麦高视野，ETF观察日志

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - Model Construction Idea: RSI is used to measure the relative strength of price movements over a specific period, identifying overbought or oversold market conditions[2] - Model Construction Process: - The formula for RSI is: $RSI = 100 - \frac{100}{1 + RS}$ where $RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}}$ - RSI is calculated over a 12-day period in this report[2] - RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - Model Evaluation: RSI is a widely used technical indicator for short-term market trend analysis[2] 2. Model Name: Net Purchase (Net Subscription) - Model Construction Idea: This model calculates the net subscription amount of ETFs to assess fund inflows or outflows[2] - Model Construction Process: - The formula for Net Purchase is: $NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T))$ where: - $NETBUY(T)$ is the net subscription amount on day T - $NAV(T)$ is the net asset value on day T - $R(T)$ is the return on day T[2] - Model Evaluation: This metric provides insights into investor sentiment and fund flow dynamics[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs range between 35.46 and 68.26, with specific examples including: - 华泰柏瑞沪深300ETF: RSI = 48.66[4] - 南方中证500ETF: RSI = 46.82[4] - 华夏恒生科技ETF: RSI = 46.99[4] Net Purchase Model - Net purchase values for ETFs vary significantly, with examples including: - 华泰柏瑞沪深300ETF: Net Purchase = -1.73 billion[4] - 南方中证500ETF: Net Purchase = 2.58 billion[4] - 华夏恒生科技ETF: Net Purchase = -1.14 billion[4] --- Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Ratio - Factor Construction Idea: Measures the proportion of ETF holdings by institutional investors to gauge institutional participation[3] - Factor Construction Process: - Institutional holding ratio is derived from the latest annual or semi-annual reports of ETFs, excluding holdings by linked funds[3] - Factor Evaluation: This factor reflects the confidence and involvement of institutional investors in specific ETFs[3] --- Factor Backtesting Results Institutional Holding Ratio - Institutional holding ratios for various ETFs include: - 华泰柏瑞沪深300ETF: 79.40%[4] - 南方中证500ETF: 75.79%[4] - 华夏恒生科技ETF: 43.75%[4]