Quantitative Models and Construction Diffusion Index Model - **Model Name**: Diffusion Index Model [6][26] - **Model Construction Idea**: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance. It selects industries with positive momentum for rotation. [26] - **Model Construction Process**: - The model calculates a diffusion index for each industry, which reflects the proportion of stocks within the industry exhibiting upward momentum. - Industries are ranked based on their diffusion index values, and the top industries are selected for portfolio allocation. [6][27] - **Model Evaluation**: The model has shown strong performance in capturing trends during momentum-driven markets but struggles during market reversals or when trends shift to mean-reversion. [26] - **Testing Results**: - 2025 YTD excess return: -0.44% [25][30] - June 2025 excess return: 1.20% [30] - Weekly average return: 0.21%, excess return over equal-weighted industry index: 0.37% [30] GRU Factor Model - **Model Name**: GRU Factor Model [7][32] - **Model Construction Idea**: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency price and volume data, aiming to identify industry rotation opportunities. [37] - **Model Construction Process**: - The model uses minute-level price and volume data as input features. - A GRU neural network is trained to predict industry factor scores, which are then used to rank industries for rotation. [37] - **Model Evaluation**: The model performs well in short-term trading environments but faces challenges in long-term trend-following scenarios, especially during extreme market conditions. [37] - **Testing Results**: - 2025 YTD excess return: -4.13% [32][35] - June 2025 excess return: 0.00% [35] - Weekly average return: 0.42%, excess return over equal-weighted industry index: 0.58% [35] --- Backtesting Results of Models Diffusion Index Model - **YTD Excess Return**: -0.44% [25][30] - **June 2025 Excess Return**: 1.20% [30] - **Weekly Average Return**: 0.21% [30] - **Weekly Excess Return**: 0.37% [30] GRU Factor Model - **YTD Excess Return**: -4.13% [32][35] - **June 2025 Excess Return**: 0.00% [35] - **Weekly Average Return**: 0.42% [35] - **Weekly Excess Return**: 0.58% [35] --- Quantitative Factors and Construction GRU Industry Factor - **Factor Name**: GRU Industry Factor [7][33] - **Factor Construction Idea**: The factor is derived from GRU neural network outputs, representing the relative attractiveness of industries based on high-frequency trading data. [37] - **Factor Construction Process**: - The GRU model processes minute-level trading data to generate factor scores for each industry. - Industries are ranked based on their factor scores, and the top industries are selected for portfolio allocation. [37] - **Factor Evaluation**: The factor effectively captures short-term trading signals but may underperform in broader market trends or during periods of concentrated market themes. [37] - **Testing Results**: - Top industries by factor score (as of June 13, 2025): Steel (2.42), Construction (1.47), Transportation (0.85), Real Estate (0.59), Utilities (-0.01), Oil & Gas (-1.52) [7][33] - Bottom industries by factor score: Food & Beverage (-49.88), Comprehensive Finance (-33.65), Consumer Services (-25.42), Media (-21.94), Automotive (-20.34), Non-Banking Finance (-18.36) [33] Diffusion Index Factor - **Factor Name**: Diffusion Index Factor [6][27] - **Factor Construction Idea**: The factor measures the proportion of stocks within an industry showing upward momentum, serving as a proxy for industry strength. [6] - **Factor Construction Process**: - Calculate the diffusion index for each industry based on the percentage of stocks with positive momentum. - Rank industries by their diffusion index values to identify the strongest performers. [6][27] - **Factor Evaluation**: The factor is effective in identifying momentum-driven industries but may lag during market reversals. [26] - **Testing Results**: - Top industries by diffusion index (as of June 13, 2025): Comprehensive Finance (1.0), Non-Banking Finance (0.997), Banking (0.97), Media (0.953), Computing (0.936), Retail (0.93) [6][27] - Bottom industries by diffusion index: Coal (0.166), Oil & Gas (0.297), Food & Beverage (0.323), Utilities (0.604), Real Estate (0.629), Building Materials (0.657) [27] --- Backtesting Results of Factors GRU Industry Factor - **Top Industries by Factor Score**: Steel (2.42), Construction (1.47), Transportation (0.85), Real Estate (0.59), Utilities (-0.01), Oil & Gas (-1.52) [7][33] - **Bottom Industries by Factor Score**: Food & Beverage (-49.88), Comprehensive Finance (-33.65), Consumer Services (-25.42), Media (-21.94), Automotive (-20.34), Non-Banking Finance (-18.36) [33] Diffusion Index Factor - **Top Industries by Diffusion Index**: Comprehensive Finance (1.0), Non-Banking Finance (0.997), Banking (0.97), Media (0.953), Computing (0.936), Retail (0.93) [6][27] - **Bottom Industries by Diffusion Index**: Coal (0.166), Oil & Gas (0.297), Food & Beverage (0.323), Utilities (0.604), Real Estate (0.629), Building Materials (0.657) [27]

