ETF Flows - Spot ETFs 资金流动出现分化，SOL 和 XRP 现货 ETF 录得净流入，而 BTC 和 ETH 现货 ETF 出现净流出 [1] - BTC 现货 ETF 净流出 3.5769 亿美元 [1] - ETH 现货 ETF 净流出 2.2478 亿美元 [1] - SOL 现货 ETF 净流入 3520 万美元 [1] - XRP 现货 ETF 净流入 1089 万美元 [1]

Market Overview - The three major A-share indices collectively declined, with the Shanghai Composite Index down 1.22%, the Shenzhen Component Index down 1.88%, and the ChiNext Index down 2.35% [1] - The Northbound Trading of the Shanghai and Shenzhen Stock Connect saw the Northbound 50 Index increase by 1.10% [1] - Total trading volume in the Shanghai, Shenzhen, and Beijing markets reached 1.1396 trillion yuan, a decrease of 58.9 billion yuan compared to the previous day [1] - Over 4,400 stocks in the market experienced declines [1] Sector Performance - The photovoltaic, superhard materials, rare earth permanent magnets, cross-strait integration, deep-sea technology, semiconductor, and solid-state battery sectors all experienced pullbacks [1] - Conversely, sectors such as intelligent driving, duty-free shops, and stablecoin themes showed resilience and performed well [1] ETF Performance - Some cross-border ETFs showed strength, with Invesco Great Wall Fund's S&P Consumer ETF rising by 2.78%, and both Huaxia Fund's Brazil ETF and E Fund's Brazil ETF increasing by 1.2% and 1% respectively [3] - The autonomous driving sector saw gains, with Penghua Fund's Intelligent Connected Vehicle ETF and GF Fund's Automotive ETF rising by 0.71% and 0.7% respectively [3] - The fintech sector experienced a slight rebound, with the Fintech ETF from Industrial Bank increasing by 0.43% [3] Gold and Energy Sector - Gold stocks faced significant declines, with the Gold Stock ETF, Gold Stocks ETF, and Gold Stocks ETF Fund dropping by 4.16%, 3.97%, and 3.93% respectively [4] - The electric grid sector saw a comprehensive downturn, with the Electric Grid ETF falling by 3.96% [4] - The photovoltaic sector also adjusted, with the Photovoltaic 50 ETF and the Sci-Tech Innovation ETF both declining by 3% [4]

Core Viewpoint - Nicholas Financial Corporation has filed for the Nicholas Bitcoin and Treasuries AfterDark ETF, which aims to provide Bitcoin exposure during overnight hours while holding short-term U.S. Treasuries during the day [1][2]. Group 1: ETF Strategy - The AfterDark ETF is designed to capitalize on Bitcoin's price movements that typically occur outside traditional trading hours, specifically overnight when U.S. equity markets are closed [2][3]. - The fund will buy Bitcoin-linked instruments after U.S. markets close and sell them shortly after markets reopen the next day, utilizing at least 80% of its assets in regulated financial instruments [3][4]. - This ETF differs from traditional spot Bitcoin ETFs by focusing on timing and active trading strategies rather than long-term holding of Bitcoin [4]. Group 2: Investment Instruments - The AfterDark ETF will use Bitcoin-linked instruments that track Bitcoin's price without requiring direct custody, such as Bitcoin futures, exchange-traded products (ETPs), and options [6]. - By employing these financial tools, the ETF aims to gain Bitcoin exposure during nighttime and avoid exposure during U.S. market hours, which historically experience higher volatility and selling pressure [7].

ETF Race - Bitwise is likely to be the first to market with a Hyperliquid ETF, potentially beating 21Shares [1] - Bitwise's S-1 filing amendment includes the management fee and ticker [1] Source - The Block reported on Bitwise's S-1 filing amendment [1]

ETF Details - Bitwise filed an amendment for its Hyperliquid ETF, indicating a launch is likely imminent [1] - The ETF's fee is set at 67 bps (0.67%) [1] - The ticker symbol for the Bitwise Hyperliquid ETF will be $BHYP [1]

Quantitative Models and Construction Methods 1. Model Name: Industry Crowding Monitoring Model - **Model Construction Idea**: This model is designed to monitor the crowding levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowding levels to provide actionable insights for investors[3] - **Model Construction Process**: The model calculates the crowding levels of various industries based on daily data. It ranks industries by their crowding levels, highlighting those with significant changes. For example, the previous trading day showed high crowding in communication, military, and electronics, while computer, automotive, and media had lower crowding levels. The model also tracks main fund flows to identify industries with increased or decreased allocations[3] - **Model Evaluation**: The model provides a useful tool for identifying industry trends and potential investment opportunities by analyzing crowding dynamics[3] 2. Model Name: Premium Rate Z-Score Model - **Model Construction Idea**: This model identifies potential arbitrage opportunities in ETF products by calculating the Z-score of premium rates over a rolling window[4] - **Model Construction Process**: The Z-score is calculated as follows: $ Z = \frac{(P - \mu)}{\sigma} $ Where: - $ P $ is the current premium rate - $ \mu $ is the mean premium rate over the rolling window - $ \sigma $ is the standard deviation of the premium rate over the rolling window The model flags ETFs with significant deviations from their historical premium rates, indicating potential arbitrage opportunities. It also warns of potential risks of price corrections for these ETFs[4] - **Model Evaluation**: The model is effective in identifying ETFs with significant pricing anomalies, providing actionable signals for arbitrage strategies[4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific numerical backtesting results were provided for this model[3] 2. Premium Rate Z-Score Model - No specific numerical backtesting results were provided for this model[4] --- Quantitative Factors and Construction Methods No specific quantitative factors were mentioned in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were mentioned in the report.

