麦高视野：ETF观察日志(2025-07-03)

Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) - Factor Construction Idea: RSI measures the relative strength of price movements over a specific period to identify overbought or oversold market conditions[2] - Factor Construction Process: - The formula for RSI is: $ RSI = 100 - \frac{100}{1 + RS} $ where $ RS $ is the ratio of the average gain to the average loss over a 12-day period[2] - RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - Factor Evaluation: RSI is a widely used technical indicator for short-term market sentiment analysis[2] 2. Factor Name: Net Subscription (NETBUY) - Factor Construction Idea: This factor calculates the net subscription amount of ETFs to gauge investor demand[2] - Factor Construction Process: - The formula for NETBUY is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ where $ NAV(T) $ is the net asset value on day T, $ NAV(T-1) $ is the net asset value on the previous day, and $ R(T) $ is the return on day T[2] - Factor Evaluation: This factor provides insights into the capital flow dynamics of ETFs, reflecting investor sentiment and market positioning[2] --- Factor Backtesting Results 1. RSI Factor - HS300 ETFs: RSI values range from 60.24 to 70.30, with most ETFs hovering around the overbought threshold of 70[4] - CSI500 ETFs: RSI values range from 66.04 to 66.37, indicating moderate strength[4] - CSI800 ETFs: RSI values range from 69.54 to 71.77, with some ETFs entering overbought territory[4] - CSI1000 ETFs: RSI values range from 63.76 to 64.97, suggesting neutral to slightly strong market conditions[4] - Thematic ETFs: RSI values vary significantly, with some themes like "New Energy" reaching as high as 74.71, while others like "Semiconductors" remain around 50[6] 2. Net Subscription Factor - HS300 ETFs: Net subscription values range from -6.69 billion to 1.51 billion, indicating mixed investor sentiment[4] - CSI500 ETFs: Net subscription values range from -2.65 billion to 0.54 billion, reflecting weak demand[4] - CSI800 ETFs: Net subscription values range from 0.00 billion to 0.45 billion, showing stable capital flows[4] - CSI1000 ETFs: Net subscription values range from -2.69 billion to 0.55 billion, indicating varied investor interest[4] - Thematic ETFs: Net subscription values vary widely, with some themes like "Semiconductors" showing strong inflows (up to 6.28 billion), while others like "Consumer Electronics" exhibit moderate inflows (up to 1.15 billion)[6]