金工ETF点评：跨境ETF单日净流入24.28亿元，通信、银行拥挤变动幅度较大

• The report constructs an industry congestion monitoring model to monitor the congestion levels of Shenwan First-Level Industry Indexes on a daily basis[3] - The report constructs a Z-score model based on premium rates to screen ETF products for potential arbitrage opportunities[4] Quantitative Models and Construction Methods 1. Model Name: Industry Congestion Monitoring Model - Model Construction Idea: Monitor the congestion levels of Shenwan First-Level Industry Indexes daily[3] - Model Construction Process: The model calculates the congestion levels of various industries based on the flow of main funds. It identifies industries with high and low congestion levels and tracks the changes in congestion levels over time[3] - Model Evaluation: The model effectively identifies industries with significant changes in congestion levels, providing valuable insights for investment decisions[3] 2. Model Name: Premium Rate Z-score Model - Model Construction Idea: Screen ETF products for potential arbitrage opportunities based on the premium rate Z-score[4] - Model Construction Process: The model calculates the Z-score of the premium rates of various ETF products through rolling measurements. It identifies ETFs with potential arbitrage opportunities and warns of possible pullback risks[4] - Model Evaluation: The model provides a systematic approach to identify ETFs with potential arbitrage opportunities, aiding investors in making informed decisions[4] Model Backtesting Results 1. Industry Congestion Monitoring Model - Congestion Levels: Coal, Environmental Protection, and Petrochemical industries had high congestion levels, while Food & Beverage and Computer industries had low congestion levels[3] - Main Fund Flows: Main funds flowed into Coal and Media industries, and flowed out of Machinery and Pharmaceutical & Biological industries in the previous trading day[3] - Three-Day Fund Allocation: Main funds reduced allocation in Pharmaceutical, Electric Power Equipment, and increased allocation in Media over the past three days[3] 2. Premium Rate Z-score Model - ETF Fund Flows: - Broad-based ETFs: Net outflow of 15.91 billion yuan in a single day[5] - Industry-themed ETFs: Net inflow of 9.14 billion yuan in a single day[5] - Style Strategy ETFs: Net outflow of 2.85 billion yuan in a single day[5] - Cross-border ETFs: Net inflow of 24.28 billion yuan in a single day[5] Quantitative Factors and Construction Methods 1. Factor Name: Congestion Level Factor - Factor Construction Idea: Measure the congestion levels of various industries based on main fund flows[3] - Factor Construction Process: Calculate the congestion levels by analyzing the flow of main funds into and out of different industries. Identify industries with high and low congestion levels and track changes over time[3] - Factor Evaluation: The factor effectively highlights industries with significant congestion level changes, providing valuable insights for investment decisions[3] 2. Factor Name: Premium Rate Z-score Factor - Factor Construction Idea: Identify potential arbitrage opportunities in ETF products based on the premium rate Z-score[4] - Factor Construction Process: Calculate the Z-score of the premium rates of various ETF products through rolling measurements. Identify ETFs with potential arbitrage opportunities and warn of possible pullback risks[4] - Factor Evaluation: The factor provides a systematic approach to identify ETFs with potential arbitrage opportunities, aiding investors in making informed decisions[4] Factor Backtesting Results 1. Congestion Level Factor - Congestion Levels: Coal, Environmental Protection, and Petrochemical industries had high congestion levels, while Food & Beverage and Computer industries had low congestion levels[3] - Main Fund Flows: Main funds flowed into Coal and Media industries, and flowed out of Machinery and Pharmaceutical & Biological industries in the previous trading day[3] - Three-Day Fund Allocation: Main funds reduced allocation in Pharmaceutical, Electric Power Equipment, and increased allocation in Media over the past three days[3] 2. Premium Rate Z-score Factor - ETF Fund Flows: - Broad-based ETFs: Net outflow of 15.91 billion yuan in a single day[5] - Industry-themed ETFs: Net inflow of 9.14 billion yuan in a single day[5] - Style Strategy ETFs: Net outflow of 2.85 billion yuan in a single day[5] - Cross-border ETFs: Net inflow of 24.28 billion yuan in a single day[5]