Report Overview - The report is a weekly update on public offering funds, specifically focusing on ETF strategy index tracking as of September 29, 2025 [1] Investment Ratings - No industry investment ratings are provided in the report Core Views - 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. The performance and positions of these indices are tracked on a weekly basis [12] Summary by Index 1. ETF Strategy Index Tracking - **Overall Performance Last Week**: - The Huabao Research Size Rotation ETF Strategy Index had a weekly return of 1.09%, outperforming the CSI 800 by 0.05% [13] - The Huabao Research Quantitative Firewheel ETF Strategy Index had a weekly return of 2.24%, outperforming the CSI 800 by 1.19% [13] - The Huabao Research Quantitative Balance ETF Strategy Index had a weekly return of 0.40%, underperforming the SSE 50 by 0.67% [13] - The Huabao Research SmartBeta Enhanced ETF Strategy Index had a weekly return of 1.03%, underperforming the CSI 800 by -0.02% [13] - The Huabao Research Hot - Spot Tracking ETF Strategy Index had a weekly return of -0.09%, underperforming the CSI All - Share by -0.29% [13] - The Huabao Research Bond ETF Duration Strategy Index had a weekly return of -0.02%, outperforming the ChinaBond Aggregate Index by 0.23% [13] 1.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy**: Utilizes 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. It outputs weekly signals to determine positions [14] - **Performance**: As of September 26, 2025, the excess return since 2024 was 18.78%, the excess return in the past month was -0.34%, and the excess return in the past week was 0.05% [14] - **Position**: As of September 26, 2025, it held 100% of the SSE 50 ETF [19] 1.2 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 [19] - **Performance**: As of September 26, 2025, the excess return since 2024 was 17.37%, the excess return in the past month was 0.49%, and the excess return in the past week was -0.02% [19] - **Position**: As of September 26, 2025, it held multiple ETFs, including the ChiNext Growth ETF (9.77%), CSI 2000 ETF (25.25%), STAR 50 ETF (23.15%), etc. [23] 1.3 Huabao Research Quantitative Firewheel ETF Strategy Index - **Strategy**: Adopts a multi - factor approach, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and crowding signals to identify industry risks [23] - **Performance**: As of September 26, 2025, the excess return since 2024 was 26.78%, the excess return in the past month was 6.01%, and the excess return in the past week was 1.19% [23] - **Position**: As of September 26, 2025, it held the New Energy ETF (21.61%), Electronics ETF (20.86%), Communication ETF (19.96%), etc. [27] 1.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: Employs a multi - factor system covering economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for equity market trend analysis and size - style prediction [27] - **Performance**: As of September 26, 2025, the excess return since 2024 was -10.28%, the excess return in the past month was -0.99%, and the excess return in the past week was -0.67% [27] - **Position**: As of September 26, 2025, it held the 10 - Year Treasury Bond ETF (9.28%), CSI 500 Enhanced ETF (6.14%), etc. [32] 1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, industry events, investor sentiment, professional opinions, policy changes, and historical trends to construct an ETF portfolio that captures market hot - spots [33] - **Performance**: As of September 26, 2025, the excess return in the past month was 1.15%, and the excess return in the past week was -0.29% [33] - **Position**: As of September 26, 2025, it held the Color Metals 50 ETF (33.02%), Hong Kong Stock Connect Medical ETF (24.12%), etc. [37] 1.6 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. It adjusts long - duration positions based on expected yields [37] - **Performance**: As of September 26, 2025, the excess return in the past month was 0.53%, and the excess return in the past week was 0.23%. Since 2024, the excess return was 5.59%, and since its establishment, it was 8.80% [40] - **Position**: As of September 26, 2025, it held the Short - Term Financing ETF (50.03%), 10 - Year Treasury Bond ETF (24.99%), etc. [41]

Report Overview - The report is a weekly update on public - offering funds, specifically focusing on the tracking of ETF strategy indices as of September 22, 2025 [1] Core Viewpoints - By leveraging ETFs, it is convenient to transform quantitative models or subjective views into practical investment strategies. The report presents several ETF - based strategy indices and tracks their performance and positions on a weekly basis [12] Index - Specific Summaries 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices from September 12 - 19, 2025, including their weekly returns, benchmark returns, and excess returns [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. It outputs weekly signals to determine positions and obtain excess returns. - **Performance**: As of September 19, 2025, the excess return since 2024 is 18.52%, the recent one - month excess return is - 0.48%, and the recent one - week excess return is - 0.17% [14] 1.2. 