机构洞察系列（二）：解码ETF机构投资者画像

Quantitative Models and Construction Methods Model Name: ETF Institutional Investor Penetration Algorithm - Model Construction Idea: To accurately reflect the actual institutional investor holding ratio in ETFs by excluding the portion held by individual investors in linked funds[27] - Model Construction Process: - Traditional algorithm considers all linked funds and other institutional investors as institutional investors - The revised algorithm penetrates the linked fund data to correct the published institutional investor holding ratio - Formula: $ \text{Revised Institutional Investor Holding Ratio} = \text{Published Institutional Investor Holding Ratio} - \text{Linked Fund Holding Ratio} \times (1 - \text{Institutional Investor Ratio in Linked Fund}) $ - This formula ensures a more accurate representation of institutional holdings in ETFs[27][28] - Model Evaluation: Provides a more precise measurement of institutional investor preferences and trends in ETF holdings[27] Model Backtesting Results - ETF Institutional Investor Penetration Algorithm: - Holding Ratio: Institutional investor holding ratio in stock ETFs increased to over 61% in the second half of 2024[29] - Sector ETFs: Institutional investor holding ratio around 22% in the second half of 2024[35] - Smart Beta ETFs: Institutional investor holding ratio reached 50.74% in the second half of 2024[36] Quantitative Factors and Construction Methods Factor Name: Institutional Holding Ratio - Factor Construction Idea: To determine the optimal institutional holding ratio for ETFs that balances liquidity, scale effect, and return performance[83] - Factor Construction Process: - Divide the market ETFs into 11 groups based on the revised institutional holding ratio - Analyze the relationship between institutional holding ratio and ETF performance - Identify the optimal holding ratio range for maximizing returns and minimizing drawdowns[84][85] - Factor Evaluation: Institutional holding ratio between 50%-60% is optimal for balancing liquidity, scale effect, and return performance[84] Factor Backtesting Results - Institutional Holding Ratio: - Return Performance: ETFs with institutional holding ratio between 50%-60% showed superior return performance[84] - Drawdown Performance: Higher institutional holding ratios correlated with lower maximum drawdowns, indicating better risk control[98][101]