金工ETF点评：宽基ETF单日净流出14.37亿元，建装、交运、家电拥挤变幅较大

Quantitative 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, using the Shenwan First-Level Industry Index as the benchmark[3] - Model Construction Process: The model calculates the crowding levels of various industries by analyzing daily fund flows and changes in crowding levels. It identifies industries with high or low crowding levels and tracks significant changes in crowding over time. Specific metrics or formulas are not provided in the report[3] - Model Evaluation: The model provides actionable insights into industry crowding trends, helping investors identify potential opportunities or risks in specific sectors[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 premium rates[4] - Model Construction Process: The model calculates the Z-score of the premium rate for each ETF product over a rolling window. ETFs with significant deviations in their Z-scores are flagged as potential arbitrage opportunities. The report does not provide specific formulas or detailed steps for the calculation[4] - Model Evaluation: The model is effective in identifying ETFs with potential arbitrage opportunities, but it also highlights the need to be cautious of potential price corrections in flagged ETFs[4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific backtesting results or quantitative metrics are provided for this model in the report 2. Premium Rate Z-Score Model - No specific backtesting results or quantitative metrics are provided for this model in the report --- Quantitative Factors and Construction Methods The report does not explicitly mention any quantitative factors or their construction methods --- Factor Backtesting Results The report does not provide any backtesting results for quantitative factors --- Additional Notes - The report primarily focuses on the application of the two models mentioned above for monitoring industry crowding and screening ETF products. It does not delve into detailed quantitative metrics, formulas, or backtesting results for these models[3][4]