图 1:港股通消费 50 ETF(159268.SZ) 网格策略回测收益曲线 注:回测区间为近 120交易日,数据越至 2026/2/13:由于数据获取限制,该回测去于每日前复权收盘价进行; 该回测假设交易费用为 0;回测结果可能与真实交易情况不同;回测结果基于历史数据,不代表未来表现 (2) 港股医疗ETF（159366.SZ） 2026年开年以来，南向资金持续加码港股市 场。据iFinD统计数据,截至2月24日,南向资金合 计净买入额超1500亿港元,2月11个交易日中共有4 日当日净买入额突破百亿港元,为港股医疗板块带 来了显著的增量流动性。据国家药监局数据,2025 年我国创新药对外授权交易总金额超1300亿美元， 授权交易数量超150笔，均创历史新高。据每经网2 月24日援引医药魔方NextPharma数据库显示，截 至2月15日，中国创新药已发生39起对外授权交易 事件. 首付款约2953亿美元. 总会额超490亿美 港股通消费50 ETF (159268.SZ) -159 025090 l 80970 180970 0609700 网格策略累计收益率 仓位(% 右轴) ETF买入持有累计收益率( ...

2026/2/25 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 分析师：薛婧怡 分析师登记编码：S0890525070001 电话：021-20321092 邮箱：xuejingyi@cnhbstock.com 2026 年 02 月 25 日 证券研究报告 | 财富生态周报 ETF 及指数产品网格策略周报 （3）证券保险 ETF 易方达（512070.SH）：券商发债规模同比大幅增长，为 业务扩张奠定坚实基础；沪深北交易所优化再融资政策，利好投行业务。据财 联社 2 月 21 日消息，根据 Choice 数据统计，2026 年截至 2 月 20 日，券商累 计发行债券的募资总额达 4260.4 亿元，同比增长 243.97%，体现出券商发债情 绪的高涨。与此同时，年内债券获批额度已达 3220 亿元。这一方面为券商补充 了较低成本的长期资金，有助于扩大其自营、做市、两融、 ...

Core Insights - The report emphasizes the construction of a strategy portfolio based on industry and thematic ETFs, leveraging insights from previous strategy reports on industry rotation and ETF market overview [2]. Strategy Update - The strategy portfolio includes various ETFs with specific holdings and weightings, such as: - Wine ETF with a market value of 184.16 billion, holding a significant position in the liquor industry (84.84%) [3]. - Real Estate ETF valued at 6.61 billion, fully invested in real estate development (100%) [3]. - Tourism ETF at 88.57 billion, primarily focused on the aviation and airport sector (33.21%) [3]. - New additions include Agriculture and Fishery ETF and Grain ETF, with respective holdings in aquaculture (46.89%) and planting (49.63%) [3]. - The strategy's performance for the period from February 9 to February 13, 2026, showed a cumulative net return of approximately -0.38%, underperforming the CSI 300 ETF by about -0.85% [3]. Performance Tracking - Since October 14, 2024, the strategy has achieved a cumulative return of approximately 37.93%, outperforming the CSI 300 ETF by about 14.43% [3][4]. - The report includes a performance chart illustrating the cumulative return of the industry rotation ETF strategy since its inception [4]. Weekly Holdings and Performance - The report details the weekly performance of various ETFs, indicating that the strategy will continue to hold Wine, Real Estate, Tourism, and Traditional Chinese Medicine ETFs while adding Agriculture and Grain ETFs [11]. - The average return of the ETF portfolio for the week was -0.38%, with a notable underperformance compared to the CSI 300 ETF [11].

Core Viewpoint - The article discusses the performance and potential of ETF grid strategies, particularly focusing on the securities and insurance sectors, as well as the gaming industry, highlighting favorable market conditions and regulatory support for growth [3][4][8]. Group 1: Securities and Insurance ETF - In January 2026, A-shares experienced 20 trading days, with the trading volume exceeding 30 trillion yuan on 8 days, indicating a strong "spring rally" market, benefiting brokerage and margin financing businesses [3]. - Multiple insurance companies reported strong sales during the "opening red" period, particularly in dividend insurance, which serves as a short-term catalyst for the industry [3]. - The article references a significant article by Xi Jinping emphasizing the construction of a "financial power" strategy, which aligns with ongoing capital market reforms, creating a favorable policy environment for the securities and insurance sectors [4]. - Comprehensive reforms, including the full registration system and the development of the "insurance + pension" third pillar, are expected to guide the long-term high-quality development of the securities and insurance industries [4]. Group 2: Gaming ETF - In January 2026, 177 domestic online games and 5 imported games were approved, with a total of 1,771 game licenses issued in 2025, marking a 20% increase from 2024 and the highest number in nearly 7 years [8]. - The domestic market for self-developed games generated actual sales revenue of 291.095 billion yuan in 2025, reflecting an 11.64% year-on-year increase, while overseas sales reached 20.455 billion USD, up 10.23% year-on-year [8]. - The gaming industry is undergoing an AI-driven transformation, with AI applications in game development and operations, which are expected to lower costs and enhance efficiency, thus sharing the benefits of industry innovation [8].

