Group 1 - The core viewpoint of the article highlights a significant rebound in trading sentiment, with the Wind Micro Index breaking through previous levels and achieving a one-month return of 9.31% and a year-to-date increase of 74.49% [2][3] - Small-cap stocks, represented by the CSI 2000 and CSI 1000 indices, have shown relatively strong performance in the past month, contrasting with the sluggish response of large-cap indices like the CSI 300 [2][3] Group 2 - The shift in fund preferences is driven by profit-taking in certain tech growth sectors, leading active funds to seek higher elasticity in small-cap stocks as the large-cap market lacks a clear trend [4][6] - Year-end trading characteristics are evident as some trading-oriented funds return to high-elasticity sectors, further propelling small-cap indices upward [5][6] - Policy measures aimed at expanding domestic demand and promoting innovation are more sensitive to small and medium-sized enterprises, making them more responsive to policy changes [6] Group 3 - Quantitative micro-cap strategies have shown an average return of 3.53% over the past month, significantly lagging behind the micro-cap index's over 9% increase, attributed to the different operational mechanisms of indices and quantitative strategies [7] - The recent rise in the micro-cap index is primarily driven by a few highly liquid and elastic stocks, which are difficult to weight heavily in quantitative models due to high trading costs and volatility [7][8] - Quantitative strategies focus on capturing more sustainable style premiums through a multi-factor system, which may exhibit slight delays in exposure during the initial phase of a style shift [7][8] Group 4 - The appeal of quantitative micro-cap strategies lies in their ability to provide exposure to micro-cap style returns while minimizing extreme volatility associated with indices [8][9] - These strategies have a lower correlation with other asset classes, effectively reducing portfolio volatility [9] - The quantitative framework filters out noise from extremely small stocks, focusing on fundamentals and trading quality to stabilize returns [10] - In a market environment favoring small and micro-caps, quantitative strategies offer a relatively controlled way to participate in high-elasticity stocks [11][12]

Report Investment Rating No relevant content provided. Core Viewpoints - The overall economic situation shows that China is in a marginal de - leveraging process. The growth rate of the real - sector's liabilities is expected to decline, and the government's liability growth rate is also trending down. The economic growth rate needs further observation, and the risk preference has increased recently, with the stock - bond ratio favoring stocks [1][2][6]. - It is recommended to use the equity growth style instead of the bond position this week, suggesting an allocation of 60% in the Shanghai Composite 50 Index and 40% in the CSI 1000 Index. In the de - leveraging cycle, the stock - bond ratio favors equities to a limited extent, and value stocks are more likely to outperform. A + H and A - share dividend portfolios are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [8][9][10]. Summary by Directory 1. National Balance Sheet Analysis - **Liability Side**: In September 2025, the real - sector's liability growth rate was 8.9%, expected to remain stable around 8.9% in October and then decline to about 8.5% by the end of the year. The government's liability growth rate was 14.5% in September, expected to drop to around 14.0% in October and 13.0% by the end of the year. The central bank's policies reinforce the judgment of stabilizing the macro - leverage ratio [1][2]. - **Monetary Policy**: Last week, the money market was generally stable. The one - year Treasury yield rose to 1.47% at the weekend, with an estimated lower limit of about 1.3%. The term spread between the ten - year and one - year Treasuries was stable at 38 basis points. The future yield ranges of the ten - year and thirty - year Treasuries are estimated to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [3]. - **Asset Side**: The physical quantity data in September continued to weaken compared to August. The full - year nominal economic growth target for 2025 is around 4.9%, and it remains to be seen whether this will become the central target for China's nominal economic growth in the next 1 - 2 years [3]. 