Global and A-share Market Overview - The A-share market experienced an overall decline last week, with the North China 50 Index showing the largest drop at 3.40%. The Hong Kong market also saw a decrease, with the Hang Seng Index down by 1.29%. The top-performing ETFs were primarily in the new energy sector [1][14]. - The performance of major global market indices varied, with the Shanghai Composite Index down by 5.99% and the Shenzhen Component Index down by 5.07% over the week [14]. ETF New Issuance Statistics - A total of 23 stock ETFs were reported in the A-share market last week, with 12 new stock ETFs established. In the US market, three equity ETFs were newly established, two of which are actively managed [1][17][24]. Fund Flow in A-share Market - The top 10 stock ETFs by net inflow were dominated by the CSI 300 Index ETFs, while the top 10 by net outflow were primarily in the non-ferrous metal sector ETFs. The CSI 300 Index ETF saw a net inflow of 38.14 billion yuan, while the CSI A500 Index ETF experienced a net outflow of 19.52 billion yuan [2][25][27]. - In the industry ETF category, the new energy sector led with a net inflow of 56.07 billion yuan, while the TMT sector faced a significant outflow of 64.44 billion yuan [33]. ETF Strategy Performance - The RRG ETF rotation strategy yielded a return of 0.7% last week, outperforming the CSI Equal-weight Index and the CSI 300 Index by 1.27% and 2.11%, respectively. The 50% base + intraday momentum strategy showed returns of 0.91% and 1.33% for the CSI 500 ETF and CSI 1000 ETF, respectively, with excess returns of 0.94% and 1.46% compared to their corresponding 50% position ETFs [4][29].

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the ChiNext Index experiencing the highest increase of 2.51%, while the Hang Seng Index in Hong Kong fell by 1.13%. The leading ETFs were primarily linked to the new energy sector [1][11]. - Major global market indices experienced declines, with the Dow Jones Industrial Average down by 1.99% and the S&P 500 down by 1.60% [12]. ETF New Issuance Statistics - A total of 24 stock ETFs were reported in the A-share market last week, with 22 being industry-themed ETFs. Additionally, 11 stock ETFs were newly established [1][16]. - In the U.S. market, 10 equity ETFs were newly established, with 8 being actively managed ETFs [1][23]. Fund Flows A-share Market - The top 10 ETFs by net inflow were predominantly from the power sector, while the top 10 by net outflow were mainly from the oil sector. The ETF tracking the value 100 index saw significant inflows, while the ETF tracking the CSI A500 index experienced notable outflows [2][24]. - The new energy sector ETFs led the inflows among industry ETFs, while the central enterprise energy ETF and financial technology ETF saw the highest net inflows and outflows, respectively [2][24]. U.S. Market - In the U.S. market, safety-themed ETFs saw the highest net inflows, while resource management-themed ETFs experienced net outflows. Actively managed ETFs based on the Russell 3000 index had significant inflows, while those based on the S&P 500 index saw outflows [3][24]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -2.03%, with excess returns relative to the CSI Equal Weight Index and the CSI 300 Index at -1.61% and -2.22%, respectively [4][29]. - The 50% base + intraday momentum strategy for the CSI 500 ETF and CSI 1000 ETF had returns of -1.66% and -0.84%, respectively, with excess returns of -1.01% and -0.71% compared to the corresponding 50% position ETFs [4][29].

