A Weekly Relative-Momentum Rotation Between Large- and Small-Cap ETFs

Summary

This note describes a timing strategy based on the rotation between large-cap and small-cap stocks in China’s A-share market. It compares the recent performance of the CSI 300 and CSI 500 indexes, representing the two size groups, and selects the stronger index for ETF exposure. If both indexes have fallen over the lookback period, the strategy switches to cash. Rebalancing takes place on the first trading day of each week, with the signal based on closing prices from the current day and twenty trading days earlier.

The document explains the strategy’s premise but provides no backtest, performance figures, or comparison with a buy-and-hold benchmark. Its claim that timing can outperform passive investing is not supported with evidence here. It also gives no implementation details on transaction costs, ETF selection, execution timing, or how the cash position is held. The method is a simple relative-momentum rule, and its results would depend on the chosen period, market regime, and trading frictions.

Key ideas

• The strategy compares the recent returns of the CSI 300 and CSI 500 indexes.
• It holds the ETF associated with the stronger index after a signal is observed.
• When both indexes have declined over the lookback period, it switches to cash.
• Rebalancing is scheduled for the first trading day of each week.
• The document describes the rule but provides no backtest results or transaction-cost analysis.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.