PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-05-29 13:43Quantitative Models and Construction 1. Model Name: Industry Crowdedness Monitoring Model - Model Construction Idea: This model is designed to monitor the crowdedness levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowdedness levels to provide insights for potential investment opportunities or risks [4] - Model Construction Process: 1. The model calculates the crowdedness levels of each industry index based on specific metrics (not explicitly detailed in the report) 2. Daily updates are performed to track changes in crowdedness levels across industries 3. Industries with significant changes in crowdedness levels are highlighted for further analysis [4] - Model Evaluation: The model effectively identifies industries with extreme crowdedness levels, providing actionable insights for investors [4] 2. 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. The premium rate of each ETF is calculated as the difference between its market price and net asset value (NAV) 2. A rolling window is applied to compute the Z-score of the premium rate for each ETF 3. ETFs with Z-scores exceeding a certain threshold are flagged as potential arbitrage opportunities [5] - Model Evaluation: The model provides a systematic approach to detect arbitrage opportunities while also warning of potential price corrections [5] --- Backtesting Results of Models 1. Industry Crowdedness Monitoring Model - Top Crowded Industries: Basic Chemicals, Textile & Apparel, Light Manufacturing [4] - Least Crowded Industries: Real Estate, Electronics, Social Services, Steel, Non-Banking Financials [4] - Significant Daily Changes: Petroleum & Petrochemicals experienced notable daily crowdedness changes [4] 2. Premium Rate Z-Score Model - Highlighted ETFs for Arbitrage: Specific ETFs flagged for potential arbitrage opportunities are not detailed in the report [5]