Global and A-share Market Overview - The A-share market experienced an overall decline last week, with the North Stock Exchange 50 Index showing the largest drop of 7.14%. The Hong Kong market also saw a decrease, with the Hang Seng Index down by 3.28%. The leading gainers among ETFs were primarily from upstream sectors [1][14]. - The performance of major global market indices last week indicated a downward trend, with the Shanghai Composite Index down by 0.93% and the Shenzhen Component Index down by 2.22% [14]. ETF New Issuance Statistics - A total of 14 stock ETFs were reported in the A-share market last week, with 3 new stock ETFs established. In the US market, 6 equity ETFs were newly established, all of which were actively managed [1][17][23]. Fund Flow A-share Market - The top 10 ETFs with net inflows were predominantly from the oil sector, while the top 10 with net outflows were mainly broad-based index ETFs. The ETF tracking the Shanghai Composite Index had the highest net inflow, while the ETF tracking the CSI 500 Index had the highest net outflow [2][24]. - The upstream and materials sector ETFs saw significant net inflows, totaling 391.23 billion yuan, while the TMT sector experienced the largest net outflow of 49.16 billion yuan [31][32]. US Market - In the US market, safety-themed ETFs had the highest net inflows, while digital economy-themed ETFs saw the largest net outflows. The total net outflow from ETFs investing in A-shares and Hong Kong stocks amounted to 1.06 million USD [3][24]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of 0.8%, with excess returns of 2.58% relative to the CSI Equal Weight Index and 1.87% relative to the CSI 300 Index. The 50% base + intraday momentum strategy showed returns of -1.32% and -1.37% for the CSI 500 ETF and CSI 1000 ETF strategies, respectively [4][29].

Global and A-share Market Overview - The A-share market experienced an overall increase last week, with the CSI 1000 index showing the largest gain of 4.34% [1] - The Hong Kong stock market also saw a rise, with the Hang Seng Index increasing by 0.82% [1] - The top-performing ETFs were primarily those tracking upstream sector indices [1] ETF New Issuance Statistics - A total of 16 stock ETFs were reported in the A-share market last week, with one new stock ETF established [16] - In the US market, 12 new equity ETFs were established last week, all of which were actively managed [22] Fund Flows A-share Market - The top 10 ETFs by net inflow were mainly industry-themed ETFs, while the top 10 by net outflow were broad-based index ETFs [2] - The ETF tracking the CSI 1000 index had the highest net outflow, while the ETF tracking the Value 100 index had significant net inflow [2] - The new energy sector ETFs saw the highest net inflow among industry ETFs [2] US Stock ETF Market - The energy transition-themed ETFs had the highest net inflow, while digital economy-themed ETFs experienced the largest net outflow [3] - Among actively managed ETFs, the Avantis Emerging Markets Equity ETF saw the highest net inflow, while the Putnam Sustainable Leaders ETF had the largest net outflow [3] - A total net outflow of $1.21 million was recorded for ETFs investing in A-shares and Hong Kong stocks [3] Commodity Market - The mainland gold ETFs had a net inflow of 3.321 billion yuan, while US gold ETFs saw a net inflow of $3.414 billion [3] ETF Strategy Performance - The RRG ETF rotation strategy yielded a return of 7.83% last week, outperforming the CSI Equal Weight and CSI 300 indices by 5.21% and 6.75%, respectively [4] - The 50% base + intraday momentum strategy for the CSI 500 ETF and CSI 1000 ETF achieved returns of 2.41% and 2.18%, with excess returns of 0.25% and -0.02% compared to their respective 50% base ETFs [4]

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the Sci-Tech 50 Index recording the highest increase of 2.58%. The Hong Kong market also saw an uptick, with the Hang Seng Index rising by 2.34%. The top-performing ETFs primarily tracked TMT sector indices [1][11][14]. ETF New Issuance Statistics - Last week, 10 stock ETFs were reported in the A-share market, including 2 focused on non-ferrous metals. A total of 8 new stock ETFs were established. In the US market, 8 equity ETFs were newly established [1][16][18]. Fund Flows in A-share Market - The top 10 ETFs with net inflows were predominantly from the TMT sector, while the top 10 with net outflows were mainly from the CSI 300 Index ETFs. The ETF tracking the Sci-Tech 100 Index had the highest net inflow, while the CSI 300 Index ETF had the highest net outflow [2][25][27]. - In the A-share market, the net inflow for the top 10 broad-based indices included the Sci-Tech 100 with 9.59 billion yuan, while the CSI 300 saw a net outflow of 1,034.75 billion yuan [28][32]. Industry ETF Fund Flows - The TMT sector led the A-share market with a net inflow of 465.84 billion yuan, followed by upstream and materials with 216.32 billion yuan. Other sectors like new energy and consumption also saw positive inflows, while sectors such as low-carbon environmental and agriculture experienced outflows [33][35].

