Workflow
金工ETF点评:宽基ETF单日净流入573.79亿元,汽车、家电拥挤收窄幅度较大
  • The report introduces an "Industry Crowdedness Monitoring Model" to track the crowdedness levels of Shenwan primary industry indices on a daily basis. The model identifies industries with high and low crowdedness levels, such as agriculture, banking, and environmental protection being highly crowded, while automotive and media are less crowded. The model also monitors significant daily changes in crowdedness levels, highlighting industries like automotive and home appliances with notable variations[6][11] - A "Premium Rate Z-score Model" is constructed to screen ETF products for potential arbitrage opportunities. The model uses rolling calculations to identify ETFs with significant deviations in premium rates, which may indicate arbitrage potential or risks of price corrections[6][14]