分析师：卫以诺 hjn 2026 年 01 月 05 日 证券研究报告 | 公募基金周报 ETF 策略指数跟踪周报 2026/1/5 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 021-20515355 1、《"春季躁动"抢跑，成长和周期占优 — 公 募 基 金 指 数 跟 踪 周 报 （2025.12.22-2025.12.26）》2025-12-29 2 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/12/29》2025-12-29 3、《情绪持续修复，仍偏震荡思维—公募 基 金 泛 固 收 指 数 跟 踪 周 报 （2025.12.15-2025.12.19）》2025-12-22 4、《外部担忧缓解，延续震荡格局—公募 基 金 权 益 指 数 跟 踪 周 报 （2025.12.15-2025.12.19）》20 ...

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

Report Overview - The report provides a weekly tracking of the performance and positions of several ETF strategy indices developed by Huabao Research, covering the period up to December 19, 2025 [12]. 1. ETF Strategy Index Tracking 1.1. Huabao Research Size Rotation ETF Strategy Index - Utilizes multi - dimensional technical indicators and a machine - learning model to predict the return difference between the Shenwan large - cap and small - cap indices, determining positions weekly to gain excess returns [14]. - As of December 19, 2025, the excess return since 2024 is 20.03%, the excess return in the past month is - 0.48%, and the excess return in the past week is 0.07% [14]. - The current position is 100% in the CSI 300ETF [19]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - Uses price - volume indicators to time self - built barra factors and maps timing signals to ETFs based on their exposure to 9 barra factors, aiming for market - outperforming returns [19]. - As of December 19, 2025, the excess return since 2024 is 19.82%, the excess return in the past month is - 0.33%, and the excess return in the past week is - 2.33% [19]. - The current positions include 25.05% in the ChiNext ETF, 25.03% in the ChiNext Large - cap ETF, 24.98% in the STAR Market - ChiNext ETF, and 24.95% in the STAR 50ETF [23]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - Adopts a multi - factor approach, including fundamental analysis, short - term trend tracking, and market participant behavior analysis, using valuation and crowding signals to identify risks and potential sectors for excess returns [23]. - As of December 19, 2025, the excess return since 2024 is 34.96%, the excess return in the past month is - 1.12%, and the excess return in the past week is 1.47% [23]. - The current positions are 21.32% in the Securities and Insurance ETF, 20.08% in the Chemicals ETF, 19.97% in the Oil and Gas ETF, 19.51% in the Steel ETF, and 19.12% in the New Energy ETF [27]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - Builds a quantitative timing system with four types of factors (economic fundamentals, liquidity, technicals, and investor behavior) to judge equity market trends and adjust positions between large - and small - cap styles for excess returns [27]. - As of December 19, 2025, the excess return since 2024 is - 9.79%, the excess return in the past month is - 0.93%, and the excess return in the past week is 0.39% [27]. - The current positions include 9.32% in the 10 - Year Treasury Bond ETF, 5.95% in the CSI 500 Enhanced ETF, 5.80% in the CSI 1000ETF, 32.60% in the CSI 300 Enhanced ETF, 23.18% in the Policy Financial Bond ETF, and 23.14% in the Short - Term Financing ETF [30]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - Tracks market sentiment, industry events, investor sentiment, policies, and historical trends to capture hot - spot index products and build an ETF portfolio for short - term market trend reference [30]. - As of December 19, 2025, the excess return in the past month is - 1.31%, and the excess return in the past week is - 0.05% [30]. - The current positions are 37.33% in the Non - Ferrous Metals 50ETF, 23.72% in the Bosera Hong Kong Stock Dividend ETF, 19.94% in the Hong Kong Stock Connect Pharmaceutical ETF, and 19.01% in the Short - Term Financing ETF [34]. 1.6. Huabao Research Bond ETF Duration Strategy Index - 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 to improve long - term returns and control drawdowns [34]. - As of December 19, 2025, the excess return in the past month is 0.29%, and the excess return in the past week is 0.07% [34]. - The current positions include 50.00% in the 10 - Year Treasury Bond ETF, 25.00% in the Policy Financial Bond ETF, and 24.99% in the 5 - to 10 - Year Treasury Bond ETF [37].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - 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 over the market through different methods, such as using multi - dimensional technical indicators, factor timing, and hot - spot tracking [4][5][6]. 