Global and A-share Market Overview - The A-share market experienced an overall increase last week, with the CSI 500 index showing the largest gain of 4.03% [12] - The Hang Seng Index in the Hong Kong market rose by 0.50% [12] - The performance of ETFs tracking the new energy sector was notably strong [12] ETF New Issuance Statistics - A total of 18 stock ETFs were reported in the A-share market last week, with 8 new stock ETFs established [17][19] - In the US market, 5 equity ETFs were newly established, including 2 active ETFs [17][23] Fund Flow in A-share Market - The top 10 ETFs with net inflows were primarily those tracking the CSI A500 index, while the top 10 with net outflows included ETFs related to the CSI 300 index, military industry, and TMT sectors [2][24] - The CSI A500 ETF saw a net inflow of approximately 106.75 million yuan, making it the leading ETF in terms of net inflow [28] - Conversely, the CSI 300 ETF experienced a net outflow of 34.08 million yuan [25] Fund Flow in US Market - In the US market, resource management-themed ETFs had the highest net inflows, while multi-tech themed ETFs saw the largest net outflows [3] - A total net outflow of 1.10 million USD was recorded for ETFs investing in A-shares and Hong Kong stocks [3] ETF Strategy Performance - The RRG ETF rotation strategy yielded a return of 3.84%, outperforming the CSI Equal Weight and CSI 300 indices by 1.66% and 1.89% respectively [4] - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 1000 ETF achieving a return of 2.05% [4]

Core Conclusions - The report upgrades the original intraday momentum strategy to version 2.0, addressing issues such as execution difficulties, premature exits, and profit retracement, resulting in improved applicability and enhanced risk-reward ratios [1][2] - The improved strategy utilizes delayed exits and tiered profit-taking to enhance the risk-reward ratio and win rate [1] - By applying the strategy with a 50% base position in individual ETFs and ETF combinations, it achieves returns that exceed those of a relative buy-and-hold strategy [1] Summary by Sections 1. Review of Intraday Momentum Strategy and Out-of-Sample Performance - The original strategy faced challenges in executing trades at the next minute's opening price after a signal was generated, leading to the adoption of a 5-minute VWAP/TWAP for execution, which improved the strategy's feasibility [19] - The strategy's performance from January 25, 2013, to October 10, 2025, showed an annualized return of 18.9% with a Sharpe ratio of 2.10 and a Calmar ratio of 2.86, maintaining a win rate above 50% [2] 2. Improvements to the Intraday Momentum Strategy 2.1 Issue 1: Execution Difficulties - The strategy was modified to use the 5-minute VWAP/TWAP for trade execution instead of the next minute's opening price, which improved the strategy's feasibility while still providing an advantage over a buy-and-hold approach [19][20] 2.2 Issue 2: Premature Exits - The original strategy's strict exit conditions led to premature closures of positions. By relaxing these conditions, the strategy was able to capture more intraday gains, significantly improving returns [24][29] 2.3 Issue 3: Profit Retracement - The introduction of tiered profit-taking methods helped mitigate profit retracement, thereby reducing drawdowns and enhancing overall performance [1][2] 3. Application of the Improved Strategy - The improved strategy was applied to the CSI 500 ETF and CSI 1000 ETF, yielding annualized excess returns of 10.1% and 9.2%, respectively, while also reducing maximum drawdowns [3] - A portfolio of 22 industry ETFs, allocated equally with a 50% total position, achieved an annualized return of 10.4%, outperforming the buy-and-hold strategy by approximately 3 percentage points [3]

