麦高视野：ETF观察日志（2025-07-14）

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - Model Construction Idea: RSI is used to measure the relative strength of price movements over a specific period, identifying overbought or oversold market conditions[2] - Model Construction Process: The RSI is calculated using the formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ In this report, the RSI is calculated over a 12-day period. - RSI > 70 indicates an overbought market - RSI < 30 indicates an oversold market[2] - Model Evaluation: RSI is a widely used technical indicator for short-term market trend analysis, providing actionable insights for traders[2] 2. Model Name: Net Purchase (Net Subscription) - Model Construction Idea: This model calculates the net subscription amount of ETFs to track fund inflows and outflows[2] - Model Construction Process: The formula for Net Purchase is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ is the net subscription amount on day T - $ NAV(T) $ is the net asset value on day T - $ R(T) $ is the return on day T[2] - Model Evaluation: This metric is useful for understanding investor sentiment and fund flow dynamics in the ETF market[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs: - Huatai-PineBridge CSI 300 ETF: 67.83[4] - E Fund CSI 300 ETF: 73.55[4] - ChinaAMC CSI 300 ETF: 57.08[4] - Bosera CSI 500 ETF: 69.93[4] - E Fund CSI 500 ETF: 71.67[4] - E Fund SSE STAR 50 ETF: 55.07[4] Net Purchase Model - Net Purchase values for various ETFs: - Huatai-PineBridge CSI 300 ETF: -7.83 billion[4] - E Fund CSI 300 ETF: -0.03 billion[4] - ChinaAMC CSI 300 ETF: -26.34 billion[4] - Bosera CSI 500 ETF: -1.45 billion[4] - E Fund CSI 500 ETF: -0.45 billion[4] - E Fund SSE STAR 50 ETF: 1.64 billion[4] --- Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Ratio - Factor Construction Idea: This factor measures the proportion of ETF holdings owned by institutional investors, reflecting institutional confidence and participation[3] - Factor Construction Process: The institutional holding ratio is derived from the latest annual or semi-annual reports of ETFs, excluding holdings by linked funds. The data is estimated and may have deviations due to reporting delays[3] - Factor Evaluation: This factor provides insights into institutional investor behavior, which is often considered a signal of market confidence[3] --- Factor Backtesting Results Institutional Holding Ratio - Institutional holding ratios for various ETFs: - Huatai-PineBridge CSI 300 ETF: 83.06%[4] - E Fund CSI 300 ETF: 88.03%[4] - ChinaAMC CSI 300 ETF: 91.03%[4] - Bosera CSI 500 ETF: 77.51%[4] - E Fund CSI 500 ETF: 78.89%[4] - E Fund SSE STAR 50 ETF: 43.66%[4]