麦高视野：ETF观察日志(2025-11-19)

• The report includes the construction of the RSI (Relative Strength Index) factor, which is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS represents the ratio of average gains to average losses over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market [2] - The report also introduces the calculation of net subscription (NETBUY), defined as $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) represents the net subscription amount, NAV(T) is the ETF's net asset value on day T, and R(T) is the return on day T [2] - The report tracks various ETFs categorized into "Broad-based" and "Thematic" indices, such as CSI 300, CSI 500, and industry-specific indices like non-bank financials, dividends, and China internet sectors. It provides daily performance metrics, including RSI values, net subscription amounts, and institutional holding percentages [2][4][7] - The RSI factor is evaluated as a useful indicator for identifying market conditions, such as overbought or oversold states, aiding in short-term trading decisions [2] - The net subscription metric is assessed as a valuable measure for understanding fund flows and investor sentiment towards specific ETFs [2] - RSI values for various ETFs range from 11.05 to 77.25, reflecting diverse market conditions across different indices and sectors [4][7] - Net subscription values vary significantly, with some ETFs showing positive inflows while others exhibit outflows, indicating mixed investor sentiment across different funds [4][7]