ETF Industry News - The three major indices collectively rose, with the non-ferrous metal sector ETFs showing significant gains, particularly the Rare Earth ETF (516150.SH) which increased by 3.41% [1][3] - The recent expansion of the benchmark market-making bond ETFs on the Shanghai Stock Exchange has led to four products surpassing the 10 billion yuan mark, with a total scale nearing 48 billion yuan, reflecting a 300% growth from the issuance scale [2] Market Overview - On June 11, the three major indices all rose, with the Shanghai Composite Index up 0.52% to 3402.32 points, the Shenzhen Component Index up 0.83% to 10246.02 points, and the ChiNext Index up 1.21% to 2061.87 points [3] - Over the past five trading days, the Hang Seng Index, ChiNext Index, and Nikkei 225 have shown strong performance, with respective increases of 3.01%, 1.82%, and 1.78% [3] Sector Performance - In today's performance, the non-ferrous metals, agriculture, forestry, animal husbandry, and non-bank financial sectors ranked highest, with daily increases of 2.21%, 2.02%, and 1.9% respectively [5] - Conversely, the pharmaceutical and biological, communication, and beauty care sectors lagged behind, with daily declines of -0.41%, -0.28%, and -0.1% respectively [5] ETF Market Performance - The overall performance of ETFs indicates that cross-border ETFs had the best average daily increase of 0.91%, while currency ETFs had the worst performance with an average daily change of 0.00% [6] - The top-performing ETFs today included the 500 Growth ETF (159620.SZ) with a gain of 3.49%, followed by the Rare Earth ETF (516150.SH) and Rare Metal ETF (159671.SZ) with increases of 3.41% and 3.36% respectively [9][10] Trading Volume of Different ETF Categories - The top three ETFs by trading volume today were the CSI 300 ETF (510300.SH) with a trading volume of 4.422 billion yuan, the A500 Index ETF (159351.SZ) with 2.854 billion yuan, and the A500 ETF Fund (512050.SH) with 2.700 billion yuan [12][13]

Group 1 - The ETF market showed mixed performance with the 500 Growth ETF (159620) leading gains at 3.49% [1] - The Rare Earth ETF (516150) increased by 3.41%, while the Rare Metals ETF (159671) rose by 3.36% [1] - The Sci-Tech 50 ETF Index (588040) was the biggest loser, declining by 1.15% [1] Group 2 - The Innovative Drug Industry ETF (516060) fell by 1.06% [1] - The Big Data ETF (515400) experienced a decrease of 1.05% [1]

Group 1 - A-shares and Hong Kong stocks are experiencing a collective rise, with rare earth permanent magnets leading the gains [1] - China Rare Earth (0769.HK) has surged over 12%, marking a cumulative increase of 109% over three consecutive days [1] - The rare earth ETF funds have seen significant growth, with the top-performing fund rising 4.02%, leading the market [1][2] Group 2 - The rare earth ETF fund has a current scale of 2.136 billion, ranking first among similar funds [2][3] - The price of rare earth materials is expected to rise due to export control measures and increased demand from overseas companies [3][4] - China holds a dominant position in the global rare earth market, with 40% of global reserves and 70% of global production [4] Group 3 - The export volume of rare earth permanent magnets has significantly decreased, reaching a historical low, which is expected to lead to increased demand in the coming quarters [5] - The tightening of export quotas may lead to a reduction in smelting and separation capacity, benefiting downstream demand in the short to medium term [5]