2. Stock - Bond Cost - effectiveness and Stock - Bond Style - **Overall Outlook for 2025**: China's asset prices are mainly affected by changes in the national balance sheet. The real GDP growth rate on the asset side is expected to fluctuate between 4 - 5%, and the liability growth rate of the real sector is expected to decline. The stock - bond cost - effectiveness generally favors bonds, but recently, due to the increase in risk preference, it has shifted towards stocks [21][6]. - **Recent Market Performance**: Last week, the money market was stable, risk preference increased significantly over the weekend, resulting in rising stocks and falling bonds. The equity style shifted to growth - oriented, and the stock - bond cost - effectiveness favored stocks. The ten - year Treasury yield rose by 2 basis points to 1.85%, and the one - year Treasury yield rose by 3 basis points to 1.47% [6]. - **Investment Recommendations**: This week, it is recommended to use the equity growth style instead of the bond position, suggesting an allocation of 60% in the Shanghai Composite 50 Index and 40% in the CSI 1000 Index [8]. 3. Industry Recommendations 3.1 Industry Performance Review - This week, the A - share market rose with shrinking trading volume. The Shanghai Composite Index rose 2.9%, the Shenzhen Component Index rose 4.7%, and the ChiNext Index rose 8.1%. Among the Shenwan primary industries, communication, electronics, power equipment, machinery, and petroleum and petrochemicals had the largest increases, while agriculture, forestry, animal husbandry, food and beverage, and beauty care had the largest declines [30]. 3.2 Industry Crowding and Trading Volume - As of October 24, the top five industries in terms of crowding were electronics, power equipment, machinery, computer, and communication, while the bottom five were beauty care, comprehensive, textile and apparel, social services, and steel. The trading volume of the entire A - share market decreased compared to last week [33][34]. 3.3 Industry Valuation and Earnings - This week, among the Shenwan primary industries, communication, electronics, power equipment, machinery, and petroleum and petrochemicals had the largest increases in PE(TTM), while agriculture, forestry, animal husbandry, food and beverage, beauty care, and others had the smallest increases. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banking, insurance, petroleum and petrochemicals, transportation, and others [38][39]. 3.4 Industry Prosperity - **External Demand**: There were mixed trends. The global manufacturing PMI declined from 50.9 in September to 50.8, and most major economies' PMIs decreased. The CCFI index rose by 2.02% in the latest week, and port cargo throughput increased. South Korea's export growth rate decreased in October, while Vietnam's increased [43]. - **Domestic Demand**: The second - hand housing price decreased in the latest week, and quantity indicators showed mixed trends. Highway truck traffic increased, the capacity utilization rate of ten industries declined from September to October, automobile sales were at a relatively high level, and new - home sales were at a historical low [43]. 3.5 Public Fund Market Review - In the third week of October (October 20 - 24), some active public equity funds outperformed the CSI 300. As of October 24, the net asset value of active public equity funds was 4.2 trillion yuan, slightly higher than 3.66 trillion yuan in Q4 2024 [60]. 3.6 Industry Recommendations - In the de - leveraging cycle, the stock - bond cost - effectiveness favors equities to a limited extent, and value stocks are more likely to outperform. The recommended A + H dividend portfolio consists of 20 A + H stocks, and the A - share portfolio consists of 20 A - shares, mainly concentrated in banking, telecommunications, petroleum and petrochemicals, and transportation industries [64].

