金融工程研究报告：居民资金动向的高频跟踪

Quantitative Models and Construction Methods 1. Model Name: Resident Capital Activity Indicator - Model Construction Idea: The indicator is designed to track resident capital flows at a high frequency, combining data from three perspectives: ETFs dominated by individual investors, trading activity at specific brokerage branches, and Baidu search indices[1][11][23] - Model Construction Process: 1. ETF Perspective: - Identify A-share equity ETFs with individual ownership ≥70% based on semi-annual and annual reports (data updated in March and August each year) - Calculate daily ETF fund flows using the formula: $ \text{Daily Fund Flow} = \text{Daily Change in ETF Shares} \times \text{VWAP (Volume Weighted Average Price)} $ - Aggregate the fund flows of all selected ETFs to derive the indicator for individual investor-dominated ETFs[12] 2. Brokerage Branch Perspective: - Use trading data from specific branches of Orient Securities in Lhasa, which are predominantly used by retail investors - Calculate the daily trading volume of these branches as a percentage of the total trading volume of the Wind All-A Index to represent resident activity[13][17] 3. Baidu Index Perspective: - Select three keywords: "stock account opening," "bull market," and "bottom fishing" - Use their rolling 1-month moving averages to measure resident sentiment in different market scenarios[21] 4. Comprehensive Indicator Construction: - Smooth all three sub-indicators using a 1-month moving average - Calculate the rolling 6-month percentile rank for each sub-indicator - Combine the percentile ranks of the three Baidu keywords equally to form the Baidu sub-indicator - Combine the ETF, brokerage, and Baidu sub-indicators equally to form the final Resident Capital Activity Indicator, with values ranging from 0 to 1[23] - Model Evaluation: The indicator aligns well with monthly A-share account opening data, demonstrating its effectiveness as a high-frequency proxy for resident capital flows. It also exhibits timing capabilities, similar to the "fear-greed index," by signaling potential short-term market risks when resident sentiment overheats[27][28] --- Model Backtesting Results 1. Resident Capital Activity Indicator - Wind All-A Index Return: 75% (from February 2019 to August 2025) - Timing Strategy Return: 167% (based on the rule: stay fully invested unless the indicator exceeds 70% in the past 10 days, in which case switch to cash)[28]