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 exposures to 9 major Barra factors to outperform the market. - **Performance**: As of September 19, 2025, the excess return since 2024 is 17.22%, the recent one - month excess return is 1.25%, and the recent one - week excess return is 0.83% [18] 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: Adopts a multi - factor approach, including long - and medium - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behaviors. It uses valuation and crowding signals to indicate industry risks and identify potential sectors. - **Performance**: As of September 19, 2025, the excess return since 2024 is 24.66%, the recent one - month excess return is 8.37%, and the recent one - week excess return is 1.07% [22] 1.4. Huabao Research Quantitative Balance 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 analysis. It also predicts the large - small cap style to adjust equity market positions. - **Performance**: As of September 19, 2025, the excess return since 2024 is - 9.37%, the recent one - month excess return is - 2.00%, and the recent one - week excess return is 0.28% [27] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks market sentiment, major industry events, investor sentiment, professional opinions, policy changes, and historical trends to identify hot - spot index products and build an ETF portfolio to capture market trends. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.59%, and the recent one - week excess return is - 1.88% [30] 1.6. 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. It reduces long - duration positions when expected yields are below a certain threshold. - **Performance**: As of September 19, 2025, the recent one - month excess return is 0.34%, and the recent one - week excess return is 0.04% [33]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis. By using ETFs, users can easily transform quantitative models or subjective views into practical investment strategies [12]. 3. Summary by Directory 3.1 ETF Strategy Index Tracking - **Performance in the Last Week (2025/8/22 - 2025/8/29)**: - **HuaBao Research Size Rotation ETF Strategy Index**: Index return was 2.77%, benchmark (CSI 800) return was 2.85%, with an excess return of - 0.08% [13]. - **HuaBao Research Quantitative Fire - Wheel ETF Strategy Index**: Index return was 6.21%, benchmark (CSI 800) return was 2.85%, with an excess return of 3.36% [13]. - **HuaBao Research Quantitative Balance ETF Strategy Index**: Index return was 1.04%, benchmark (CSI 300) return was 2.71%, with an excess return of - 1.67% [13]. - **HuaBao Research SmartBeta Enhanced ETF Strategy Index**: Index return was 3.58%, benchmark (CSI 800) return was 2.85%, with an excess return of 0.73% [13]. - **HuaBao Research Hot - Spot Tracking ETF Strategy Index**: Index return was 0.98%, benchmark (CSI All - Share) return was 1.84%, with an excess return of - 0.87% [13]. - **HuaBao Research Bond ETF Duration Strategy Index**: Index return was 0.03%, benchmark (ChinaBond Aggregate Index) return was 0.00%, with an excess return of 0.04% [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 weekly signals to predict the strength of the indices in the next week and determines the holdings accordingly to obtain excess returns [4][14]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 18.99%, the excess return in the last month was - 0.45%, and the excess return in the last week was - 0.08%. The current holding is 100% CSI 300ETF [4][14][17]. 3.3 HuaBao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time self - built Barra factors and maps the timing signals to ETFs based on their exposure 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 [4]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 16.39%, the excess return in the last month was - 1.13%, and the excess return in the last week was 0.73%. The current holdings include CSI 500ETF (8.71%), Science and Technology Innovation 50ETF (47.87%), CSI 2000ETF (26.16%), and CSI 1000ETF (17.26%) [4][20][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 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 [5][21]. - **Performance**: As of 2025/8/29, the excess return since 2024 was 17.58%, the excess return in the last month was 7.45%, and the excess return in the last week was 3.36%. The current holdings include Communication ETF (24.97%), Industrial Mother Machine ETF (20.08%), Non - ferrous Metals ETF (20.02%), Building Materials ETF (17.53%), and Medical and Health ETF (17.40%) [5][21][24]. 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 to build 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 equity market position distribution and comprehensively obtains excess returns through timing and rotation [5][24]. - **Performance**: As of 2025/8/29, the excess return since 2024 was - 8.96%, the excess return in the last month was - 6.43%, and the excess return in the last week was - 1.67%. The current holdings include 10 - Year Treasury Bond ETF (9.36%), Enhanced 500ETF (5.99%), CSI 1000ETF (5.98%), Enhanced 300ETF (32.05%), Government Bond ETF (23.34%), and Short - Term Financing ETF (23.27%) [5][24][29]. 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 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 time, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][30]. - **Performance**: As of 2025/8/29, the excess return in the last month was - 4.48%, and the excess return in the last week was - 0.87%. The current holdings include Colorful 50ETF (31.61%), Bosera Hong Kong Stock Dividend ETF (24.77%), Hong Kong Stock Connect Medical ETF (23.50%), and Short - Term Financing ETF (20.12%) [6][30][39]. 3.7 HuaBao Research Bond ETF Duration Strategy Index - **Strategy Principle**: 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 position of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [6][35]. - **Performance**: As of 2025/8/29, the excess return in the last month was 0.43%, and the excess return in the last week was 0.04%. The current holding is 100% Short - Term Financing ETF [6][35][40].

