PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-11-12 14:42Quantitative Models and Construction Methods 1. Model Name: Industry Crowding Monitoring Model Model Construction Idea: This model is designed to monitor the crowding levels of industries on a daily basis, specifically for the CSI Level-1 Industry Index. It identifies industries with high or low crowding levels to provide actionable insights. [3] Model Construction Process: The model calculates the crowding levels of industries by analyzing daily fund flows and other relevant metrics. It ranks industries based on their crowding levels, highlighting those with significant changes or extreme values. For example, the previous trading day showed high crowding levels in power equipment, basic chemicals, and environmental protection, while industries like computers, automobiles, and non-bank financials had lower crowding levels. [3] Model Evaluation: The model effectively identifies industries with significant crowding changes, providing valuable insights for fund allocation and risk management. [3] 2. Model Name: Premium Rate Z-Score Model Model Construction Idea: This model is used to screen ETF products for potential arbitrage opportunities by calculating the Z-score of their premium rates. [4] Model Construction Process: The model employs a rolling calculation of the Z-score for the premium rates of ETF products. A high Z-score indicates a potential arbitrage opportunity, while a low Z-score may signal a risk of price correction. [4] Model Evaluation: The model provides a systematic approach to identify ETFs with potential arbitrage opportunities, but it also warns of potential price correction risks. [4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model: No specific numerical backtesting results were provided in the report. [3] 2. Premium Rate Z-Score Model: No specific numerical backtesting results were provided in the report. [4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned or constructed in the report. --- Factor Backtesting Results No specific backtesting results for factors were provided in the report.