PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-11-18 12:13Quantitative 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, focusing on the Shenwan First-Level Industry Index. It identifies industries with high or low crowding levels to provide actionable insights for investors. [3] Model Construction Process: The model calculates the crowding level of each industry based on specific metrics, such as fund flows and other market indicators. The daily crowding levels are ranked, and industries with significant changes in crowding levels are highlighted. For example, the model identified that the crowding levels of military and media industries experienced significant changes recently. [3] Model Evaluation: The model provides a useful tool for identifying industry trends and potential investment opportunities by analyzing crowding dynamics. [3] 2. Model Name: Premium Rate Z-Score Model Model Construction Idea: This model is used to screen ETF products by identifying potential arbitrage opportunities based on the Z-score of their premium rates. [4] Model Construction Process: The Z-score is calculated using rolling measurements of the premium rate of ETF products. The model flags ETFs with significant deviations from their historical averages, indicating potential arbitrage opportunities or risks of price corrections. [4] Model Evaluation: The model effectively identifies 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 quantitative factor backtesting results were provided in the report.