Report Overview - The report is a weekly tracking report on public - offering fund ETF strategy indices, covering multiple ETF strategy indices and their performance as of August 15, 2025 [1] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - By constructing multiple ETF strategy indices, investors can conveniently transform quantitative models or subjective views into practical investment strategies, and the report tracks the performance and positions of these indices weekly [12] Summary by Directory 1. ETF Strategy Index Tracking - **Performance of Last Week**: The table shows the performance of different ETF strategy indices last week. For example, the Huabao Research Small - and - Large - Cap Rotation ETF Strategy Index had a return of 2.41%, with a benchmark return of 2.77% and an excess return of - 0.36%. The Huabao Research Quantitative Fire - Wheel ETF Strategy Index had a return of 4.16%, a benchmark return of 2.77%, and an excess return of 1.39% [13] 1.1. Huabao Research Small - and - Large - 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 determine positions and obtain excess returns [4][14] - **Performance**: As of August 15, 2025, the excess return since 2024 was 17.66%, the excess return in the recent month was - 0.85%, and the excess return in the recent week was - 0.36%. The position was 100% in the CSI 300 ETF [14][17] 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 their exposure to 9 major Barra factors to obtain excess returns [16][17] - **Performance**: As of August 15, 2025, the excess return since 2024 was 14.35%, the excess return in the recent month was - 0.74%, and the excess return in the recent week was - 1.40%. The position was 100% in the Value 100ETF [16][20][21] 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy Principle**: It starts from a multi - factor perspective, including long - and medium - term fundamental analysis, short - term market trend tracking, and behavior analysis of market participants. It uses valuation and congestion signals to prompt industry risks and digs out potential sectors to obtain excess returns [20] - **Performance**: As of August 15, 2025, the excess return since 2024 was 11.50%, the excess return in the recent month was 5.27%, and the excess return in the recent week was 1.39%. The positions included Communication ETF, Industrial Mother Machine ETF, etc. [20][23][24] 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for equity market trend judgment. It also builds a prediction model for market small - and large - cap styles to adjust equity market positions and obtain excess returns [24] - **Performance**: As of August 15, 2025, the excess return since 2024 was - 3.51%, the excess return in the recent month was - 1.66%, and the excess return in the recent week was - 1.35%. The positions included Ten - Year Treasury Bond ETF, CSI 1000ETF, etc. [24][27][29] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, etc., to construct an ETF portfolio that can capture market hot - spots and help investors make investment decisions [28] - **Performance**: As of August 15, 2025, the excess return in the recent month was - 1.03%, and the excess return in the recent week was - 1.20%. The positions included Ten - Year Treasury Bond ETF, CSI 1000ETF, etc. [28][29] 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity and price - volume indicators to select 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 portfolio to improve long - term returns and control drawdowns [6] - **Performance**: As of August 15, 2025, the excess return in the recent month was 0.00%, and the excess return in the recent week was 0.03%. The positions included Ten - Year Treasury Bond ETF, 5 - to 10 - Year Treasury Bond ETF, etc. [6][35][36]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints 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 different strategies [13]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week, including index returns, benchmark returns, and excess returns. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of 1.27%, a benchmark (CSI 800) return of 1.38%, and an excess return of - 0.11% [14]. 1.1. 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. It outputs signals weekly to decide positions and obtain excess returns. - **Performance**: As of 2025/8/8, the excess return since 2024 was 17.66%, the excess return in the recent month was - 0.25%, and the excess return in the recent week was - 0.11%. The current position is 100% in the SSE 50 ETF (510300.SH) [15][18][19]. 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 market - outperforming returns. - **Performance**: As of 2025/8/8, the excess return since 2024 was 15.81%, the excess return in the recent month was - 0.76%, and the excess return in the recent week was - 0.34%. The positions include CSI 1000 ETF (512100.SH) with a weight of 6.25%, STAR 50 ETF (588000.SH) with a weight of 51.51%, etc. [19][20][23]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including the grasp of medium - and long - term fundamentals, tracking of short - term market trends, and analysis of market participants' behaviors. