麦高证券麦高视野：ETF观察日志
麦高证券·2025-04-25 02:55
- The report introduces the RSI (Relative Strength Index) as a quantitative factor, constructed to measure market conditions of overbought or oversold states. The formula is: where RS represents the ratio of average gains to average losses over a 12-day period. RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - Another quantitative metric discussed is Net Purchase Amount (NETBUY), which calculates the net inflow or outflow of funds for ETFs. The formula is: where NAV(T) is the net asset value of the ETF on day T, NAV(T-1) is the net asset value on the previous day, and R(T) is the return on day T[2] - The report provides detailed tracking of ETF performance metrics, including RSI values, net purchase amounts, and institutional holding percentages across various ETF categories such as broad-based indices (e.g., CSI 300, CSI 500) and thematic indices (e.g., non-bank financials, red-chip stocks)[4] - The report highlights day-trading trends using 5-minute interval price data to identify intraday highs and lows, represented by red dots on trend charts. However, some data gaps are noted due to missing intraday information[2] - The report categorizes ETFs into "broad-based" and "thematic" groups, analyzing their tracking indices, management fees, and liquidity metrics, such as trading volume and market capitalization[2][4] - Institutional holding percentages are estimated based on the latest annual or semi-annual reports, excluding holdings by linked funds. These values are subject to potential deviations[3] - The report includes T+0 trading availability for certain ETFs, indicating whether same-day buy-and-sell transactions are supported[3] - The report provides a comprehensive table of ETF metrics, including RSI values, net purchase amounts, institutional holding percentages, and other performance indicators for various ETFs across sectors like banking, semiconductors, renewable energy, and real estate[4][6]