中证全指证券公司指数由A股中不超过50只市值大、流动性好的证券行业股票组成，既覆盖传统证券龙 头，也包含金融科技龙头；沪深300非银行金融指数则覆盖保险、证券和多元金融行业，其中证券行业 占比约60%。 （文章来源：每日经济新闻） 平安证券指出，上市券商2025年业绩密集预喜，整体实现较快增长，业绩增速较往年明显回暖。在"慢 牛"市场环境及政策支持并购重组背景下，券商业绩修复趋势有望延续，头部券商相对优势进一步巩 固。当前资本市场"慢牛"态势凸显，券商有望充分受益于资本市场高质量发展进程，预计证券行业2026 年业绩将在高基数上保持稳健增长。 2月4日午后，银行板块涨幅继续扩大，证券、保险板块短线快速拉升。截至14:18，中证全指证券公司 指数上涨1.6%，成分股中，华林证券涨超7%，东吴证券、华鑫股份涨超3%；沪深300非银行金融指数 上涨1.4%，成分股中，中国太保涨超2%，新华保险、中国人保涨超1%。 ...

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

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - The Financial Street Securities Research Institute constructs a strategy portfolio based on industry and thematic ETFs, referring to the strategy reports "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013) [2] - From 20260126 - 20260130, the cumulative net return of the strategy was approximately - 0.24%, and the excess return relative to the CSI 300 ETF was approximately - 0.39%. From October 14, 2024, to the present, the cumulative out - of - sample return of the strategy was approximately 44.34%, and the cumulative excess return relative to the CSI 300 ETF was approximately 19.78% [3] - In the week of February 2, 2026, the model recommends allocating sectors such as refining and trading, cement, and industrial metals. In the next week, the strategy will newly hold products such as Building Materials ETF, Non - Ferrous Metals ETF, and Real Estate ETF, and continue to hold products such as Petrochemical ETF, Chemical ETF, and Gold Stocks ETF [12] 3. Summary by Relevant Catalog 3.1 Strategy Portfolio Information - The strategy portfolio includes ETFs such as Petrochemical ETF (159731), Building Materials ETF (159745), Non - Ferrous Metals ETF (512400), etc. Each ETF has information such as market value, holding status, heavy - held Shenwan industries and their weights, as well as weekly and daily timing signals. For example, the Petrochemical ETF has a market value of 16.60 billion yuan, and the heavy - held industry is refining and trading with a weight of 27.28%, and both the weekly and daily timing signals are 1 [3] 3.2 Performance Tracking - During 20260126 - 20260130, the cumulative net return of the strategy was about - 0.24%, and the excess return relative to the CSI 300 ETF was about - 0.39%. From October 14, 2024 to now, the cumulative out - of - sample return of the strategy was about 44.34%, and the cumulative excess return relative to the CSI 300 ETF was about 19.78% [3] 3.3 Portfolio Adjustment - In the week of February 2, 2026, the strategy will add holdings of Building Materials ETF, Non - Ferrous Metals ETF, Real Estate ETF, etc., and continue to hold Petrochemical ETF, Chemical ETF, Gold Stocks ETF, etc. Some previously held ETFs such as Mining ETF, Communication ETF, etc. will be removed from the portfolio [3][11][12]

Core Insights - The ETF industry is experiencing a significant expansion, with A-share market trading reaching historical highs and ETF total scale increasing to 6.24 trillion yuan as of January 13, marking a surge of 221.7 billion yuan in just half a month [2][4] - The emergence of the first trillion-yuan ETF manager, Huaxia Fund, signifies a milestone in the industry, with the second-largest player, E Fund, trailing by less than 100 billion yuan [6][7] - The competition among leading institutions has evolved beyond mere market share to include product standardization, investor returns, and ecosystem development [2][9] Market Performance - A-share market remains robust, with daily trading volumes consistently exceeding 3 trillion yuan, reaching nearly 4 trillion yuan on January 14 [4] - The ETF market is a key channel for capital inflow, with stock ETFs being the primary drivers of growth, adding over 220 billion yuan since the beginning of the year [4][5] - Technology-related sectors, including satellite and media, are attracting significant investment, with specific ETFs receiving over 80 billion yuan in net inflows [4][5] Fund Management Trends - The top three ETF managers control over 40% of the total market, with Huaxia Fund leading at over 1 trillion yuan, followed by E Fund and Huatai-PB [6][7] - The rapid growth of these leading firms is attributed to both net subscriptions and net asset value increases, with Huaxia Fund growing by 360.8 billion yuan and E Fund by 326.3 billion yuan in the past year [8] - Smaller ETF managers face challenges, with many having assets below 10 billion yuan, highlighting a trend of resource concentration among top firms [8] Competitive Landscape - The competition in the ETF market is shifting towards diversified strategies, including product naming standardization and enhanced dividend policies [9][10] - Recent announcements of significant dividend distributions by major funds indicate a trend towards improving product attractiveness [9] - The industry is witnessing a wave of rebranding efforts, with several funds standardizing their product names to enhance clarity and marketability [9] Future Outlook - The ETF market is expected to continue its rapid growth, driven by increasing penetration of public funds in asset allocation and a growing acceptance of index investing among investors [10] - Future competition will likely focus on the comprehensive capabilities of fund managers, emphasizing the importance of research, operations, and service integration [10]