3. Summary by Directory 1.1. Huabao Research Size 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, deciding positions based on weekly output signals [4][14]. - **Performance**: As of 2025/12/5, the excess return since 2024 is 20.30%, the excess return in the recent month is 0.36%, and the excess return in the recent week is 0.09%. The index return last week was 1.28%, compared to the CSI 800's 1.19% [4][13][14]. - **Position**: Holds 100% of the SSE 50 ETF (510300.SH) [18]. 1.2. 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 exposures to 9 major Barra factors, covering mainstream broad - based index ETFs and some style/strategy ETFs [4]. - **Performance**: As of 2025/12/5, the excess return since 2024 is 22.66%, the excess return in the recent month is 4.21%, and the excess return in the recent week is - 1.48%. The index return last week was - 0.29%, compared to the CSI 800's 1.19% [4][13][18]. - **Position**: Holds 25.07% of 300 Dividend Low - Volatility ETF (515300.SH), 25.01% of SSE 300 Dividend ETF (512530.SH), 25.00% of Dividend ETF (510880.SH), and 24.91% of Dividend Low - Volatility ETF (512890.SH) [22]. 1.3. Huabao Research Quantitative Fire - Wheel 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 discovers potential sectors [5][22]. - **Performance**: As of 2025/12/5, the excess return since 2024 is 33.49%, the excess return in the recent month is - 0.60%, and the excess return in the recent week is - 0.54%. The index return last week was 0.65%, compared to the CSI 800's 1.19% [5][13][22]. - **Position**: Holds 21.18% of Oil and Gas ETF (159697.SZ), 20.71% of Bank ETF (512800.SH), 19.62% of Power ETF (159611.SZ), 19.38% of Securities and Insurance ETF (512070.SH), and 19.10% of New Energy ETF (516160.SH) [26]. 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: Employs 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 predicts the market's large - and small - cap styles to adjust equity market positions [5][26]. - **Performance**: As of 2025/12/5, the excess return since 2024 is - 10.54%, the excess return in the recent month is 1.15%, and the excess return in the recent week is - 0.71%. The index return last week was 0.57%, compared to the SSE 300's 1.28% [5][13][26]. - **Position**: Holds 9.34% of 10 - Year Treasury Bond ETF (511260.SH), 5.91% of 500ETF Enhanced (159610.SZ), 5.80% of CSI 1000ETF (512100.SH), 32.51% of 300 Enhanced ETF (561300.SH), 23.23% of Short - Term Financing ETF (511360.SH), and 23.20% of Policy Financial Bond ETF (511520.SH) [30]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Tracks and discovers hot - spot index products through market sentiment analysis, industry event tracking, investor sentiment and professional opinions, policy and regulation changes, and historical analysis, constructing an ETF portfolio to capture market hot - spots [6][29]. - **Performance**: As of 2025/12/5, the excess return in the recent month is 3.47%, and the excess return in the recent week is 1.17%. The index return last week was 1.94%, compared to the CSI All - Share Index's 0.77% [6][13][29]. - **Position**: Holds 36.33% of Non - Ferrous Metals 50ETF (159652.SZ), 24.20% of Hong Kong Stock Dividend ETF Bosera (513690.SH), 20.83% of Hong Kong Stock Connect Pharmaceutical ETF (513200.SH), and 18.65% of Short - Term Financing ETF (511360.SH) [32]. 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 in the bond portfolio when the expected yield is below a certain threshold [6][32]. - **Performance**: As of 2025/12/5, the excess return in the recent month is 0.39%, and the excess return in the recent week is 0.20%. The index return last week was - 0.11%, compared to the ChinaBond Aggregate Index's - 0.32% [6][13][32]. - **Position**: Holds 50.01% of 10 - Year Treasury Bond ETF (511260.SH), 25.00% of Treasury Bond ETF 5 - 10 Years (511020.SH), and 24.98% of Policy Financial Bond ETF (511520.SH) [36].

hjn 2025 年 12 月 01 日 证券研究报告 | 公募基金周报 ETF 策略指数跟踪周报 2025/12/1 1、《美联储降息预期摇摆，国内债市窄幅 震荡—公募基金泛固收指数跟踪周报 （2025.11.17-2025.11.21）》2025-11-24 2、《市场共振避险升温，AI 叙事回归基 本 面 — 公 募 基 金 权 益 指 数 跟 踪 周 报 （2025.11.17-2025.11.21）》2025-11-24 3 、《 ETF 策 略 指 数 跟 踪 周 报 — 2025/11/24》2025-11-24 4、《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 5、《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 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- ...

