PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-12-15 14:45Quantitative Models and Construction Methods 1. Model Name: Industry Crowding Monitoring Model - Model Construction Idea: This model is designed to monitor the crowding levels of Shenwan First-Level Industry Indices on a daily basis, identifying industries with high or low crowding levels to provide actionable insights for investors[3] - Model Construction Process: The model calculates the crowding levels of various industries based on daily data. It ranks industries by their crowding levels, highlighting those with significant changes. For example, the previous trading day showed high crowding in communication, military, and electronics, while computer, automotive, and media had lower crowding levels. The model also tracks main fund flows to identify industries with increased or decreased allocations[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 identifies potential arbitrage opportunities in ETF products by calculating the Z-score of premium rates over a rolling window[4] - Model Construction Process: The Z-score is calculated as follows: $ Z = \frac{(P - \mu)}{\sigma} $ Where: - $ P $ is the current premium rate - $ \mu $ is the mean premium rate over the rolling window - $ \sigma $ is the standard deviation of the premium rate over the rolling window The model flags ETFs with significant deviations from their historical premium rates, indicating potential arbitrage opportunities. It also warns of potential risks of price corrections for these ETFs[4] - Model Evaluation: The model is effective in identifying ETFs with significant pricing anomalies, providing actionable signals for arbitrage strategies[4] --- Model Backtesting Results 1. Industry Crowding Monitoring Model - No specific numerical backtesting results were provided for this model[3] 2. Premium Rate Z-Score Model - No specific numerical backtesting results were provided for this model[4] --- Quantitative Factors and Construction Methods No specific quantitative factors were mentioned in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were mentioned in the report.