麦高视野：ETF观察日志（2025-10-23）

• The report introduces the RSI (Relative Strength Index) as a quantitative factor, which measures the average price gains and losses over a 12-day period to assess market conditions. The formula is: $ RSI = 100 - 100 / (1 + RS) $ where RS represents the ratio of average gains to average losses over the specified period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market[2][4] - Another quantitative factor discussed is Net Purchase Amount (NETBUY), which calculates the net inflow or outflow of funds for ETFs. The formula is: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ Here, NAV(T) is the net asset value of the ETF on day T, NAV(T-1) is the net asset value on the previous day, and R(T) is the return rate on day T[2][4] - The report provides detailed tracking of ETF performance metrics, including daily price trends, institutional holdings, and transaction volumes, which are used to evaluate the effectiveness of the ETFs in tracking their respective indices[2][4] - The report evaluates the RSI factor as a useful tool for identifying market conditions, particularly overbought and oversold states, which can guide trading decisions[2][4] - The Net Purchase Amount factor is highlighted for its ability to measure fund flows, providing insights into investor sentiment and market dynamics[2][4] - The report includes specific RSI values for various ETFs, such as: - 华泰柏瑞沪深300ETF: RSI = 56.06[4] - 易方达沪深300ETF: RSI = 55.49[4] - 华夏上证50ETF: RSI = 62.44[4] - 南方中证银行ETF: RSI = 67.26[4] - 华安三菱日联日经225ETF: RSI = 73.34[4] - Net Purchase Amount values for selected ETFs include: - 华泰柏瑞沪深300ETF: NETBUY = -12.68 billion[4] - 易方达沪深300ETF: NETBUY = -5.66 billion[4] - 华夏上证50ETF: NETBUY = -0.24 billion[4] - 南方中证银行ETF: NETBUY = -1.69 billion[4] - 华安三菱日联日经225ETF: NETBUY = -0.23 billion[4] - The report emphasizes the importance of these factors in understanding market trends and making informed investment decisions[2][4]