hjn 2025 年 11 月 24 日 证券研究报告 | 公募基金周报 ETF 策略指数跟踪周报 2025/11/24 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 邮箱：zhangjunrui@cnhbstock.com 1、《全球市场震荡因素增加，常青低波策 略优势显现 —公募基金量化遴选类策略 指数跟踪周报（2025.11.16）》2025-11-18 2、《美联储降息预期降温，国内债市延续 震荡 —公募基金泛固收指数跟踪周报 （2025.11.10-2025.11.14）》2025-11-17 3、《算力延续调整，资金"高低切"—公 募 基 金 权 益 指 数 跟 踪 周 报 （2025.11.10-2025.11.14）》2025-11-17 4 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/11/17》2025-11-17 基 金 泛 固 收 指 ...

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - The report presents several ETF strategy indices developed by Huabao Research, aiming to provide investors with strategies to obtain excess returns relative to the market. These indices are tracked weekly for performance and holdings [13]. 3. Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance Table**: The table shows the performance of different ETF strategy indices in the 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 - 1.06%, with a benchmark (CSI 800) return of - 1.13% and an excess return of 0.07% [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. The model outputs signals weekly to determine holdings [15]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 20.08%, the excess return in the last month was - 0.02%, and the excess return in the last week was 0.07%. The index's last - week return was - 1.06%, compared to the CSI 800's - 1.13% [15][18]. - **Holdings**: As of 2025/11/14, it held 100% of the Shanghai - Shenzhen 300ETF [20]. 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 [20]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 18.92%, the excess return in the last month was 2.02%, and the excess return in the last week was 1.63%. The index's last - week return was 0.50%, compared to the CSI 800's - 1.13% [20][23]. - **Holdings**: As of 2025/11/14, it held multiple ETFs, such as the 512890.SH Dividend Low - Volatility ETF with a 25.15% weight [24]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, 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 indicate industry risks and digs out potential sectors [24]. - **Performance**: As of 2025/11/14, the excess return since 2024 was 37.09%, the excess return in the last month was 6.32%, and the excess return in the last week was 1.25%. The index's last - week return was 0.12%, compared to the CSI 800's - 1.13% [24][26]. - **Holdings**: As of 2025/11/14, it held ETFs like the 516160.SH New Energy ETF with a 20.47% weight [28]. 1.4. Huabao Research Quantitative Balancing Act 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 analysis. It also predicts the market's large - and small - cap styles to adjust equity market positions [28]. - **Performance**: As of 2025/11/14, the excess return since 2024 was - 11.12%, the excess return in the last month was - 1.10%, and the excess return in the last week was 0.77%. The index's last - week return was - 0.31%, compared to the Shanghai - Shenzhen 300's - 1.08% [28][29]. - **Holdings**: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 9.23% weight [31]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and mines hot - spot index target products through market sentiment analysis, industry event tracking, investor sentiment, professional views, policy changes, and historical analysis to build an ETF portfolio that can capture market hot - spots [31]. - **Performance**: As of 2025/11/14, the excess return in the last month was 0.51%, and the excess return in the last week was 2.99%. The index's last - week return was 2.46%, compared to the CSI All - Share Index's - 0.53% [31][34]. - **Holdings**: As of 2025/11/14, it held the 159652.SZ Non - Ferrous Metals 50ETF with a 36.05% weight [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 portfolio [35]. - **Performance**: As of 2025/11/14, the excess return in the last month was - 0.05%, and the excess return in the last week was - 0.01%. The index's last - week return was 0.04%, compared to the ChinaBond Aggregate Index's 0.05% [35][36]. - **Holdings**: As of 2025/11/14, it held the 511260.SH 10 - Year Treasury Bond ETF with a 50.00% weight [38].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents several ETF strategy indices constructed by Huabao Securities, tracking their performance and positions on a weekly basis. These indices aim to achieve excess returns relative to the market through various quantitative models and strategies [4][5][6]. 3. Summary by Directory 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of different 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 0.83%, a benchmark (CSI 800) return of 0.59%, and an excess return of 0.24% [13]. 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, determining positions weekly. - **Performance**: As of 2025/11/7, the excess return since 2024 was 20.20%, the excess return in the past month was 0.81%, and the excess return in the past week was 0.24%. The current position is 100% in the SSE 50 ETF (510300.SH) [14][16][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 exposure to 9 major Barra factors. - **Performance**: As of 2025/11/7, the excess return since 2024 was 16.62%, the excess return in the past month was - 1.12%, and the excess return in the past week was 1.97%. The positions include 25.07% in the Dividend ETF (510880.SH), 25.04% in the SSE 300 Dividend ETF (512530.SH), 24.98% in the Dividend Low - Volatility ETF (512890.SH), and 24.91% in the CSI Dividend ETF (515080.SH) [18][19][22]. 1.3. Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including mid - to - long - term fundamental analysis, short - term market trend tracking, and analysis of market participants' behavior. It uses valuation and congestion signals to prompt industry risks and digs out potential sectors. - **Performance**: As of 2025/11/7, the excess return since 2024 was 35.34%, the excess return in the past month was 3.52%, and the excess return in the past week was 2.16%. The positions include 20.19% in the New Energy ETF (516160.SH), 20.11% in the Bank ETF (512800.SH), 20.03% in the Oil and Gas ETF (159697.SZ), 20.01% in the Power ETF (159611.SZ), and 19.67% in the Securities and Insurance ETF (512070.SH) [22][25][26]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: It uses a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior to construct a quantitative timing system for equity market trend analysis. It also builds a prediction model for market small - large cap styles to adjust equity market positions. - **Performance**: As of 2025/11/7, the excess return since 2024 was - 12.21%, the excess return in the past month was - 0.88%, and the excess return in the past week was - 0.62%. The positions include 9.23% in the 10 - Year Treasury Bond ETF (511260.SH), 6.16% in the CSI 500 Enhanced ETF (159610.SZ), 5.95% in the CSI 1000 ETF (512100.SH), 32.82% in the SSE 300 Enhanced ETF (561300.SH), 22.97% in the Policy Financial Bond ETF (511520.SH), and 22.86% in the Short - Term Financing ETF (511360.SH) [26][27][29]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It tracks and digs out hot - spot index target products based on strategies such as market sentiment analysis, industry event tracking, investor sentiment, professional opinions, policy changes, and historical analysis, constructing an ETF portfolio to capture market hot - spots. - **Performance**: As of 2025/11/7, the excess return in the past month was - 1.11%, and the excess return in the past week was - 0.37%. The positions include 36.05% in the Non - Ferrous Metals 50 ETF (159652.SZ), 24.27% in the Hong Kong Stock Dividend Bosera ETF (513690.SH), 20.99% in the Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 18.70% in the Short - Term Financing ETF (511360.SH) [29][32][33]. 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 portfolio. - **Performance**: As of 2025/11/7, the excess return in the past month was - 0.07%, and the excess return in the past week was 0.05%. The positions include 49.89% in the Short - Term Financing ETF (511360.SH), 25.07% in the 10 - Year Treasury Bond ETF (511260.SH), 12.53% in the Policy Financial Bond ETF (511520.SH), and 12.52% in the 5 - Year Treasury Bond ETF (511020.SH) [33][34][36].

