债券研究报告：多维度视角下的ETF每日跟踪应用指南-20250909

Report Industry Investment Rating No relevant content provided. Core View The report aims to systematically explain the design logic and usage method of the "Daily Chart" for ETFs from a multi - dimensional perspective to assist investors in asset allocation. The "Daily Chart" uses five indicators, namely "bottom consolidation - stage volume increase - theme catalysis - homogeneous comparison - liquidity optimization", to screen ETFs with potential return elasticity in the future. The screening framework focuses on "low - level consolidation, volume confirmation, theme catalysis, homogeneous de - duplication, and liquidity implementation" to form an operable, reviewable, and iterable ETF candidate list [1]. Summary by Directory 1 ETF Market Expansion Since the beginning of this year, the domestic ETF market has expanded in terms of product supply and trading demand. Different types of ETFs such as broad - based, industry, theme, bond, QDII, and commodity have been continuously refined. ETFs have become the optimal tool for obtaining index exposure during periods of rapid style rotation and frequent structural market conditions. They are more advantageous in asset allocation compared to individual stocks, better meeting the investment needs of trading and allocation funds [9]. 2 Screening Logic - Low - level Consolidation: Select ETFs with returns in the bottom 50% in the past month, excluding those affected by suspension and abnormal market conditions, to avoid chasing high and focus on ETFs with potential for valuation and popularity restoration [14]. - Volume Confirmation: After the initial screening, choose ETFs with a volume increase of at least 15% compared to ten trading days ago. Volume increase indicates a rise in participants and trading willingness, an improvement in risk preference and a shift in capital attention, as well as an improvement in trading order and liquidity [15]. - Theme Catalysis: In the context of theme rotation, use quantitative methods to select high - purity industry - theme ETFs. A penetration - based screening mechanism is set to require at least three of the top ten weighted stocks of candidate ETFs to belong to high - heat theme sectors, ensuring their high - purity tracking of theme markets [16]. - Homogeneous Comparison: In the same tracking index group, only retain the ETF with the highest trading volume on the day to reduce impact costs and execution uncertainties [17]. - Liquidity Implementation: Set a liquidity threshold, requiring the trading volume of ETFs to be no less than 100 million yuan to ensure their tradability and carrying capacity [18]. - Final Result: After the above screening, comprehensively evaluate the qualified samples based on multiple dimensions such as strength continuation, theme resonance, capital acceptance, and trading feasibility. Form a daily list of the top 20 ETFs with the greatest upward potential, which is automatically generated by existing models or processes [19]. 3 Multi - dimensional Perspective of ETF Daily Chart After the market closes, update the data based on the closing price and trading volume of the day. First, standardize the data of all market equity - based ETFs, then review the performance in the past month, the disclosure of the top ten weights, the intraday changes in trading volume and scale, and the consistency between the premium/discount and the tracking index. Apply the five screening criteria to the sample space to select 20 representative ETFs (if more than 20 meet the requirements). When viewing the "Daily Chart", start from the right. The redder the "One - month return" is, the smaller the subsequent upward space; the bluer it is, the greater the potential elasticity. Check the "Main capital net inflow ratio" to verify capital acceptance, ensure the "Trading volume" is above 100 million yuan, and avoid ETFs with large price increases and abnormal premium/discount expansion on the day. Only select the ETF with the highest trading volume in the same tracking index group [20].