ETF Filing Update - Bitwise amended its Hyperliquid ETF filing [1] - The filing includes the 8-A form, bps fee, and ticker $BHYP [1]

LATEST: 📊 Solana ETFs recorded a seven-day inflow streak totaling $674 million despite SOL being down over 50% from its January all-time high, signaling continued institutional interest through the price decline. https://t.co/ut5jq6xUaU ...

Market Overview - The cryptocurrency market is experiencing a downturn, with Bitcoin dropping below $88,000, showing a 2.43% decline over 24 hours [1] - As of the latest update, Bitcoin's price is $88,547.7, reflecting a daily decrease of 1.9% [1] Price Movements - Ethereum is priced at $3,073, down 1.09% in the last 24 hours [3] - Solana (SOL) has decreased by 2.36%, currently at $129.9 [3] - Other cryptocurrencies such as Dogecoin and BNB have also seen significant declines [3] Market Liquidations - Over the past 24 hours, more than 115,000 traders have been liquidated, with a total liquidation amount of $272 million, including $240 million from long positions and $36.48 million from short positions [5] - Liquidation data shows that in the last hour, $3.724 million was liquidated, with $1.8 million in the last 12 hours [6] Market Sentiment - Jeff Park from Bitwise Alpha indicates that Bitcoin's price struggles are primarily due to OG holders selling options, which suppresses price and implied volatility [7] - The market is characterized by "high supply, low volatility," making Bitcoin behave more like a trading asset rather than a growth asset [7] Future Projections - Standard Chartered has revised its short-term Bitcoin price forecast, now expecting it to reach $150,000 by the end of 2026, down from a previous estimate of $300,000 [8] - The long-term target of $500,000 has been pushed back from 2028 to 2030 [8] - The outflow of funds from Bitcoin ETFs, particularly a $2.3 billion net outflow from BlackRock's IBIT last month, adds to the bearish sentiment [8] Economic Factors - The probability of a Federal Reserve rate cut in January has decreased significantly, impacting risk assets negatively [9] - Current probabilities indicate a 24.4% chance of a 25 basis point cut in January, with a 75.6% chance of maintaining current rates [9]

Macro Liquidity - The US dollar index continued to decline, and the degree of "inversion" in the China-US interest rate spread has deepened. The nominal and real interest rates of 10Y US Treasury bonds have both rebounded, with inflation expectations remaining unchanged [1][14]. - Offshore dollar liquidity has marginally tightened, while the domestic interbank funding environment remains balanced and relatively loose. The yield spread between 10Y and 1Y bonds continues to widen [1][19]. Market Trading Activity - Overall market trading activity has increased, with trading heat in sectors such as light industry, retail, military, textiles, communications, and real estate all above the 80th percentile [2][25]. - The volatility of major indices has generally increased, with the volatility of sectors like communications, electric power, and electronics remaining above the 80th historical percentile [2][31]. Institutional Research - Research activity is concentrated in sectors such as electronics, pharmaceuticals, electric power, machinery, and non-ferrous metals, with an upward trend in research heat for non-ferrous metals, computers, and textiles [3][42]. Analyst Forecasts - Analysts have adjusted the net profit forecasts for the entire A-share market for 2025/2026, with increases in forecasts for sectors including pharmaceuticals, coal, automobiles, food and beverage, and oil and petrochemicals [4][21]. - The proportion of stocks with upward revisions in net profit forecasts for 2025/2026 has increased across the A-share market [4][17]. Northbound Trading Activity - Northbound trading activity has rebounded, continuing to net sell A-shares. The ratio of buy/sell amounts in sectors like communications, electronics, and finance has increased, while it has decreased in electric power, chemicals, and automobiles [5][31]. - Northbound trading primarily net bought sectors such as communications, machinery, and home appliances, while net selling occurred in pharmaceuticals, computers, and electronics [5][33]. Margin Financing Activity - The activity of margin financing has slightly increased but remains at a relatively low level since late July 2025. The main net purchases were in sectors like electronics, communications, and military [6][39]. - The proportion of financing purchases in sectors such as oil and petrochemicals, retail, and electronics has increased [6][38]. Hot Stocks Trading - The trading volume on the "Dragon and Tiger List" has increased, with sectors like retail, light industry, and electric power showing relatively high and rising trading volumes [7][41]. Active Equity Fund Positioning - The positions of actively managed equity funds have continued to decline, with significant increases in positions in sectors like pharmaceuticals, agriculture, and retail [8][45]. - The correlation of actively managed equity funds with mid/small-cap growth and mid-cap value has increased, while the correlation with large-cap growth and large/small-cap value has decreased [8][48]. - The scale of newly established equity funds has continued to decline, with both active and passive fund sizes decreasing [8][50].