麦高视野：ETF观察日志（2025-11-20）

• The report introduces the RSI (Relative Strength Index) as a quantitative factor. The construction idea is to measure the relative strength of price movements over a specific period to identify overbought or oversold market conditions. The formula is: $ RSI = 100 - \frac{100}{1 + RS} $, where $ RS $ is the ratio of the average gain to the average loss over a 12-day period. An RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - Another quantitative factor mentioned is Net Purchase (NETBUY), which measures the net inflow or outflow of funds for ETFs. The formula is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $, where $ NAV(T) $ is the net asset value on day $ T $, $ NAV(T-1) $ is the net asset value on the previous day, and $ R(T) $ is the return on day $ T $[2] - The report also tracks Institutional Holdings as a factor, which is derived from the latest annual or semi-annual reports of ETFs, excluding holdings by linked funds. This factor provides an estimate of institutional participation in the ETF[3] - The report includes T+0 Trading as a feature for certain ETFs, indicating whether same-day buy-and-sell transactions are allowed[2] - The report provides a detailed breakdown of ETF performance across various indices, including broad-based indices (e.g., CSI 300, CSI 500, CSI 1000) and thematic indices (e.g., semiconductor, renewable energy, artificial intelligence). Performance metrics include RSI, net purchase, and institutional holdings[4] - The RSI values for ETFs tracking broad-based indices range from 35.83 to 52.12, with thematic ETFs showing a wider range, such as 30.25 for robotics and 63.73 for banking[4] - Net purchase values vary significantly, with some ETFs showing large outflows (e.g., -10.82 billion for Nasdaq 100 ETFs) and others showing inflows (e.g., 10.01 billion for Hang Seng Technology ETFs)[4] - Institutional holdings also vary widely, with some ETFs having over 90% institutional participation (e.g., CSI 800 ETFs) and others below 20% (e.g., certain thematic ETFs like robotics)[4]