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally dig potential sectors. - **Performance**: As of 2025/8/8, the excess return since 2024 was 9.46%, the excess return in the recent month was 4.80%, and the excess return in the recent week was 1.54%. The positions include Industrial Mother Machine ETF (159667.SZ) with a weight of 20.56%, Non - ferrous Metals ETF (512400.SH) with a weight of 20.47%, etc. [23][25][27]. 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. It constructs a quantitative timing system to judge the equity market trend, predicts the market's small - large cap style, and adjusts the equity market position distribution. - **Performance**: As of 2025/8/8, the excess return since 2024 was - 1.88%, the excess return in the recent month was - 0.84%, and the excess return in the recent week was - 0.48%. The positions include 10 - year Treasury Bond ETF (511260.SH) with a weight of 9.74%, CSI 1000 ETF (512100.SH) with a weight of 5.70%, etc. [27][28][31]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and mines hot - spot index target products in a timely manner through strategies such as market sentiment analysis, industry event tracking, and policy changes, and constructs an ETF portfolio to capture market hot - spots. - **Performance**: As of 2025/8/8, the excess return in the recent month was 0.78%, and the excess return in the recent week was 0.91%. The positions include Non - ferrous Metals 50 ETF (159652.SZ) with a weight of 29.66%, Hong Kong Consumption ETF (513230.SH) with a weight of 26.50%, etc. [31][34][35]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity and price - volume indicators to select 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. - **Performance**: As of 2025/8/8, the excess return in the recent month was 0.05%, and the excess return in the recent week was 0.06%. The positions include 10 - year Treasury Bond ETF (511260.SH) with a weight of 50.03%, 5 - to 10 - year Treasury Bond ETF (511020.SH) with a weight of 25.01%, etc. [35][36][38].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents several ETF strategy indices developed by Huabao Research, aiming to help investors convert quantitative models or subjective views into practical investment strategies. It tracks the performance and positions of these indices on a weekly basis, providing data on their excess returns over different time - frames [4][5][6]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **ETF Strategy Index Last Week's Performance**: - The table shows the last week's performance of six ETF strategy indices, including their returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week return of 1.78%, a benchmark (CSI 800) return of 2.10%, and an excess return of - 0.33% [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 weekly signals to determine positions and obtain excess returns [4][14]. - **Performance**: As of July 25, 2025, the excess return since 2024 was 17.92%, the recent one - month excess return was 0.16%, and the recent one - week excess return was - 0.33% [4][14]. - **Position**: As of July 25, 2025, it held 100% of the CSI 300 ETF [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 their exposures to 9 Barra factors to obtain excess returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [4]. - **Performance**: As of July 25, 2025, the excess return since 2024 was 15.29%, the recent one - month excess return was - 1.20%, and the recent one - week excess return was 0.25% [4]. - **Position**: As of July 25, 2025, it held multiple ETFs such as the Value 100ETF, CSI 2000ETF, etc. [23]. 1.3. Huabao Research Quantitative Cyclone 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 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 [5][22]. - **Performance**: As of July 25, 2025, the excess return since 2024 was 8.22%, the recent one - month excess return was 4.29%, and the recent one - week excess return was 2.67% [5][22]. - **Position**: As of July 25, 2025, it held ETFs like the Building Materials ETF, Non - Ferrous Metals 60ETF, etc. [26]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to build a quantitative timing system for equity market trend analysis. It also builds a prediction model for market size styles to adjust equity market position distribution and obtains excess returns through comprehensive timing and rotation [5][26]. - **Performance**: As of July 25, 2025, the excess return since 2024 was - 2.75%, the recent one - month excess return was - 2.91%, and the recent one - week excess return was - 1.03% [5][26]. - **Position**: As of July 25, 2025, it held ETFs such as the 10 - Year Treasury Bond ETF, CSI 1000ETF, etc. [30]. 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 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 time to provide investors with short - term market trend references [6][30]. - **Performance**: As of July 25, 2025, the recent one - month excess return was - 0.38%, and the recent one - week excess return was 1.48% [6][30]. - **Position**: As of July 25, 2025, it held ETFs such as the Non - Ferrous Metals 50ETF, Hong Kong Stock Consumption ETF, etc. [33]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: 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 ability [6][33]. - **Performance**: As of July 25, 2025, the recent one - month excess return was 0.19%, and the recent one - week excess return was 0.12% [6][33]. - **Position**: As of July 25, 2025, it held ETFs such as the 10 - Year Treasury Bond ETF, Treasury Bond ETF 5 - 10 Years, etc. [38].