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, weekly, monthly, and yearly changes in index returns, with the highest annual return observed for the ChiNext Index at 42.85%[10][11][13] - It compares indices against their moving averages (MA5, MA10, MA20, MA60, MA120, MA250) and their 250-day high and low levels, showing that all indices remain above their 5-day moving averages, except the CSI 2000, which fell below its 10-day moving average[13][14] - The turnover rate and trading volume share are analyzed, with CSI 2000 having the highest turnover rate at 3.56, while the CSI 300 accounts for the largest trading volume share at 26.89%[16][17] - Daily return distributions are examined, revealing that the ChiNext Index has the largest negative skewness and kurtosis deviation, while the CSI 300 has the smallest[23][24] - Risk premium analysis is conducted using the 10-year government bond yield as the risk-free rate, showing that the CSI 1000 and CSI 2000 have higher volatility in risk premiums compared to other indices[26][27][30] - PE-TTM ratios are evaluated as valuation metrics, with CSI 500 and CSI All Index showing the highest 5-year percentile values at 98.18% and 97.44%, respectively, while the ChiNext Index has the lowest at 58.51%[38][41][42] - Dividend yield analysis indicates that the ChiNext Index and CSI 1000 have the highest 5-year historical percentile values at 69.42% and 46.2%, respectively, while CSI 2000 and CSI 500 have the lowest at 20.25% and 16.28%[46][51][52] - The report also tracks the percentage of stocks trading below their net asset value (break-net ratio), with the highest ratio observed for the SSE 50 at 18.0% and the lowest for the ChiNext Index at 1.0%[53]

Core Insights - The article highlights the performance of the CSI A500 Index, which has shown both expected stability and unexpected strengths over the past year [4][6][8] - The index has outperformed the CSI 300 Index by approximately 4 percentage points, with a cumulative increase of 45.08% since its launch [8][22] - The article emphasizes the index's ability to capture new productivity and industry upgrades, making it a valuable asset in investment portfolios [11][21] Performance Evaluation - The CSI A500 Index has demonstrated a balanced performance amidst market volatility, successfully reflecting its balanced attributes during style rotations [6][7] - The index's performance is attributed to key contributors from high-end manufacturing sectors, which are not covered by the CSI 300 [9][11] - The index has maintained a lower annualized volatility and maximum drawdown compared to the CSI 300 and small-cap indices, indicating robust risk management [16][18] Market Dynamics - Institutional investors have shown increased interest in the CSI A500 ETF, with a 25.11% rise in holdings, reaching over 93% [18][20] - The shift in insurance capital towards the CSI A500 ETF, with a more than 50% increase in holdings, signals a growing recognition of the index as a core asset in long-term investment strategies [20][21] Growth and Global Recognition - The total scale of ETFs tracking the CSI A500 Index reached 183.495 billion, indicating significant market trust for a newly launched index [22][25] - The launch of a CSI A500 ETF by DWS in Europe marks a notable step in the global recognition of A-share core assets [28] Investment Strategies - The article discusses the "core + satellite" strategy, positioning the CSI A500 as a stable core asset in investment portfolios [31] - The "barbell strategy" is also highlighted, where the CSI A500's lower correlation with various asset classes enhances diversification and overall risk-return profile [32] - The index is deemed suitable for long-term funds due to its stable profitability and strong industry representation [33]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The overall outlook for China in 2025 is that the real GDP growth rate of the asset side will run smoothly, fluctuating narrowly between 4 - 5%. The liability side will see the debt growth rate of the real - sector decline and approach the nominal economic growth rate. The monetary policy will coordinate with the fiscal policy, maintaining an overall neutral and oscillating stance [21]. - The stock - bond performance shows that the risk preference has declined, funds tend to flow into long - term bonds and value - style equities. The equity style is dominated by value, and the stock - bond ratio favors bonds. The long - term bond yield has decreased, and the short - term bond yield has increased [6][22]. - In the contraction cycle, the stock - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. A + H dividend portfolios and A - share portfolios are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [10][25]. 