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 [12]. 3. Summary by Directory 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices for the week ending October 31, 2025, including their returns, benchmark returns, and excess returns [13]. | Index Name | Last Week Index Return | Comparison Benchmark | Last Week Benchmark Return | Excess Return | | --- | --- | --- | --- | --- | | Huabao Research Size Rotation ETF Strategy Index | -0.41% | CSI 800 | -0.05% | -0.36% | | Huabao Research SmartBeta Enhanced ETF Strategy Index | -0.01% | CSI 800 | -0.05% | 0.04% | | Huabao Research Quantitative Fire - Wheel ETF Strategy Index | 1.15% | CSI 800 | -0.05% | 1.20% | | Huabao Research Quantitative Balance ETF Strategy Index | 0.12% | SSE 50 | -0.43% | 0.55% | | Huabao Research Hot - Spot Tracking ETF Strategy Index | 0.87% | CSI All - Share Index | 0.41% | 0.46% | | Huabao Research Bond ETF Duration Strategy Index | 0.26% | ChinaBond Aggregate Index | 0.41% | -0.15% | 3.2 Specific Index Analyses - **Huabao Research Size Rotation ETF Strategy Index**: Uses multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. As of October 31, 2025, the excess return since 2024 was 19.72%, 0.52% in the past month, and - 0.36% in the past week. The current position is 100% in the SSE 50 ETF [14][17]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index**: Utilizes price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposures to 9 Barra factors. As of October 31, 2025, the excess return since 2024 was 16.75%, - 3.43% in the past month, and 0.04% in the past week. The positions include several ETFs such as the 800 Free Cash Flow ETF, 800 Dividend Low - Volatility ETF, etc. [16][17]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index**: Adopts a multi - factor approach, considering mid - to long - term fundamentals, short - term market trends, and market participants' behaviors. It uses valuation and congestion signals to identify industry risks and potential sectors. As of October 31, 2025, the excess return since 2024 was 31.54%, 2.17% in the past month, and 1.20% in the past week. The positions cover ETFs in sectors like non - ferrous metals, communications, etc. [22][23]. - **Huabao Research Quantitative Balance ETF Strategy Index**: Employs a multi - factor system including economic fundamentals, liquidity, technicals, and investor behavior to build a quantitative timing system for equity market trend analysis. It also predicts the market's large - and small - cap styles to adjust equity positions. As of October 31, 2025, the excess return since 2024 was - 11.35%, - 0.11% in the past month, and 0.55% in the past week. The positions include various bond and equity ETFs [25][29]. - **Huabao Research Hot - Spot Tracking ETF Strategy Index**: Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to identify hot - spot index products and build an ETF portfolio. As of October 31, 2025, the excess return in the past month was 2.99% and 0.46% in the past week. The positions are similar to the Quantitative Balance ETF Strategy Index [29][34]. - **Huabao Research Bond ETF Duration Strategy Index**: 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. As of October 31, 2025, the excess return in the past month was - 0.07% and - 0.15% in the past week. The positions mainly consist of short - term and long - term bond ETFs [34][37].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is 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 holdings 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 Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance Last Week** - The table shows the performance of various 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 3.34%, a benchmark (CSI 800) return of 3.30%, and an excess return of 0.04% [13]. - **Huabao Research Size Rotation ETF Strategy Index** - 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. As of October 24, 2025, the excess return since 2024 was 20.29%, the excess return in the past month was 0.96%, and the excess return in the past week was 0.04%. The current holding is 100% of the CSI 300 ETF [14][18]. - **Huabao Research SmartBeta Enhanced ETF Strategy Index** - 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. As of October 24, 2025, the excess return since 2024 was 16.69%, the excess return in the past month was - 3.36%, and the excess return in the past week was - 1.71%. The holdings include the Central State - owned Enterprise Dividend ETF, 800 Free Cash Flow ETF, High - Dividend ETF, and Dividend ETF [18][22]. - **Huabao Research Quantitative Fire - Wheel ETF Strategy Index** - It starts from a multi - factor perspective, 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 indicate industry risks and multi - dimensionally digs out potential sectors. As of October 24, 2025, the excess return since 2024 was 29.58%, the excess return in the past month was 3.36%, and the excess return in the past week was 1.45%. The holdings include the Non - Ferrous Metals ETF, Real Estate ETF, Communication ETF, Home Appliance ETF, and New Energy ETF [22][26]. - **Huabao Research Quantitative Balance - Art 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 equity market trend judgment. It also builds a prediction model for market size - style to adjust the equity market position distribution. As of October 24, 2025, the excess return since 2024 was - 12.08%, the excess return in the past month was - 2.08%, and the excess return in the past week was - 1.83%. The holdings include the 10 - Year Treasury Bond ETF, 500ETF Enhanced, CSI 1000ETF, 300 Enhanced ETF, Government - Financial Bond ETF, and Short - Term Financing ETF [26][29]. - **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 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. As of October 24, 2025, the excess return in the past month was 1.88%, and the excess return in the past week was - 2.60%. The holdings include the Non - Ferrous 50ETF, Hong Kong Stock Dividend ETF Boshi, Hong Kong Stock Connect Medical ETF, and Short - Term Financing ETF [29][33]. - **Huabao Research Bond ETF Duration Strategy Index** - 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. As of October 24, 2025, the excess return in the past month was 0.45%, and the excess return in the past week was 0.06%. The holdings include the Short - Term Financing ETF, 10 - Year Treasury Bond ETF, Government - Financial Bond ETF, and Treasury Bond ETF [33][36].

