麦高视野：ETF观察日志（2025-06-24）

Quantitative Models and Construction Methods Model 1: RSI (Relative Strength Index) - Model Name: RSI (Relative Strength Index) - Model Construction Idea: The RSI is used to measure the speed and change of price movements. It is primarily used to identify overbought or oversold conditions in a trading instrument. - Model Construction Process: - The RSI is calculated using the following formula: $RSI = 100 - \frac{100}{1 + RS}$ where RS (Relative Strength) is the average of 'n' days' up closes divided by the average of 'n' days' down closes. Typically, a 14-day period is used. - The RSI value ranges from 0 to 100. An RSI above 70 indicates that the market is overbought, while an RSI below 30 indicates that the market is oversold.[2] Model 2: Net Purchase (NETBUY) - Model Name: Net Purchase (NETBUY) - Model Construction Idea: This model calculates the net purchase amount of an ETF to understand the inflow and outflow of funds. - Model Construction Process: - The net purchase amount is calculated using the following formula: $NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T))$ where NETBUY(T) is the net purchase amount on day T, NAV(T) is the net asset value on day T, NAV(T-1) is the net asset value on the previous trading day, and R(T) is the return on day T.[2] Model Backtesting Results - RSI Model: - RSI values for various ETFs range from 37.69 to 80.86, indicating different levels of market conditions from oversold to overbought.[4][6] - Net Purchase Model: - Net purchase values for various ETFs range from -6.38 billion to 99.72 billion, indicating significant variations in fund inflows and outflows.[4][6] Quantitative Factors and Construction Methods Factor 1: Institutional Holdings - Factor Name: Institutional Holdings - Factor Construction Idea: This factor measures the percentage of an ETF's holdings that are owned by institutional investors. - Factor Construction Process: - The percentage of institutional holdings is derived from the latest annual or semi-annual reports of the ETF, excluding the holdings of corresponding linked funds. The data is an estimate and may have some deviations.[3] Factor Backtesting Results - Institutional Holdings Factor: - Institutional holdings percentages for various ETFs range from 2.79% to 96.29%, indicating varying levels of institutional interest and confidence in these ETFs.[4][6]