Report Overview - The report is a weekly tracking report on public - offering funds' ETF strategy indices, dated November 24, 2025 [1] Report Core View - 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] Summary by Relevant Catalog 1. ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. For example, the Huabao Research Small - Large Cap Rotation ETF Strategy Index had a last - week index return of - 3.74%, a benchmark of CSI 800 with a return of - 4.31%, and an excess return of 0.57%. The data is as of November 21, 2025, and the last - week return calculation period is from November 14 to November 21, 2025 [13] 1.1. Huabao Research Small - 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 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 [4][14] - **Performance**: As of November 21, 2025, the excess return since 2024 was 20.10%, the excess return in the recent month was 0.51%, and the excess return in the recent week was 0.57% [4][14] - **Position**: As of November 21, 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 the exposure of ETFs 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 November 21, 2025, the excess return since 2024 was 19.67%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 1.02% [4] - **Position**: As of November 21, 2025, it held 25.19% of the Dividend Low - Volatility ETF, 25.06% of the Dividend ETF, 24.92% of the CSI Dividend ETF, and 24.83% of the High - Dividend ETF [22] 1.3. Huabao Research Quantitative Windmill 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 indicate industry risks and multi - dimensionally excavates potential sectors to obtain excess returns relative to the market [5][22] - **Performance**: As of November 21, 2025, the excess return since 2024 was 35.64%, the excess return in the recent month was 4.56%, and the excess return in the recent week was 0.09% [5][22] - **Position**: As of November 21, 2025, it held 20.69% of the Oil and Gas ETF, 20.60% of the Bank ETF, 19.80% of the New Energy ETF, 19.54% of the Securities and Insurance ETF, and 19.37% of the Power ETF [26] 1.4. Huabao Research Quantitative Balance ETF Strategy Index - **Strategy Principle**: It adopts a multi - factor system including four major categories of factors: economic fundamentals, liquidity, technical aspects, and investor behavior. It constructs a quantitative timing system to judge the trend of the equity market, establishes a prediction model for the market's small - and large - cap styles, and adjusts the position distribution in the equity market. It comprehensively uses timing and rotation to obtain excess returns relative to the market [5][26] - **Performance**: As of November 21, 2025, the excess return since 2024 was - 8.44%, the excess return in the recent month was 2.51%, and the excess return in the recent week was 1.83% [5][26] - **Position**: As of November 21, 2025, it held 9.35% of the 10 - Year Treasury Bond ETF, 5.96% of the 500ETF Enhanced, 5.86% of the CSI 1000ETF, 32.40% of the Enhanced 300 ETF, 23.27% of the Policy Financial Bond ETF, and 23.15% of the Short - Term Financing ETF [29] 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy Principle**: It tracks and excavates hot - spot index target products in a timely manner based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional views, policy and regulatory changes, and historical deduction. It constructs an ETF portfolio that can capture market hot - spots in a timely manner, providing investors with references for short - term market trends and helping them make more informed investment decisions [6][29] - **Performance**: As of November 21, 2025, the excess return in the recent month was 3.13%, and the excess return in the recent week was 0.17% [6][29] - **Position**: As of November 21, 2025, it held 36.17% of the Non - Ferrous Metals 50ETF, 24.13% of the Bosera Hong Kong Stock Dividend ETF, 21.12% of the Hong Kong Stock Connect Pharmaceutical ETF, and 18.57% of the Short - Term Financing ETF [33] 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 position of long - duration bonds in the bond investment portfolio to improve the portfolio's long - term returns and drawdown control ability [6][33] - **Performance**: As of November 21, 2025, the excess return in the recent month was 0.00%, and the excess return in the recent week was 0.11% [6][33] - **Position**: As of November 21, 2025, it held 49.99% of the 10 - Year Treasury Bond ETF, 25.02% of the Policy Financial Bond ETF, and 24.99% of the 5 - to 10 - Year Treasury Bond ETF [36]

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].