Evaluation and Outlook of Momentum Rotation Strategy in A-share ETF Market

Based on historical data and empirical analysis, I will provide a comprehensive evaluation of the momentum rotation strategy in the A-share ETF market:

According to backtest data from 2015 to 2025, Nasdaq ETF (QQQ) and Gold ETF (GLD) show significant differences in historical performance [0]:

• Cumulative Return
  : 506.07%, significantly exceeding Gold ETF’s 265.31% [0]
• Current Momentum Status
  : 12-month rolling momentum is 19.32%, indicating it is still in an upward trend [0]
• Annual Performance
  : Positive returns in most years, but with high volatility

• Cumulative Return
  : 265.31%, lower than Nasdaq but providing more stable returns [0]
• Current Momentum Status
  : 12-month rolling momentum is as high as 72.95%, showing strong recent performance [0]
• Safe-haven Attribute
  : Performs well during periods of market uncertainty

Through analysis of bull and bear market cycles divided by the SPY 200-day moving average, we find that the momentum rotation strategy has significant cyclical characteristics [0]:

• Nasdaq ETF
  : Average daily return of 0.134%, annualized Sharpe ratio of 1.96
• Gold ETF
  : Average daily return of 0.039%, annualized Sharpe ratio of 0.71
• Conclusion
  : Nasdaq ETF significantly outperforms in bull markets, being the core return source of the momentum rotation strategy

• Nasdaq ETF
  : Average daily return of -0.101%, annualized Sharpe ratio of -0.79
• Gold ETF
  : Average daily return of 0.089%, annualized Sharpe ratio of 1.30
• Conclusion
  : Gold ETF demonstrates safe-haven value in bear markets, while Nasdaq ETF performs poorly

• Nasdaq ETF volatility: 1.08% in bull markets, 2.03% in bear markets
• Gold ETF volatility: 0.87% in bull markets, 1.08% in bear markets
• Conclusion
  : Gold ETF shows lower volatility in all market environments

1. Significant Return Enhancement Effect
   • Backtest data shows the momentum rotation strategy has an annualized return of 24.24%, far exceeding the 11.63% of equal-weight allocation
   • Sharpe ratio increases from 0.94 to 1.08, indicating better risk-adjusted returns

2. Market Adaptability
   • Automatically allocates to Nasdaq ETF in bull markets to capture the upward momentum of growth stocks
   • Switches to Gold ETF in bear markets to effectively avoid market decline risks

3. Trend-tracking Ability
   • 12-month rolling momentum indicator effectively identifies asset trends
   • Can timely adjust allocations when trends change

1. Mean Reversion Risk
   • Current P/E of Nasdaq ETF is 34.35, at a historical high [0]
   • 12-month momentum of 19.32% may indicate short-term overbought [0]
   • Gold ETF price is near its 52-week high, posing correction pressure [0]

2. Lag Risk
   • Momentum signals are based on historical data, which may lag in trend turning points
   • Rapid market changes may lead to strategy failure

3. Impact of Transaction Costs
   • Frequent position adjustments generate transaction costs and slippage
   • Backtests do not consider costs, so actual returns may be lower than theoretical values

• Continuous drive from technological innovation: Emerging technology fields like AI and cloud computing still have growth potential
• Long-term upward historical trend of the U.S. stock market
• Current 12-month momentum of 19.32% indicates trend continuation [0]

• Valuation pressure: P/E ratio of 34.35x is far higher than historical average [0]
• Changes in interest rate environment may affect growth stock valuations
• Geopolitical risks and regulatory pressure

• Current 12-month momentum of 72.95% shows strong upward momentum [0]
• Global central banks’ continuous gold purchasing trend
• Geopolitical uncertainty supports safe-haven demand
• Expectations of Fed policy shift

• Price is near 52-week high of $418.45 [0]
• Stronger U.S. dollar may suppress gold prices
• Rising real interest rates are unfavorable to gold

• Suitable Investors
  : Investors with strong risk tolerance and pursuit of excess returns
• Unsuitable Investors
  : Investors seeking stable returns and low-risk preference

• Introduce mean reversion indicators to avoid chasing highs at peaks
• Set volatility thresholds to reduce positions during extreme market volatility
• Add multi-factor models, combining value, quality and other factors

• Set stop-loss points to control single drawdown幅度
• Diversify investments by adding asset classes (e.g., bonds, commodities)
• Regularly rebalance to avoid over-concentration in a single asset

• Choose low-fee ETF products
• Reduce unnecessary position adjustment frequency
• Use limit orders to reduce slippage impact

• Pay attention to changes in 12-month momentum
• Monitor the position of the 200-day moving average
• Track the VIX volatility index

The momentum rotation strategy is

in the A-share ETF market, mainly reflected in:

1. Sufficient Historical Verification
   : 10-year backtest shows the strategy has an annualized return of 24.24% and a Sharpe ratio of 1.08
2. Strong Market Adaptability
   : Can automatically adjust allocations during bull-bear market transitions
3. Risk-Return Optimization
   : Provides better risk-adjusted returns compared to equal-weight allocation

However,

:

• Nasdaq ETF’s high valuation and strong momentum may indicate short-term correction
• Gold ETF is near its historical high, requiring vigilance against profit-taking pressure

• While enjoying the momentum effect, remain vigilant against mean reversion
• Enhance strategy robustness through diversification and dynamic risk management
• Regularly evaluate strategy performance and adjust timely according to market environment changes

The momentum rotation strategy is not a “holy grail” but a tool that requires continuous optimization and risk management. In the current market environment, it is recommended to moderately lower expected returns and strengthen risk control to achieve long-term stable investment returns.

[0] Gilin API Data - Historical Price and Market Data of Nasdaq ETF (QQQ) and Gold ETF (GLD) (2015-2025)
[1] Seeking Alpha - “2026 Strategy: Passive Investing In U.S. Indices Will Win Again” (https://seekingalpha.com/article/4855965-2026-outlook-passive-investing-in-us-indices-will-win-again)
[2] Seeking Alpha - “The 2025 Metal Frenzy: A Year-End Wrap-Up And 2026 Outlook” (https://seekingalpha.com/article/4855952-2025-metal-frenzy-year-end-wrap-up-2026-outlook)
[3] Seeking Alpha - “Magnificent Metals” (https://seekingalpha.com/article/4855886-magnificent-metals)
[4] Seeking Alpha - “Gold Clears $4,500 As Bullish Momentum Holds Into Year End” (https://seekingalpha.com/article/4855652-gold-clears-4500-bullish-momentum-holds-into-year-end)