KAIYUAN SECURITIES·2025-08-01 14:13Quantitative Models and Construction Methods - Model Name: Real-time Public Fund Positioning Model Construction Idea: This model estimates the real-time positioning of public funds based on publicly available market information such as fund net value, disclosed holdings, and research activities[3][20] Model Construction Process: The process involves complex data processing of public market information, including fund net value, disclosed holdings, and research activities. Detailed methodology is referenced in the report "偏股混合型基金指数（885001.WI）：优势、复制与超越"[20] - Model Name: ETF Fund Positioning Model Construction Idea: This model tracks the dynamics of ETF fund holdings as a key indicator of market fund flows, reflecting the growing importance of index investment in the A-share market[3][21] Model Construction Process: The model calculates the proportion of ETF holdings relative to the market capitalization of PCB sector stocks. As of Q2 2025, the total scale of public ETF funds exceeded 4.3 trillion yuan, with ETF holdings in the PCB sector at a historical high, accounting for 2.6% of the sector's market capitalization[21][23] - Model Name: Financing Balance Dynamics Model Construction Idea: This model uses financing balance as a proxy for investor sentiment, where an increase in financing balance indicates a bullish outlook on the market[3][25] Model Construction Process: The model tracks the total amount of outstanding financing in margin trading. The PCB sector's financing balance is at a historical high, while the short-selling balance remains at a low level[25][27] - Model Name: Chip Yield Characteristics Model Construction Idea: This model evaluates the profitability of the PCB sector based on chip yield, which measures the return of current prices relative to historical chip costs. It identifies momentum effects in strong markets and reversal effects in weak markets[3][26] Model Construction Process: The model estimates the average holding cost of funds at different price levels and calculates chip yield as the return of current prices relative to historical chip costs. The PCB sector's current profitability is 22.95%[26][28] Model Backtesting Results - Real-time Public Fund Positioning: No specific quantitative backtesting results provided - ETF Fund Positioning: ETF holdings account for 2.6% of the PCB sector's market capitalization[23] - Financing Balance Dynamics: Financing balance is at a historical high, while short-selling balance is at a low level[25][27] - Chip Yield Characteristics: Current profitability of the PCB sector is 22.95%[26][28] Quantitative Factors and Construction Methods - Factor Name: Chip Yield Factor Construction Idea: This factor measures the profitability of the PCB sector based on the return of current prices relative to historical chip costs[3][26] Factor Construction Process: The factor is calculated as the return of current prices relative to historical chip costs. It reflects momentum effects in strong markets and reversal effects in weak markets. The PCB sector's current chip yield is 22.95%[26][28] Factor Backtesting Results - Chip Yield: Current profitability of the PCB sector is 22.95%[26][28]