Group 1 - The report highlights that market sentiment continues to rise, with both domestic and international equity strategy indices showing gains [1][4] - The report provides an overview of various ETF strategy indices, including their performance metrics and methodologies for generating excess returns [12][13] Group 2 - The Huabao Research Large and Small Cap Rotation ETF Strategy Index utilizes multi-dimensional technical indicators and machine learning models to predict the return differences between large and small cap indices, achieving an excess return of 17.48% since 2024 [14][17] - The Huabao Research SmartBeta Enhanced ETF Strategy Index employs price-volume indicators to time self-built Barra factors, resulting in an excess return of 16.32% since 2024 [18][19] - The Huabao Research Quantitative Fire Wheel ETF Strategy Index focuses on multi-factor analysis to identify potential sectors, achieving an excess return of 3.63% since 2024 [22][23] Group 3 - The Huabao Research Quantitative Balance ETF Strategy Index incorporates economic fundamentals, liquidity, technical indicators, and investor behavior to adjust equity market positions, with an excess return of -0.88% since 2024 [25][27] - The Huabao Research Hotspot Tracking ETF Strategy Index tracks market sentiment and significant industry events to capture market trends, reporting an excess return of -3.76% in the last month [30][32] - The Huabao Research Bond ETF Duration Strategy Index uses liquidity and price-volume indicators to optimize bond portfolio duration, achieving a near-zero excess return in the last month [34][36]

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]

1. Report Industry Investment Rating - No information provided in the report. 2. Core Viewpoints of the Report - The report presents several ETF - based strategy indices and tracks their performance and holdings weekly. These indices aim to convert quantitative models or subjective views into practical investment strategies, with the goal of achieving excess returns relative to the market [11]. 3. Summary According to the Table of Contents 3.1 ETF Strategy Index Tracking - **Overall Performance**: The report provides the performance of various ETF strategy indices for the week of 2025/5/23 - 2025/5/30, including their index returns, benchmark returns, and excess returns [12]. 3.2 Sub - indices 3.2.1 Huabao Research Large - Small 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, determining positions based on weekly signals to obtain excess returns [3][13]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 15.96%, the excess return in the past month is - 0.32%, and the excess return in the past week is - 0.32%. In the past week, the index return was - 1.04%, compared to the CSI 800's - 0.73% [3][12][13]. - **Holdings**: As of 2025/5/30, it holds 100% of the CSI 300 ETF [16]. 3.2.2 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, covering mainstream broad - based index ETFs and some style and strategy ETFs [3][16]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 20.01%, the excess return in the past month is 0.81%, and the excess return in the past week is 1.26%. In the past week, the index return was 0.53%, compared to the CSI 800's - 0.73% [3][12][16]. - **Holdings**: As of 2025/5/30, it holds 100% of the Dividend Low - Volatility ETF [21]. 3.2.3 Huabao Research Quantitative Cyclone ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including understanding of medium - to - long - term fundamentals, tracking of short - term market trends, and analysis of market participants' behaviors. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally explores potential sectors to obtain excess returns [4][20]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 2.60%, the excess return in the past month is 1.48%, and the excess return in the past week is - 0.29%. In the past week, the index return was - 1.02%, compared to the CSI 800's - 0.73% [4][12][20]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the Auto ETF, Bank ETF, Agricultural ETF, etc., with weights ranging from 19.64% to 20.21% [23]. 3.2.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: It uses a multi - factor system including 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 - small cap styles to adjust equity market positions, aiming to obtain excess returns through timing and rotation [23]. - **Performance**: As of 2025/5/30, the excess return since 2024 is 1.37%, the excess return in the past month is - 0.87%, and the excess return in the past week is 0.93%. In the past week, the index return was - 0.15%, compared to the SSE 500's - 1.08% [23][25]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the CSI 1000 ETF, Enhanced 500 ETF, etc., with weights ranging from 5.05% to 29.58%, and also holds some bond ETFs [27]. 3.2.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, industry event tracking, investor sentiment and professional opinions, policy and regulation changes, and historical deduction to track and discover hot - spot index products, constructing an ETF portfolio to capture market hot - spots and assist investors in making decisions [27]. - **Performance**: As of 2025/5/30, the excess return in the past month is - 0.15%, and the excess return in the past week is - 0.55%. In the past week, the index return was - 0.70%, compared to the CSI All - Share Index's - 0.15% [27][30]. - **Holdings**: As of 2025/5/30, it holds multiple ETFs such as the Real Estate ETF, Hong Kong Stock Consumption ETF, etc., with weights ranging from 4.00% to 27.78% [31]. 