Group 1 - The report highlights the continuous growth of index ETF investments, with the total scale reaching 3.7 trillion yuan by the end of 2024, an 81% increase from the end of 2023 [5] - The report emphasizes the significant impact of index rebalancing on the market, particularly noting that most index funds begin rebalancing three days in advance, with trading volume peaking on the day before the rebalancing takes effect [10][22] - The report suggests a trading volume distribution strategy for index rebalancing, recommending a ratio of 2:3:5 for T-3, T-2, and T-1 days, respectively, to optimize trading costs and minimize market impact [34][47] Group 2 - The report provides detailed analysis of price and trading volume changes before and after index rebalancing, indicating that trading volume increases significantly in the days leading up to the rebalancing date [10][22] - It notes that the average daily return for stocks added to or removed from the index remains within ±1.5%, with the highest volatility observed on T-1 day [14][32] - The report recommends specific trading algorithms based on the liquidity and price deviation of different indices, suggesting MOC for high liquidity indices and TWAP/VWAP for those with lower liquidity [47][51] Group 3 - The report includes a backtesting section that analyzes the impact of stock liquidity, volatility, and market capitalization on trading costs, revealing that trading volume on T-1 day often exceeds historical averages by 1.5 to 3 times [35][38] - It discusses the market impact of different-sized ETFs, indicating that larger ETFs experience greater market impact during rebalancing, with the highest impact observed in the dividend index [40][42] - The report concludes with algorithmic trading recommendations for different indices, emphasizing the importance of timing and trading strategy to minimize costs [46][51]