3. Summary According to the Directory 3.1 National Balance Sheet Analysis - **Liability Side**: In September 2025, the debt growth rate of the real sector was 8.9%, in line with expectations. It is expected to drop to around 8.7% in October, and further to around 8.5% by the end of the year. The financial sector's capital is still tight, and risk preference has declined, with funds flowing into long - term bonds and value - style equities [1][17]. - **Fiscal Policy**: Last week, the net reduction of government bonds was 238 billion yuan, higher than the planned 69.1 billion yuan. Next week, the net increase of government bonds is planned to be 133.3 billion yuan. The government debt growth rate in September 2025 was 14.5%, expected to drop to around 13.6% in October and around 13.0% by the end of the year [2][18]. - **Monetary Policy**: Last week, the average weekly trading volume of funds increased, the price decreased, and the term spread narrowed significantly. The one - year Treasury yield rose to 1.44% at the weekend, and its lower limit is estimated to be around 1.3%. The term spread between the ten - year and one - year Treasury bonds narrowed to 38 basis points. The future yield fluctuation ranges of the ten - year and thirty - year Treasury bonds are estimated to be around 1.6% - 1.9% and 1.8% - 2.3% respectively [3][19]. - **Asset Side**: The physical volume data in August continued to weaken compared to July. The annual real economic growth target for 2025 is around 5%, and the nominal economic growth target is around 4.9%. It remains to be seen whether 5% will become the central target for China's nominal economic growth in the next 1 - 2 years [5][20]. 3.2 Stock - Bond Ratio and Stock - Bond Style - **Overall Outlook**: In 2025, China's asset side real GDP growth will be stable, and the liability side's real - sector debt growth rate will decline. The stock - bond ratio favors bonds, and the equity style is dominated by value. The recommended allocation is 60% for the Shanghai Composite 50 Index, 20% for the CSI 1000 Index, and 20% for the 30 - year Treasury Bond ETF [21][25]. - **Market Performance**: Last week, the risk preference declined, funds flowed into long - term bonds and value - style equities. The ten - year Treasury yield decreased by 2 basis points to 1.82%, the one - year Treasury yield increased by 7 basis points to 1.44%, and the 30 - year Treasury yield decreased by 8 basis points to 2.20%. The broad - based rotation strategy outperformed the CSI 300 Index by 1.51 percentage points last week [6][22]. 3.3 Industry Recommendation - **Industry Performance Review**: This week, the A - share market declined with shrinking trading volume. Among the Shenwan primary industries, banking, coal, food and beverage, transportation, and textile and apparel had the largest increases, while electronics, media, automobiles, communications, and machinery had the largest declines [30]. - **Industry Crowding and Trading Volume**: As of October 17, the top five crowded industries were electronics, power equipment, non - ferrous metals, computers, and machinery. The industries with the largest increase in crowding this week were pharmaceutical biology, transportation, coal, banking, and commercial retail. The overall average daily trading volume of A - shares decreased this week. Industries such as steel, coal, transportation, banking, and beauty care had the highest year - on - year trading volume growth [33][34]. - **Industry Valuation and Earnings**: Among the Shenwan primary industries this week, banking, coal, food and beverage, transportation, and textile and apparel had the largest increases in PE (TTM), while electronics, media, communications, basic chemicals, and machinery had the smallest increases. Industries with high 2024 full - year earnings forecasts and relatively low current valuations compared to history include banking, insurance, petroleum and petrochemicals, transportation, traditional Chinese medicine, pharmaceutical biology, beauty care, and consumer electronics [38][39]. - **Industry Prosperity**: Externally, the global manufacturing PMI declined in September, the CCFI index decreased, and the port cargo throughput declined. South Korea's export growth rate decreased in early October. Domestically, the second - hand housing price decreased last week, and the quantity indicators showed mixed trends. The highway truck traffic volume increased, the ten - industry fitted capacity utilization rate declined from September to October, the automobile trading volume was at a relatively high level in the same period of history, the new - housing trading volume was at a historical low, and the second - hand housing trading volume declined seasonally [43]. - **Public Offering Market Review**: In the second week of October (October 13 - 17), most active public - offering equity funds underperformed the CSI 300. As of October 17, the net asset value of active public - offering equity funds was 4.04 trillion yuan, slightly higher than 3.66 trillion yuan in Q4 2024 [59]. - **Industry Recommendation**: In the contraction cycle, the stock - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. Recommended A + H dividend portfolios and A - share portfolios mainly include 20 stocks each, concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [10][63].

