金工ETF点评：宽基ETF单日净流入60.55亿元，汽车、石化、社服拥挤变幅较大

• The report introduces an industry crowding monitoring model to track the crowding levels of Shenwan primary industry indices on a daily basis. The model identifies industries with high crowding levels (e.g., agriculture, military, building materials) and low crowding levels (e.g., computers, home appliances, media) based on the previous trading day's data. It also highlights significant changes in crowding levels for industries such as automobiles, petrochemicals, and social services[3] - A Z-score premium model is constructed to screen ETF products for potential arbitrage opportunities. The model uses rolling calculations to identify ETFs with significant deviations in premium rates, which may indicate arbitrage opportunities or potential risks of price corrections[4] - The report provides detailed data on ETF fund flows, categorizing them into broad-based ETFs, industry-themed ETFs, style-strategy ETFs, and cross-border ETFs. For example, broad-based ETFs saw a net inflow of 60.55 billion yuan in a single day, with the top inflows being the CSI A500 ETF (+10.42 billion yuan), CSI A500 ETF South (+10.23 billion yuan), and STAR 50 ETF (+8.62 billion yuan)[5] - The report highlights industry crowding levels over the past 30 trading days, presenting a heatmap that shows the relative crowding levels of various industries. For instance, industries like public utilities, agriculture, and military defense exhibit high crowding levels, while industries like computers and media show relatively low levels[9] - The report identifies key ETF trading signals, recommending attention to specific ETFs such as the CSI 1000 Enhanced ETF, Chuangzhongpan 88 ETF, and Medical Device ETF based on their potential for investment opportunities[11]