麦高视野：ETF观察日志(2025-07-18)

• The report tracks various types of ETFs on a daily basis, focusing on "broad-based" and "thematic" ETFs, with the former tracking major indices like CSI 300 and CSI 500, and the latter tracking industry/style indices like non-bank financials and dividends[2] - The RSI (Relative Strength Index) is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS is the average gain of up periods during the specified time frame divided by the average loss of down periods during the specified time frame[2] - The net subscription amount is calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) is the net subscription amount, NAV(T-1) is the net asset value of the ETF on the previous trading day, and R(T) is the return on the current day[2] - The report includes various metrics for ETFs such as tracking index, ETF name, price change percentage, T+0 trading support, market cap, RSI, net subscription, trading volume, intraday trend, management fee rate, and institutional holding percentage[4] - The report provides detailed data for a wide range of ETFs, including broad-based ETFs like CSI 300, CSI 500, and thematic ETFs like non-bank financials, dividends, and various industry-specific ETFs[4][6] Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - Construction Idea: RSI measures the speed and change of price movements to identify overbought or oversold conditions in the market[2] - Construction Process: - Calculate the average gain and average loss over a specified period (e.g., 12 days) - Compute the RS (Relative Strength) as the ratio of average gain to average loss - Apply the formula: $ RSI = 100 - 100 / (1 + RS) $ - Evaluation: RSI is a widely used momentum indicator that helps in identifying potential reversal points in the market[2] 2. Model Name: Net Subscription Amount - Construction Idea: This model calculates the net inflow or outflow of funds in an ETF to gauge investor sentiment and fund activity[2] - Construction Process: - Calculate the net asset value (NAV) of the ETF for the current and previous trading days - Compute the return for the current day - Apply the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ - Evaluation: This model provides insights into the demand and supply dynamics of the ETF, reflecting investor behavior[2] Model Backtesting Results 1. RSI Model - RSI Values: - Huatai-PineBridge CSI 300 ETF: 74.32[4] - E Fund CSI 300 ETF: 78.26[4] - Huaxia CSI 300 ETF: 65.15[4] - Other ETFs have varying RSI values indicating different market conditions[4] 2. Net Subscription Amount Model - Net Subscription Values: - Huatai-PineBridge CSI 300 ETF: -1.93 billion yuan[4] - E Fund CSI 300 ETF: -4.66 billion yuan[4] - Huaxia CSI 300 ETF: -0.42 billion yuan[4] - Other ETFs show different net subscription amounts reflecting investor activity[4] Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Percentage - Construction Idea: This factor measures the proportion of ETF holdings owned by institutional investors, indicating the level of professional investment interest[3] - Construction Process: - Extract data from the latest annual or semi-annual reports of the ETF - Exclude holdings by linked funds - Calculate the percentage of institutional holdings - Evaluation: High institutional holding percentage often suggests confidence from professional investors and potential stability in the ETF[3] Factor Backtesting Results 1. Institutional Holding Percentage - Values: - Huatai-PineBridge CSI 300 ETF: 83.06%[4] - E Fund CSI 300 ETF: 88.03%[4] - Huaxia CSI 300 ETF: 91.03%[4] - Other ETFs have varying institutional holding percentages indicating different levels of professional interest[4]