74% of Short - Term Financing ETF (code: 511360.SH) [31]. 1.6 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 [31]. - **Performance**: As of January 9, 2026, the excess return in the recent month was 0.15%, and the excess return in the recent week was 0.11% [32]. - **Positions**: As of January 9, 2026, it held 50.00% of 10 - Year Treasury Bond ETF (code: 511260.SH), 25.00% of Treasury Bond ETF 5 - 10 Years (code: 511020.SH), and 25.00% of Policy Financial Bond ETF (code: 511520.SH) [34].

Report Summary 1. Investment Ratings - No investment ratings for the industry are provided in the report. 2. Core Viewpoints - The report presents several ETF strategy indices constructed with the help of ETFs, aiming to convert quantitative models or subjective views into practical investment strategies. It tracks the performance and positions of these indices on a weekly basis [12]. 3. Summary by Index 3.1 ETF Strategy Index Tracking - **Performance Last Week**: - **Huabao Research Large - Small Cap Rotation ETF Strategy Index**: Returned -0.59% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.18% [13]. - **Huabao Research Quantitative Windmill ETF Strategy Index**: Returned -0.49% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.09% [13]. - **Huabao Research Quantitative Balance Technique ETF Strategy Index**: Returned -0.28% last week, with a benchmark (CSI 300) return of -0.59% and an excess return of 0.31% [13]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Returned -1.08% last week, with a benchmark (CSI 800) return of -0.40% and an excess return of -0.68% [13]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Returned -0.68% last week, with a benchmark (CSI All - Share) return of -0.32% and an excess return of -0.35% [13]. - **Huabao Research Bond ETF Duration Strategy Index**: Returned -0.17% last week, with a benchmark (ChinaBond Aggregate Index) return of -0.20% and an excess return of 0.03% [13]. 3.2 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. It outputs weekly signals to determine positions and obtain excess returns [4]. - **Performance**: As of 2025/12/31, the excess return since 2024 was 19.34%, the excess return in the past month was -0.98%, and the excess return last week was -0.18%. The current position is 100% in the SSE 50 ETF (510300.SH) [4][14][18]. 3.3 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors to outperform the market. It selects mainstream broad - based index ETFs and some style and strategy ETFs [4]. - **Performance**: As of 2025/12/31, the excess return since 2024 was 21.34%, the excess return in the past month was -3.08%, and the excess return last week was -0.68%. The positions include Tianhong ChiNext 300ETF (159836.SZ) with 25.01%, ChiNext Large - Cap ETF (159814.SZ) with 25.01%, E Fund ChiNext ETF (159915.SZ) with 25.00%, and Wanjia ChiNext Composite ETF (159541.SZ) with 24.98% [4][18][22]. 3.4 Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: Adopts a multi - factor approach, including grasping medium - and long - term fundamental dimensions, tracking short - term market trends, and analyzing the behavior of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs potential sectors for excess returns [5]. - **Performance**: As of 2025/12/31, the excess return since 2024 was 38.33%, the excess return in the past month was 2.15%, and the excess return last week was -0.09%. The positions include Chemical ETF (159870.SZ) with 20.94%, E Fund Securities and Insurance ETF (512070.SH) with 20.47%, Oil and Gas ETF (159697.SZ) with 19.77%, Steel ETF (515210.SH) with 19.48%, and New Energy ETF (516160.SH) with 19.34% [5][22][26]. 3.5 Huabao Research Quantitative Balance Technique ETF Strategy Index - **Strategy**: Employs a multi - factor system covering economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend judgment. It also builds a prediction model for market large - and small - cap styles to adjust equity market position distribution and obtain excess returns through timing and rotation [5]. - **Performance**: As of 2025/12/31, the excess return since 2024 was -10.66%, the excess return in the past month was -0.66%, and the excess return last week was 0.31%. The positions include 10 - Year Treasury Bond ETF (511260.SH) with 9.20%, Enhanced 500ETF (159610.SZ) with 6.15%, CSI 1000ETF (512100.SH) with 6.00%, 300 Enhanced ETF (561300.SH) with 32.86%, Short - Term Financing ETF (511360.SH) with 22.90%, and Government Bond ETF (511520.SH) with 22.88% [5][26][29]. 3.6 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 opinions, policy and regulatory changes, and historical deductions. It constructs an ETF portfolio to capture market hot spots and provides short - term market trend references for investors [6]. - **Performance**: As of 2025/12/31, the excess return in the past month was -2.40%, and the excess return last week was -0.35%. The positions include Non - Ferrous Metals 50ETF (159652.SZ) with 39.28%, Bosera Hong Kong Stock Dividend ETF (513690.SH) with 23.20%, E Fund Hong Kong Stock Connect Pharmaceutical ETF (513200.SH) with 18.96%, and Short - Term Financing ETF (511360.SH) with 18.56% [6][29][32]. 3.7 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity and price - volume indicators to select 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 long - term returns and control drawdowns [6]. - **Performance**: As of 2025/12/31, the excess return in the past month was 0.15%, and the excess return last week was 0.03%. The positions include 10 - Year Treasury Bond ETF (511260.SH) with 50.01%, 5 - to 10 - Year Treasury Bond ETF (511020.SH) with 25.00%, and Government Bond ETF (511520.SH) with 24.99% [6][32][35].