麦高视野：ETF观察日志 (2026-03-17)

• The report introduces the RSI (Relative Strength Index) as a quantitative factor, calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS represents the ratio of average gains to average losses over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market[2] - Another quantitative factor mentioned is the net subscription amount (NETBUY), calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) represents the net subscription amount, NAV(T) is the ETF's net asset value, and R(T) is the return on the current trading day[2] - The report tracks various ETFs based on their underlying indices, such as CSI 300, CSI 500, CSI A500, and thematic indices like non-bank financials, dividends, and China internet sectors. These indices serve as benchmarks for ETF performance analysis[2][4] - The report provides daily monitoring of ETF metrics, including RSI values, net subscription amounts, trading volumes, and institutional holdings, offering insights into market trends and investor behavior[2][4] - The RSI values for different ETFs range widely, with examples including 43.34 for Huatai-PineBridge CSI 300 ETF, 36.27 for Southern CSI 500 ETF, and 50.91 for Ping An CSI A50 ETF, reflecting varying market conditions across indices[4] - Net subscription amounts also vary significantly, such as 11.01 billion for Huatai-PineBridge CSI 300 ETF, -2.28 billion for China Asset Management CSI 500 ETF, and 1.88 billion for Guotai CSI A500 ETF, indicating diverse investor activity[4] - Institutional holdings percentages are highlighted, with examples like 87.11% for Huatai-PineBridge CSI 300 ETF, 93.09% for China Asset Management CSI 300 ETF, and 56.96% for E Fund CSI A500 ETF, showcasing the level of institutional participation in these funds[4]