金工ETF点评：宽基ETF单日净流入99.09亿元，黄金产业、黄金股ETF可关注

Quantitative Models and Construction Methods - Model Name: Industry Crowding Monitoring Model Model Construction Idea: This model is designed to monitor the crowding levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowding levels to guide investment focus[4] Model Construction Process: The model calculates crowding levels for each industry index based on specific metrics (not detailed in the report). It then ranks industries by their crowding levels and highlights those with significant changes in crowding levels or notable fund inflows/outflows[4] Model Evaluation: Provides a useful tool for identifying industry trends and potential investment opportunities based on crowding dynamics[4] - Model Name: Premium Rate Z-Score Model Model Construction Idea: This model identifies potential arbitrage opportunities in ETF products by calculating the Z-score of their premium rates over a rolling window[5] Model Construction Process: 1. Calculate the premium rate of an ETF as the difference between its market price and its net asset value (NAV), divided by the NAV 2. Compute the Z-score of the premium rate over a rolling window to standardize the deviation from the mean 3. Use the Z-score to signal potential arbitrage opportunities or risks of price corrections[5] Model Evaluation: Effective for short-term trading strategies and arbitrage identification in ETF markets[5] Model Backtesting Results - Industry Crowding Monitoring Model: No specific numerical backtesting results provided in the report[4] - Premium Rate Z-Score Model: No specific numerical backtesting results provided in the report[5] Quantitative Factors and Construction Methods - No specific quantitative factors were explicitly mentioned or constructed in the report Factor Backtesting Results - No specific factor backtesting results were provided in the report