Report Industry Investment Rating No relevant content provided. Core View of the Report The report presents several ETF strategy indices constructed with the help of ETFs, tracking their performance and positions on a weekly basis. These indices aim to obtain excess returns relative to the market through different strategies and models [12]. Summary by Directory 1. ETF Strategy Index Tracking - **Overall Performance**: A 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 - 2.16%, a benchmark (CSI 800) return of - 3.03%, and an excess return of 0.87% [13]. 1.1. 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. The model outputs signals weekly to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns [3][14]. - **Performance**: As of 2025/10/17, the excess return since 2024 was 19.59%, the excess return in the past month was 0.35%, and the excess return in the past week was 0.87% [3][14]. 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 obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [3]. - **Performance**: As of 2025/10/17, the excess return since 2024 was 15.54%, the excess return in the past month was 0.23%, and the excess return in the past week was - 1.38% [3]. 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 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 [4][22]. - **Performance**: As of 2025/10/17, the excess return since 2024 was 26.43%, the excess return in the past month was 2.76%, and the excess return in the past week was - 1.23% [4][22]. 1.4. Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: It 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 establishes a prediction model for the market's large - and small - cap styles to adjust the position distribution of the equity market and obtains excess returns through comprehensive timing and rotation [25]. - **Performance**: As of 2025/10/17, the excess return since 2024 was - 9.54%, the excess return in the past month was 0.62%, and the excess return in the past week was 0.97% [25]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: 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, and constructs an ETF portfolio that can capture market hot - spots in time to provide references for investors' short - term market trends and help them make more informed investment decisions [5][29]. - **Performance**: As of 2025/10/17, the excess return in the past month was 3.44%, and the excess return in the past week was 1.33% [5][29]. 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 methods. When the expected yield is lower than a certain threshold, it reduces the positions of long - duration bonds in the bond investment portfolio to improve the long - term return and drawdown control ability of the portfolio [5][33]. - **Performance**: As of 2025/10/17, the excess return in the past month was 0.29%, and the excess return in the past week was - 0.03% [5][33].

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

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].