麦高视野：ETF观察日志（2025-06-03）

• The report introduces the RSI (Relative Strength Index) as a quantitative factor. The construction idea is to measure the market's overbought or oversold conditions based on price movements over a specific period. The formula is: $ RSI = 100 - 100 / (1 + RS) $ 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][4] - Another quantitative factor mentioned is Net Purchase Amount (NETBUY), which evaluates the net inflow or outflow of funds into ETFs. The formula is: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ 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 rate on day T[2] - The report also tracks Institutional Holdings Ratio, which estimates the proportion of ETF shares held by institutions based on the latest annual or semi-annual reports. This data excludes holdings by linked funds and is subject to estimation errors[3] - The report provides a detailed breakdown of ETF performance across various indices, including broad-based indices like CSI 300, CSI 500, and CSI A500, as well as thematic indices such as non-bank financials, dividends, and sector-specific indices like semiconductors and renewable energy[4][7] - The report highlights the T+0 trading mechanism, indicating whether ETFs support same-day buy-and-sell transactions. This feature is noted for certain ETFs, particularly those tracking overseas indices like Hong Kong, U.S., and Japan markets[2][4] - The report includes daily intraday price trends, constructed using 5-minute interval transaction prices. Red dots mark the highest and lowest prices of the day, though some data gaps may exist due to missing intraday data[2] - The report categorizes ETFs into broad-based and thematic groups, analyzing their tracking indices, management fees, institutional holdings, and other metrics. Examples include CSI 300 ETFs, CSI 500 ETFs, and thematic ETFs like semiconductors, renewable energy, and artificial intelligence[4][7]