Group 1 - The core viewpoint of the news is that the rare earth sector is experiencing a significant rise in stock prices due to expectations of gradual easing of export controls, leading to a collective surge in the rare earth sector [1][3] - The rare earth ETFs have shown strong performance, with four ETFs rising approximately 4% in half a day, particularly the Rare Earth ETF Fund (516150) which had a half-day increase of 4.02% [1][2] - The investment logic suggests that the supply-demand dynamics for rare earths are likely to continue improving due to export controls, with domestic rare earth magnetic material companies expected to benefit from both performance and valuation increases [3] Group 2 - The Rare Earth ETF Fund (516150) has a scale of 1.871 billion units and a half-day trading volume of 132 million yuan, tracking the CSI Rare Earth Industry Index [3] - The CSI Rare Earth Industry Index includes companies involved in rare earth mining, processing, trading, and applications, reflecting a high concentration of companies deeply involved in the rare earth supply chain [3][4] - Major weight stocks in the CSI Rare Earth Industry Index include North Rare Earth (14.69%), China Rare Earth (6.37%), and others, indicating a strong representation of companies in the rare earth sector [4]

Group 1 - The ETF market showed mixed performance at midday, with the rare earth ETFs leading gains [1] - The rare earth ETF (516150) increased by 4.02%, while the rare earth ETF (159713) rose by 3.91%, and the rare earth ETF from E Fund (159715) gained 3.89% [1] - Conversely, the Hong Kong Stock Connect innovative drug ETF (159570) led the declines with a drop of 1.4%, followed by the Hang Seng innovative drug ETF (159316) which fell by 1.38%, and the Tianhong innovative drug ETF (517380) decreased by 1.18% [1] Group 2 - A-share accounts can now buy Hong Kong stocks on a T+0 basis without the need for Hong Kong Stock Connect [1]

Fund News Overview - The company and senior management of Fuquo Fund plan to invest at least 25 million yuan in the Fuquo Balanced Investment Mixed Fund, with a commitment to hold for at least one year [1] - In April, the new fund issuance scale exceeded 90 billion units, with 119 new funds raising a total of 901.56 billion units, of which 84 stock funds accounted for 48.31% [1] - Year-to-date, 270 billion yuan has entered the market through ETFs, with net subscriptions reaching 170 billion yuan in the first four months [1] ETF Market Review - The market saw a strong performance with the Shanghai Composite Index rising by 1.13%, the Shenzhen Component Index by 1.84%, and the ChiNext Index by 1.97%, with total trading volume reaching 1.34 trillion yuan [2] - The China Securities 2000 ETF led the gains with a rise of 6.40%, while rare earth-related ETFs also performed well, with several products increasing by over 4.5% [2] ETF Thematic Opportunities - Institutions indicate that the rare earth sector, being a globally leading industry in pricing and downstream applications, is expected to see increased attention, with potential for value reassessment due to policy catalysts and its strategic importance [5] Upcoming Fund Launches - Fuquo is set to launch the Fuquo Shanghai Stock Exchange Science and Technology Innovation Board 50 Component ETF, managed by Jin Zeyu, with a performance benchmark based on the Shanghai Stock Exchange Science and Technology Innovation Board 50 Component Index [6]

Core Viewpoint - The ETF market showed mixed performance, with the China Securities 2000 ETF leading gains while the Saudi ETF experienced the largest decline [1] Group 1: ETF Performance - The China Securities 2000 ETF (563200) increased by 6.40% [1] - The Rare Earth ETF (516150) rose by 5.22% [1] - The Internet ETF (159729) gained 5.07% [1] - The Saudi ETF (520830) declined by 1.71% [1] - The 180 Governance ETF (510010) fell by 1.28% [1] - The Energy and Chemical ETF (159981) decreased by 1.26% [1] Group 2: Investment Strategy - The recommendation is to buy index ETFs to capitalize on market rebounds [1]

Core Viewpoint - The ETF market showed mixed performance at midday, with rare earth ETFs leading gains while Saudi ETFs experienced declines [1] Group 1: ETF Performance - Rare earth ETF (516150) led the gains with an increase of 4.18% [1] - Rare earth ETF (516780) rose by 4.14% [1] - Rare earth ETF (159713) increased by 4.11% [1] - Saudi ETF (520830) was the biggest loser, declining by 1.71% [1] - Saudi ETF (159329) fell by 1.19% [1] - Bank ETF Preferred (517900) decreased by 1.06% [1] Group 2: Market Strategy - The strategy suggested is to buy index ETFs to capitalize on market rebounds [1]