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].

Report Summary 1. Market Overview - On December 15, 2025, the Shanghai Composite Index fell 0.55% to 3867.92 points, the Shenzhen Component Index dropped 1.10% to 13112.09 points, and the ChiNext Index declined 1.77% to 3137.80 points. The total trading volume of A - shares in the two markets was 1794.5 billion yuan. The top - rising sectors were non - bank finance (1.59%), commerce and retail (1.49%), and agriculture, forestry, animal husbandry and fishery (1.24%), while the top - falling sectors were electronics (- 2.42%), communication (- 1.89%), and media (- 1.63%) [2][6] 2. Stock ETF - The top - traded stock ETFs on this day were: Huatai - Peregrine CSI A500 ETF, down 0.65% with a discount rate of - 0.73%; Huaxia CSI A500 ETF, down 0.60% with a discount rate of - 0.66%; and Southern CSI A500 ETF, down 0.41% with a discount rate of - 0.49% [3][7] 3. Bond ETF - The top - traded bond ETFs were: Haifutong CSI Short - Term Financing Bond ETF, with a change of 0.00% and a discount rate of - 0.01%; Huaxia Shanghai Stock Exchange Benchmark Market - Making Treasury Bond ETF, down 0.25% with a discount rate of - 0.14%; and Guotai CSI AAA Science and Technology Innovation Corporate Bond ETF, down 0.01% with a discount rate of - 0.03% [4][9] 4. Gold ETF - Gold AU9999 rose 1.30% and Shanghai Gold rose 1.32%. The top - traded gold ETFs were: Huaan Gold ETF, up 1.34% with a premium rate of 1.46%; Boshi Gold ETF, up 1.34% with a premium rate of 1.44%; and E Fund Gold ETF, up 1.38% with a premium rate of 1.47% [12] 5. Commodity Futures ETF - Dacheng Non - ferrous Metals Futures ETF fell 1.35% with a discount rate of - 0.74%; Jianxin Yisheng Zhengzhou Commodity Exchange Energy and Chemical Futures ETF rose 0.68% with a premium rate of 0.41%; Huaxia Feed Soybean Meal Futures ETF fell 0.20% with a premium rate of 1.95% [13] 6. Cross - border ETF - The previous trading day, the Dow Jones Industrial Average fell 0.51%, the Nasdaq Composite fell 1.69%, the S&P 500 dropped 1.07%, and the German DAX fell 0.45%. On this day, the Hang Seng Index fell 1.34% and the Hang Seng China Enterprises Index fell 1.78%. The top - traded cross - border ETFs were: E Fund CSI Hong Kong Securities Investment Theme ETF, up 0.24% with a discount rate of - 0.80%; Huatai - Peregrine Hang Seng Technology ETF, down 2.16% with a discount rate of - 2.19%; and GF CSI Hong Kong Innovative Drug ETF, down 3.23% with a discount rate of - 3.78% [15] 7. Money ETF - The top - traded money ETFs were: Yin Hua Ri Li ETF, Hua Bao Tian Yi ETF, and Money ETF [17]

🇺🇸 ETF FLOWS: BTC, ETH, SOL and XRP spot ETFs saw net inflows last week.BTC: $286.6METH: $208.9MSOL: $33.6MXRP: $77.2M https://t.co/D57L9cflQi ...

消息：日本央行官员最早可能于下个月开始出售央行持有的大量ETF。知情人士透露，日本央行希望出售动作对市场的影响能像2000年代出售陷入困境银行股票那样，几乎不引起市场察觉#行情 日元日内继续走强，美元兑日元跌近0.5%至155.10。🗒️日本央行9月制定了ETF出售计划，以每年3300亿日元的账面价值为基础，按照这个速度出售，将需要112年才能出售完毕。外汇交易员 (@myfxtrader):日本央行开始计划出售ETF日本央行周五如期维持利率不变，宣布开始出售其持有的ETF与日本REITS持仓，出售决定获得一致投票通过。将按账面价值，每年出售3300亿日元的ETF，后续调整。#行情 日元短线走强，美元兑日元短线走低50点。日本央行转向QT减少日元供应，且为加息作准备，推动日元升值。 https://t.co/iiqhIlVfNn ...

One common theme in this market around XRP has been how successful the ETFs have been for XRP. And I think that the growing negativity around XRP at this moment when it comes back to any performance with these ETFs is simply the fact that, you know, they're not driving the price up. And I'm not too sure where this idea comes from where like we're looking at these ETF inflows and we're seeing the total assets held at $1.18% billion.So the total inflows here have been just over a billion dollars. Um we're see ...