Group 1 - The A-share market has seen a significant increase in trading activity, with daily transaction volumes reaching historical highs, surpassing 30 trillion yuan for four consecutive days [2][3] - The total scale of ETFs in the market has reached 6.24 trillion yuan as of January 13, marking an increase of 221.7 billion yuan since the end of last year, indicating a rapid expansion [3][4] - Stock ETFs have been the primary driver of this growth, with over 220 billion yuan added to their scale since the beginning of the year, supported by net inflows exceeding 25 billion yuan [3][4] Group 2 - The emergence of the first trillion-yuan ETF manager, Huaxia Fund, marks a milestone in the industry, holding over 10.08 trillion yuan in ETF assets, accounting for 16.16% of the total market [6][7] - E Fund follows closely with over 9.17 trillion yuan in ETF assets, while the third-largest, Huatai-PB Fund, has 6.43 trillion yuan, highlighting a significant concentration of resources among top firms [6][7] - The top three firms collectively manage over 2.57 trillion yuan, representing more than 40% of the total market scale, indicating a trend of resource concentration towards leading institutions [6][8] Group 3 - The ETF market is evolving beyond mere scale competition, with firms focusing on product naming standardization, dividend distribution, and ecosystem development [9][10] - Dividends have become a crucial method for funds to reward investors, with significant distributions announced, including a record single dividend of 11 billion yuan from Huatai-PB's ETF [10] - The industry is witnessing a wave of name changes for ETFs to enhance product recognition and reduce selection costs for investors, with several leading firms already implementing these changes [10][11] Group 4 - Smaller ETF managers face significant challenges, with 27 out of 58 firms having less than 10 billion yuan in assets, indicating a tough competitive landscape [8][9] - The competition is shifting towards a comprehensive evaluation of fund managers' capabilities, including research, operations, and service quality, rather than just asset size [11][12] - The future of the ETF market is expected to remain robust, driven by increasing penetration of public funds in asset allocation and a growing acceptance of index investing among investors [11]

Core Viewpoint - The A-share market has experienced a significant surge in trading activity, with daily transaction volumes reaching historical highs, leading to the emergence of the first trillion-yuan ETF manager in China, marking a milestone in the industry [3][4][5]. Group 1: Market Performance - The A-share market has shown robust performance, with the Shanghai Composite Index surpassing 4100 points and daily trading volumes nearing 4 trillion yuan, setting new historical records [5]. - The ETF market has seen substantial growth, with the total scale reaching 6.24 trillion yuan as of January 13, 2023, an increase of approximately 221.7 billion yuan since the end of the previous year [6]. - Stock ETFs have been the primary drivers of this growth, with over 220 billion yuan added to their scale since the beginning of the year, supported by net inflows exceeding 25 billion yuan [6][7]. Group 2: Fund Inflows and Performance - The inflow of funds into the ETF market has created a positive feedback loop, significantly increasing ETF net values, with over 97% of stock ETFs achieving positive returns this year [7]. - Notable performers include the Guangfa Media ETF, which has risen by 29.16%, and several others exceeding 25% growth [7]. - In contrast, bond ETFs have faced outflows, with a net outflow of 789.11 billion yuan this year [8]. Group 3: Industry Dynamics - The emergence of the first trillion-yuan ETF manager, Huaxia Fund, which has surpassed 1,008.2 billion yuan in ETF scale, represents a significant industry milestone [10]. - Efunds follows closely with over 917 billion yuan, indicating a competitive landscape where only three firms have ETF scales exceeding 500 billion yuan [10]. - The concentration of resources among leading firms is increasing, with the top three firms holding over 40% of the total market scale [10]. Group 4: Competitive Landscape - The competition in the ETF industry is evolving beyond mere scale to include aspects such as product naming standardization, dividend distribution, and ecosystem development [14][15]. - Recent trends show a push for standardized naming conventions among ETFs to help investors quickly identify product characteristics, thereby enhancing brand recognition for leading firms [15]. - The future of the ETF market is expected to remain strong, driven by increasing penetration of public funds in household asset allocation and a growing acceptance of index investing among investors [15][16].