ICBC Credit Suisse Index and Quantitative Weekly (20171120-1124)


ICBC Credit Suisse Index and Quantitative Weekly (20171120-1124) The Hurst model closed above the threshold line on October 27 and then rallied quickly, signaling the start of the new trend and giving a bias to see more than one perspective Last week the Hurst numbers remained high and volatile, signaling a continuation of the trend (as of 2017-11-24)

Stock market is the trend of the market; relative small-cap market dominated the board relative to the dominant GEM, financial relative non-financial dominant period relative aperiodic dominant bond outstanding Table: the latest view of style rotation (2017-11-24) Petroleum and petrochemical 1549%, electricity 122%, steel 1

38%, construction 058%, light industry 278%, military industry 066%, automobile 358%, catering 8

65%, home appliances 636%, medicine 973%, food 1245%, bank 1743% 2

57% non-bank loans, 944% real estate, 206% transportation, 086% electronics, 087% communications and 390% media

The hedging gains 1095% since 2014, the maximum retracement 1063%, Sharpe ratio 126 A-share market cyclical non-cyclical differentiation this week, after Thursdays overall adjustment, the A shares stabilized on Friday, which cycle plate performed well, nonferrous metals, steel, coal and other sections have picked up one after another

Throughout the week, as of Fridays close, the Shanghai Composite Index closed at 335382 points, down 086% weekly Among other major indices, Shanghai and Shenzhen fell 040% in 300 weeks, SME Index fell 0

90% and GEM down 279% As for the sector, the majority of the 28 SWS-class industries dropped last week Banks, non-ferrous metals, real estate, steel and mining sectors led the gains Food and beverage, electronics, leisure services, pharmaceuticals and light industry also led the decline

Grading Fund: Last week, the bond market was subject to further adjustment As a result, grading A dropped along with the average price of grading A with a turnover of more than 5 million yuan a week, down 032% and an average implied yield of 534%

The highest implied rate of return in the market is 642% of AVIC A, in addition to the implied yield of Net Financial A, Shenzhen Component Index A and Securities A, among others Last week, the weekly turnover of more than 10 million yuan B dropped an average of 0 56%, of which liquor B, Food B, Venture 50B, Pharmaceutical B led the decline, banking stocks B, B coal, nonferrous metals B, real estate B led Leverage, the military shares B, AVIC B, Growth B, Shenzhen Component Index B, brokerage B and other leverage in front

At the same time suggest that investors use leverage to gain high-yield at the same time guard against the risk of the fund closer to the next fold should pay special attention At present, the military industry stocks B, 1000B, Shen Chengzhi B discount funds from the Foundation only fell 10% or less As of Fridays close, the market turnover of active graded funds at a discount premium each other Among them, the mobile Internet, business 50 overall premium lead, respectively, 123%, 0

96%; Cathay Pacific property, the Belt and Road and other overall discount lead, respectively 089%, 082% ETF Fund: Last week, the overall share of A-share ETF increased by 1025 billion copies

Huaxia Shangrui 50ETF, Huatai Parker Shanghai and Shenzhen 300ETF, ICBC Credit Suisse dividend ETF, Huitianfuzhongzhengzhengzhongzhongzhengzhengzhanxianzhanfu ETF net purchase Jiashi Shanghai and Shenzhen 300ETF, E Fund GEM ETF, Huitianfu Shanghai State-owned ETF net redemption front In addition, overseas stock ETF net purchase 055 million copies Bond ETF share decreased by 2 million copies

The net redemption of commodity ETFs was 23 million In the secondary market, the total turnover of ETFs was 47278 billion yuan, up from the average daily turnover last week Huaxia SSE 50ETF, E-Fund Hang Seng H-Share ETF, Hua An Gold ETF, Huaxia Hengsheng ETF, Huatai Baoru CSI 300 ETF topped the list Index Dynamic:

GEM configuration add extra weapon, ICBC Credit Suisse GEM ETF began to be issued The Hurst model closed above the threshold line on October 27 and then moved up quickly, suggesting that the new trend started and we gave a bias to see more perspectives Last week the Hurst numbers remained high and volatile, signaling a continuation of the trend (as of 2017-11-24) Stock market is the trend of the market; relative small-cap market dominated the board relative to the dominant GEM, financial relative non-financial dominant period relative aperiodic dominant bond outstanding Industry and style configuration recommendations:

Petroleum and petrochemical 1549%, electricity 122%, steel 138%, construction 058%, light industry 2

78%, military industry 066%, automobile 358%, catering 865%, home appliances 636%, medicine 9

73%, food 1245%, bank 1743% 257% non-bank loans, 944% real estate, 206% transportation, 0

86% electronics, 087% communications and 390% media The hedging gains 1095% since 2014, the maximum retracement 10

63%, Sharpe ratio 126 The Hurst model closed above the threshold line on October 27 and then rallied quickly, signaling the start of the new trend and giving a bias to see more than one perspective Last week the Hurst numbers remained high and volatile, signaling a continuation of the trend (as of 2017-11-24) Figure 1: Hurst model to determine the latest (2017-11-24)

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