Group 1 - The core idea of the report is to apply a "multi-factor cross-sectional stock selection" model to broad index allocation, constructing a style factor library based on a selected pool of broad indices and scoring them according to cross-sectional factor values to establish an optimal broad index combination [1][13]. Group 2 - The model construction involves three steps: first, building a rich factor library based on the selected broad index pool; second, creating a "composite evaluation index" for dynamic optimization of the style factor library; and third, scoring and ranking the broad index pool based on the optimized style factors [2][19]. Group 3 - The selected broad index pool includes six indices: Shanghai Stock Exchange 50, CSI 300, CSI 500, CSI 1000, CSI Dividend, and ChiNext [2][15]. - The style factor library consists of eight major categories: valuation, quality, growth, momentum, turnover rate, market beta, volatility, and market capitalization [2][27]. Group 4 - The backtesting results indicate that the model performs stably over the long term, achieving an annualized absolute return of 15.7% and an annualized excess return of 10.9% during the entire sample period [3][41]. - The out-of-sample annualized absolute return is 9.6%, with an annualized excess return of 10.0%, and since 2025, the absolute return has reached 32.0% with an excess return of 11.8% [3][41].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - China is in a marginal de - leveraging process, with the growth rate of the real - sector's liabilities expected to decline to around 8% by the end of the year, and the government - sector's liabilities to around 12.5%. The bond market will not enter a trending bear market, and yields are expected to oscillate at low levels. Risk preference repair is basically in place, and future risk preference will oscillate within a range with earnings. The recommended asset - allocation combination is long - term bonds plus value stocks. In the de - leveraging cycle, the dividend - type stocks in the A + H market are recommended, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [3][4][11]. 3. Summary by Relevant Catalogs 3.1 National Balance Sheet Analysis - **Liability Side**: In August 2025, the real - sector's liability growth rate was 8.9%, down from 9.1% previously, and is expected to drop to around 8.7% in September. The government's liability growth rate was 15.0% at the end of August, and is expected to decline to around 14.5% in September. The central bank aims to stabilize the macro - leverage ratio, and large - scale debt resolution reduces local government financing costs. The money market tightened marginally last week, and there is a higher probability of a temporary relaxation in October [3][4]. - **Asset Side**: The physical volume data in August was weaker than in July. The annual nominal economic growth target for 2025 is around 4.9%, and it needs to be further observed whether this will become the central target for China's nominal economic growth in the next 1 - 2 years [5]. 3.2 Stock - Bond Cost - Effectiveness and Stock - Bond Style - **Overall Performance**: Last week, the money market tightened marginally, and the stock - bond market was generally stable, with value stocks slightly outperforming. The ten - year bond yield rose 1 basis point to 1.88%, and the one - year bond yield remained stable at 1.39%. The wide - based rotation strategy underperformed the CSI 300 index by - 0.66pct last week and - 8.04pct since July [7]. - **Risk Preference and Asset Allocation**: Risk preference repair is basically in place, and future risk preference will oscillate within a range with earnings. The recommended asset - allocation combination is long - term bonds plus value stocks. In the next two weeks, the recommended allocation is the SSE 50 index (60% position), the CSI 1000 index (20% position), and the 30 - year Treasury bond ETF (20% position) [9][10]. 3.3 Industry Recommendation - **Industry Performance Review**: This week, the A - share market rose with shrinking volume. The sectors with the largest increases were power equipment, non - ferrous metals, electronics, environmental protection, and media, while the sectors with the largest declines were social services, comprehensive, commercial retail, light manufacturing, and textile and apparel [33]. - **Industry Crowding and Trading Volume**: As of September 26, the top five crowded industries were electronics, power equipment, computers, machinery, and automobiles, while the bottom five were comprehensive, beauty care, coal, petroleum and petrochemicals, and steel. The industries with the largest increase in crowding were power equipment, electronics, non - ferrous metals, computers, and media [34]. - **Industry Valuation and Earnings**: This week, the PE (TTM) of power equipment, non - ferrous metals, electronics, environmental protection, and media increased the most, while that of social services, comprehensive, commercial retail, light manufacturing, and textile and apparel increased the least. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banking, insurance, coal, petroleum and petrochemicals, transportation, traditional Chinese medicine, pharmaceutical biology, beauty care, and consumer electronics [39][40]. - **Industry Prosperity**: External demand generally rebounded, with the global manufacturing PMI rising from 49.7 to 50.9 in August. Domestic demand showed mixed signals, with second - hand housing prices falling and some quantity indicators rising and falling. The capacity utilization rate of ten industries increased from May to August and declined slightly in September [44]. - **Public Fund Market Review**: In the fourth week of September, most active public equity funds outperformed the CSI 300. As of September 26, the net asset value of active public equity funds was 4.21 trillion yuan, slightly up from 3.66 trillion yuan in Q4 2024 [60]. - **Industry Recommendation**: In the de - leveraging cycle, the recommended A + H dividend portfolio includes 20 A + H stocks, and the A - share portfolio includes 20 A - share stocks, mainly concentrated in industries such as banking, telecommunications, petroleum and petrochemicals, and transportation [11].

