景顺长城：麦高证券麦高金工团队

• 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 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. $ RSI > 70 $ indicates an overbought market, while $ RSI < 30 $ indicates an oversold market[2] - Another quantitative factor mentioned is Net Subscription (NETBUY), which measures the net inflow or outflow of funds in 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 highlights Intraday Trend Analysis, which uses 5-minute interval transaction prices to construct intraday price trends. Red dots mark the highest and lowest prices of the day. However, due to data limitations, some intraday data may be incomplete[2] - The Institutional Holding Ratio is another factor, calculated based on the latest annual or semi-annual reports of ETFs, excluding holdings by linked funds. The data is an estimate and may have deviations[3] - The report provides detailed tracking of various ETFs categorized into "broad-based" and "thematic" indices, such as CSI 300, CSI 500, and sector-specific indices like non-bank financials and dividends. These indices serve as benchmarks for ETF performance evaluation[2][4] - The report includes a comprehensive table of ETF performance metrics, such as RSI values, net subscription amounts, and institutional holding ratios, for various ETFs tracking indices like CSI 300, CSI 500, CSI 1000, and others. For example, the RSI for CSI 300 ETFs ranges from 50.04 to 54.02, while net subscription values vary significantly across ETFs[4] - The report also tracks thematic ETFs, such as those focused on semiconductors, artificial intelligence, and renewable energy, providing performance metrics like RSI, net subscription, and institutional holding ratios. For instance, the RSI for semiconductor ETFs ranges from 49.16 to 50.40, while net subscription values show significant variation[7]