麦高视野：ETF观察日志(2025-09-12)

Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) - Factor Construction Idea: RSI is used to measure the relative strength of a stock or ETF over a specific period, identifying overbought or oversold conditions in the market[2] - Factor Construction Process: The RSI is calculated using the following formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS $ = Average gain over the past 12 days / Average loss over the past 12 days - RSI > 70 indicates an overbought condition, while RSI < 30 indicates an oversold condition[2] 2. Factor Name: Net Subscription (NETBUY) - Factor Construction Idea: This factor measures the net inflow or outflow of funds into an ETF, reflecting investor sentiment and demand[2] - Factor Construction Process: The net subscription is calculated using the following formula: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ = Net subscription amount on day T - $ NAV(T) $ = Net asset value of the ETF on day T - $ R(T) $ = Return of the ETF on day T[2] Factor Backtesting Results 1. RSI Factor - 华泰柏瑞沪深300ETF: RSI = 63.90[4] - 易方达沪深300ETF: RSI = 63.27[4] - 南方中证500ETF: RSI = 66.43[4] - 华夏中证500ETF: RSI = 66.58[4] - 华安三菱日联日经225ETF: RSI = 70.10[6] 2. Net Subscription Factor - 华泰柏瑞沪深300ETF: Net Subscription = 26.44 billion RMB[4] - 易方达沪深300ETF: Net Subscription = 9.10 billion RMB[4] - 南方中证500ETF: Net Subscription = 2.58 billion RMB[4] - 华夏中证500ETF: Net Subscription = -0.25 billion RMB[4] - 华安三菱日联日经225ETF: Net Subscription = -0.04 billion RMB[6]