金工ETF点评：宽基ETF单日净流出70.63亿元，农林牧渔拥挤度快速提升

Quantitative Models and Construction Methods 1. 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 and significant changes in crowding over time[4]. - Model Construction Process: The model calculates crowding levels for each industry index daily, based on metrics such as main fund inflows and outflows. It identifies industries with the highest and lowest crowding levels and tracks significant changes in crowding over recent trading days[4]. - Model Evaluation: The model provides actionable insights into industry crowding dynamics, helping to identify potential investment opportunities or risks[4]. 2. Model Name: Premium Rate Z-Score Model - Model Construction Idea: This model is used to screen ETF products for potential arbitrage opportunities by calculating the Z-score of premium rates over a rolling window[5]. - Model Construction Process: The model involves the following steps: 1. Calculate the premium rate of an ETF as the percentage difference between its market price and net asset value (NAV). 2. Compute the Z-score of the premium rate over a rolling window to standardize the deviation. 3. Identify ETFs with extreme Z-scores as potential arbitrage opportunities[5]. - Model Evaluation: The model effectively highlights ETFs with significant deviations from their NAV, which may indicate arbitrage opportunities or risks of price corrections[5]. --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific numerical backtesting results were provided for this model[4]. 2. Premium Rate Z-Score Model - No specific numerical backtesting results were provided for this model[5]. --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were provided in the report.