Global and A-share Market Overview - The A-share market experienced an overall decline last week, with the North Stock 50 Index showing the largest drop of 9.04%. The Hong Kong market also saw a decrease, with the Hang Seng Index down by 5.09%. The sectors that faced the most significant declines were primarily in the new energy sector [1][15]. - Major global market indices also reported declines, with the Shanghai Composite Index down by 3.03% and the Shenzhen Component Index down by 6.28%. The ChiNext Index fell by 8.39%, while the STAR 50 Index dropped by 9.16% [15][12]. ETF New Issuance Statistics - A total of 19 stock ETFs were reported in the A-share market last week, with 9 new stock ETFs established. In the U.S. market, 17 equity ETFs were newly established, of which 16 were actively managed ETFs [1][17][23]. Fund Flow Analysis - In the A-share market, the top 10 stock ETFs by net inflow were predominantly broad-based index ETFs, with the CSI 500 ETF leading with a net inflow of 5.778 billion yuan. Conversely, the top 10 stock ETFs by net outflow were mainly from cyclical sectors, with the Bank ETF showing a net outflow of 1.356 billion yuan [2][26][28]. - The U.S. market saw significant inflows into technology-themed ETFs, while political-themed ETFs experienced outflows. The FT Vest US Equity Buffer ETF, based on the S&P 500 Index, had the highest net inflow among actively managed ETFs [3][26]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -6.37%, with excess returns relative to the CSI Equal Weight Index and the CSI 300 Index at -1.58% and -2.6%, respectively. The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 500 ETF returning -3.11% [4][29].

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the Shanghai Composite Index increasing by 1.08% and the Hang Seng Index rising by 1.29%. The leading ETFs were primarily focused on the new energy sector [1][11][14]. - The top-performing A-share ETFs tracked indices related to electric grid equipment, photovoltaic leaders, and environmental protection, with significant gains of 11.42%, 10.66%, and 8.74% respectively [13][14]. ETF New Issuance Statistics - Last week, four stock ETFs were reported in the A-share market, with a total of 13 new stock ETFs established [1][16][20]. - The newly established ETFs included those tracking the ChiNext Composite Index and the IBOVESPA index from Brazil, with fund sizes of 3.26 billion and 3.00 billion respectively [20][21]. Fund Flow Analysis - In the A-share market, the top 10 ETFs by net inflow were predominantly from the financial sector, while the ETFs with the highest net outflows were broad-based indices like the CSI 300 and SSE 50 [2][23][24]. - The financial and biomedical sectors saw significant net inflows of 55.69 billion and 47.21 billion respectively, indicating strong investor interest [31][32]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of 3.19%, outperforming the CSI Equal Weight Index and the CSI 300 Index by 2.18% and 2.37% respectively [4][29]. - The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the Shanghai 50 ETF and CSI 300 ETF achieving returns of 0.47% and 0.52% respectively [4][29].

Global and A-share Market Overview - The A-share market showed mixed performance last week, with the North China 50 Index having the highest increase of 7.52%, while the Hong Kong market saw a decline with the Hang Seng Index dropping by 0.97%. The leading ETFs were primarily tracking the new energy sector indices [1][10][13]. ETF New Issuance Statistics - A total of 9 stock ETFs were reported in the A-share market last week, and 16 new stock ETFs were established. In the US market, 6 equity ETFs were newly established, all of which were actively managed [1][15][21]. Fund Flow in A-share Market - The top 10 stock ETFs by net inflow were mainly broad-based ETFs, with the ETF tracking the CSI 300 Index leading in net inflow. Conversely, the top 10 ETFs by net outflow were predominantly from the new energy sector [2][22][24]. - In the industry sector, the TMT sector ETFs saw the highest net inflow, while the financial technology ETFs experienced the most significant net outflow [2][30]. Fund Flow in US Stock ETF Market - In the US market, AI and big data-themed ETFs had the highest net inflow, while logistics and transportation-themed ETFs saw the most significant net outflow. The Capital Group Dividend Value ETF, benchmarked against the S&P 500 Index, led in net inflow among actively managed ETFs [3][22]. ETF Strategy Performance - The performance of the diffusion indicator + RRG ETF rotation strategy yielded a return of -1.49%, with excess returns relative to the CSI Equal Weight Index and the CSI 300 Index being -2.08% and -1.06%, respectively. The 50% base + intraday momentum strategy showed varying returns across different ETFs, with the CSI 500 ETF achieving a return of 0.84% [4][29].