1. Index Trends - On September 25th, the Shanghai Composite Index had a change of -0.01%, closing at 3853.3 points with a trading volume of 1001.211 billion yuan; the Shenzhen Component Index had a change of 0.67%, closing at 13445.9 points with a trading volume of 1369.879 billion yuan [1]. - The CSI 1000 Index had a change of -0.37% and a trading volume of 464.745 billion yuan, with an opening price of 7521.32, a closing price of 7506.51, a daily high of 7563.08, and a low of 7487.12 [1]. - The CSI 500 Index had a change of 0.24% and a trading volume of 493.047 billion yuan, with an opening price of 7325.66, a closing price of 7341.32, a daily high of 7379.61, and a low of 7312.35 [1]. - The SSE 300 Index had a change of 0.6% and a trading volume of 669.867 billion yuan, with an opening price of 4563.98, a closing price of 4593.49, a daily high of 4613.95, and a low of 4558.84 [1]. - The SSE 50 Index had a change of 0.45% and a trading volume of 158.667 billion yuan, with an opening price of 2944.73, a closing price of 2952.74, a daily high of 2962.18, and a low of 2941.87 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose -27.71 points from the previous closing price. Media and communication sectors significantly pulled the index up, while basic chemicals, machinery, and electronics sectors pulled it down [3]. - The CSI 500 Index rose 17.61 points from the previous closing price. Computer, machinery, and electronics sectors significantly pulled the index up, while the non - banking financial sector pulled it down [3]. - The SSE 300 Index rose 27.42 points from the previous closing price. Power equipment, non - ferrous metals, and communication sectors significantly pulled the index up, while the banking sector pulled it down [3]. - The SSE 50 Index rose 13.23 points from the previous closing price. Non - ferrous metals, pharmaceutical biology, and electronics sectors significantly pulled the index up, while food and beverage and banking sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -69.91, IM01 of -156.48, IM02 of -236.36, and IM03 of -449.96 [13]. - IC00 had an average daily basis of -51.53, IC01 of -122.3, IC02 of -177.77, and IC03 of -356.12 [13]. - IF00 had an average daily basis of -8.53, IF01 of -24.0, IF02 of -33.81, and IF03 of -65.69 [13]. - IH00 had an average daily basis of 2.04, IH01 of -0.05, IH02 of 1.44, and IH03 of -0.53 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IM00 - 01, IM00 - 02, etc.) [21]. - For IC, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IC00 - 01, IC00 - 02, etc.) [23]. - For IF, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IF00 - 01, IF00 - 02, etc.) [24]. - For IH, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IH00 - 01, IH00 - 02, etc.) [26].

