麦高证券-麦高视野：ETF观察日志

Quantitative Factors and Models Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) Construction Idea: RSI is used to measure the relative strength of price movements over a specific period, identifying overbought or oversold market conditions[3] Construction Process: - Formula: $ RSI = 100 - \frac{100}{1 + RS} $ - Where $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ - In this report, the RSI is calculated over a 12-day period[3] Evaluation: RSI is a widely used momentum indicator that provides insights into market sentiment and potential price reversals[3] 2. Factor Name: Net Subscription (NETBUY) Construction Idea: This factor measures the net inflow or outflow of funds into an ETF, reflecting investor sentiment and demand[3] Construction Process: - Formula: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ - Where $ NAV(T) $ is the net asset value on day T, and $ R(T) $ is the return on day T[3] Evaluation: This factor is useful for understanding fund flows and liquidity dynamics in the ETF market[3] Quantitative Models and Construction Methods No specific quantitative models were mentioned in the report --- Backtesting Results of Factors 1. RSI Factor: - RSI values for various ETFs range from approximately 44.61 to 80.46, with higher values indicating stronger momentum or potential overbought conditions[5][8] 2. Net Subscription Factor: - Net subscription values vary significantly across ETFs, with examples such as -11.00 billion for "易方达沪深300ETF" and 3.95 billion for "嘉实中证海外中国互联网30ETF"[5][8] --- Backtesting Results of Models No backtesting results for models were provided in the report