3.2.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine - learning. When the expected yield is below a certain threshold, it reduces long - duration positions in the bond portfolio to improve long - term returns and control drawdowns [31]. - **Performance**: As of 2025/5/30, the excess return in the past month is 0.24%, and the excess return in the past week is 0.12%. In the past week, the index return was 0.01%, compared to the ChinaBond Aggregate Index's - 0.10% [31][32]. - **Holdings**: As of 2025/5/30, it holds the 10 - Year Treasury Bond ETF, 5 - 10 Year Treasury Bond ETF, and Policy Financial Bond ETF, with weights of 49.99%, 12.50%, and 12.48% respectively [34].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents several ETF - based strategy indices and tracks their performance and holdings on a weekly basis to help investors make investment decisions by converting quantitative models or subjective views into practical investment strategies [11]. 3. Summary by Related Catalogs 3.1 ETF Strategy Index Tracking - **Overall Performance Last Week**: - The table shows the performance of different ETF strategy indices last week, including their index returns, benchmark returns, and excess returns. For example, the Huabao Research Size Rotation ETF Strategy Index had a last - week index return of - 0.12%, a benchmark (CSI 800) return of - 0.41%, and an excess return of 0.30% [12]. 3.1.1 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, and decides positions based on the weekly output signal [3][13]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 16.48%, the excess return in the past month was - 0.14%, and the excess return in the past week was 0.30%. The index's return in the past week was - 0.12%, compared to - 0.41% of the CSI 800 [3][13][16]. - **Position**: As of May 23, 2025, it held 100% of the CSI 300 ETF [16]. 3.1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy Principle**: It uses price - volume indicators to time the self - built Barra factors and maps the timing signals to ETFs according to their exposures on 9 major Barra factors to obtain excess returns [3]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 18.52%, the excess return in the past month was 0.39%, and the excess return in the past week was 1.29%. The index's return in the past week was 0.88%, compared to - 0.41% of the CSI 800 [3][17]. - **Position**: As of May 23, 2025, it held 100% of the Dividend Low - Volatility ETF [21]. 3.1.3 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 fundamentals, 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 digs out potential sectors [4]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 2.95%, the excess return in the past month was 1.33%, and the excess return in the past week was 1.25%. The index's return in the past week was 0.84%, compared to - 0.41% of the CSI 800 [4][21]. - **Position**: Specific positions are provided in the report, but details are not fully summarized here [24]. 3.1.4 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 to build a quantitative timing system for equity market trend judgment and adjusts the equity market position distribution by predicting the market size - style [4]. - **Performance**: As of May 23, 2025, the excess return since 2024 was 0.31%, the excess return in the past month was - 1.63%, and the excess return in the past week was 0.10%. The index's return in the past week was - 0.07%, compared to - 0.18% of the SSE 300 [4][24]. - **Position**: As of May 23, 2025, it held various ETFs such as the CSI 1000ETF, Enhanced 500ETF, etc., with different weights [26]. 3.1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and digs out hot - spot index target products through strategies such as market sentiment analysis, industry event tracking, and policy changes to build an ETF portfolio that can capture market hot - spots [5]. - **Performance**: As of May 23, 2025, the excess return in the past month was 1.07%, and the excess return in the past week was 1.60%. The index's return in the past week was 0.90%, compared to - 0.70% of the CSI All - Share Index [5][29]. - **Position**: As of May 23, 2025, it held real estate ETF, Hong Kong stock consumption ETF, etc., with different weights [30]. 3.1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy Principle**: It uses bond market liquidity and price - volume indicators to select effective timing factors and predicts bond yields through machine learning. When the expected yield is lower than a certain threshold, it reduces the long - duration positions in the bond portfolio [5]. - **Performance**: As of May 23, 2025, the excess return in the past month was 0.14%, and the excess return in the past week was 0.11%. The index's return in the past week was 0.06%, compared to - 0.05% of the ChinaBond Aggregate Index [5][31]. - **Position**: As of May 23, 2025, it held short - term financing ETF, 10 - year Treasury bond ETF, etc., with different weights [33].