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints of the Report - The study explores the effectiveness of the NASDAQ Golden Dragon China Index in predicting the short - term trends of domestic stock indices. The quantitative timing strategy based on the previous night's performance of the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially for the CSI 500 and CSI 1000 indices [4][37]. - This research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [4][37]. Summary by Relevant Catalogs 1. NASDAQ Golden Dragon China Index Introduction - It is a stock index compiled by the NASDAQ to track the stock price performance of Chinese companies listed in the US, regarded as a "barometer" of Chinese new - economy enterprises in US stocks. As of September 23, 2025, it has 73 constituent stocks, including Alibaba and Baidu, covering new - economy sectors such as the Internet, new energy, and consumer services. In terms of the number of constituent stocks, the optional consumer and information technology sectors have relatively large shares [9]. 2. Correlation Analysis between NASDAQ Golden Dragon China Index and Domestic Stock Indices - There is a significant positive correlation (correlation coefficients above 0.65) between the NASDAQ Golden Dragon China Index and the Shanghai 50, SSE 300, CSI 500, and CSI 1000 indices in the past three years, indicating that the previous night's movement of the NASDAQ Golden Dragon China Index affects the next - day movement of domestic stock indices [12][13]. - The Granger causality test on the NASDAQ Golden Dragon China Index and the SSE 300 and CSI 1000 indices shows that the lagged first - order NASDAQ Golden Dragon China Index has a certain predictive effect on domestic stock indices, and it can be used to predict the next - day movement of domestic stock indices statistically [16]. 3. Quantitative Timing Strategy Based on NASDAQ Golden Dragon China Index 3.1 Strategy Basic Logic - When (closing price - opening price)/opening price of the NASDAQ Golden Dragon China Index on the previous day is greater than X%, indicating that the K - line entity is at least a medium - sized positive line, go long on domestic stock indices at the opening price the next day and hold until closing [17]. 3.2 Historical Back - test Performance - **Shanghai 50 Index Timing Strategy**: Since 2018, the strategy has significantly outperformed the Shanghai 50 Index, with a compound annualized return of 7.63% (compared to 0.22% of the Shanghai 50 Index), and the maximum drawdown has decreased from - 44.43% to - 13.21% [19][22]. - **SSE 300 Index Timing Strategy**: The compound annualized return of the strategy is 8.42% (compared to 1.28% of the SSE 300 Index), and the maximum drawdown has decreased from - 45.6% to - 10.07% [23][24]. - **CSI 500 Index Timing Strategy**: The compound annualized return of the strategy can reach 11.05% (compared to 1.65% of the CSI 500 Index), and the maximum drawdown has decreased from - 41.68% to - 9.44% [28][29]. - **CSI 1000 Index Timing Strategy**: The compound annualized return of the strategy can reach 12.74% (compared to 0.63% of the CSI 1000 Index), and the maximum drawdown has decreased from - 45.38% to - 10.51% [33][36]. 4. Conclusion - The strategy based on the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices in the past seven - plus years, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially effective for the CSI 500 and CSI 1000 indices [37]. - The research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [37].

Core Viewpoint - The article emphasizes the advantages of index funds as a long-term investment strategy, highlighting their ability to capture overall market growth and reduce emotional trading behavior [45][47]. Group 1: Understanding Index Funds - Index funds are designed based on specific selection rules, such as market capitalization or industry, and are known as passive funds due to their automatic adherence to these rules [8]. - The most common types of index funds are broad-based and sector-specific funds, with broad-based funds reflecting overall market performance and sector funds representing specific industries [11][13]. - Index funds are often referred to as "immortal" because they continuously adjust their holdings based on selection criteria, ensuring they remain relevant as market conditions change [15][16]. Group 2: Selecting Index Funds - To profit from index investments, it is crucial to identify indices with a growing total market capitalization over time [27]. - In the Chinese market, there are over 2,000 index funds available, and investors should consider broad-based indices like the CSI 300 or A500 if they believe in the overall economic growth [28]. - Sector-specific index funds can be chosen if there is confidence in the sustained growth of a particular industry, but they may carry higher risks due to external factors [32]. Group 3: Investment Timing and Valuation - Before investing in index funds, it is essential to assess the valuation to determine if the current price is reasonable [33]. - Price-to-Earnings (PE) ratio is a key indicator for evaluating the profitability of the underlying stocks in an index fund, with lower PE values generally being more favorable [36]. - Price-to-Book (PB) ratio reflects how much investors are willing to pay for each unit of net asset, with lower PB values being preferable, especially for cyclical industries [38]. Group 4: Historical Context and Strategy - Historical percentiles provide context for current valuations, indicating whether the current PE or PB is relatively low or high compared to historical data [43]. - The article concludes that the success of Warren Buffett in his bet against active management can be attributed to the long-term upward trajectory of the S&P 500 and the self-adjusting nature of index funds, making them suitable for ordinary investors [45][47].