2026-03-24：麦高视野——ETF观察日志

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - Model Construction Idea: RSI is a momentum oscillator that measures the speed and change of price movements. It is used to identify overbought or oversold conditions in the market[2][4] - Model Construction Process: The RSI is calculated using the following formula: $ RSI = 100 - \frac{100}{1 + RS} $ Where: - $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ - N is typically set to 12 days in this report[2][4] RSI values above 70 indicate an overbought market, while values below 30 indicate an oversold market[2][4] 2. Model Name: Net Purchase Amount (NetBuy) - Model Construction Idea: This model calculates the net purchase amount of ETFs to assess fund flows and investor sentiment[2] - Model Construction Process: The NetBuy is calculated using the following formula: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ Where: - $ NETBUY(T) $ is the net purchase amount on day T - $ NAV(T) $ is the net asset value on day T - $ R(T) $ is the return on day T[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: RSI = 32.66[4] - E Fund CSI 300 ETF: RSI = 32.12[4] - Southern CSI 500 ETF: RSI = 31.27[4] - ChinaAMC CSI 500 ETF: RSI = 31.79[4] - Southern CSI 1000 ETF: RSI = 33.80[4] NetBuy Model - NetBuy values for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: NetBuy = 0.03 billion CNY[4] - E Fund CSI 300 ETF: NetBuy = 3.75 billion CNY[4] - Southern CSI 500 ETF: NetBuy = 4.75 billion CNY[4] - ChinaAMC CSI 500 ETF: NetBuy = 0.76 billion CNY[4] - Southern CSI 1000 ETF: NetBuy = 3.39 billion CNY[4] --- Quantitative Factors and Construction Methods 1. Factor Name: Institutional Holding Ratio - Factor Construction Idea: This factor measures the proportion of ETF holdings owned by institutional investors, reflecting institutional participation and confidence[3] - Factor Construction Process: The institutional holding ratio is derived from the latest semi-annual or annual reports of ETFs, excluding holdings by linked funds. The data is estimated and may have deviations due to reporting delays or missing data[3] --- Factor Backtesting Results Institutional Holding Ratio - Institutional holding ratios for various ETFs are provided in the report, such as: - Huatai-PineBridge CSI 300 ETF: 87.11%[4] - E Fund CSI 300 ETF: 90.08%[4] - Southern CSI 500 ETF: 83.21%[4] - ChinaAMC CSI 500 ETF: 80.57%[4] - Southern CSI 1000 ETF: 93.16%[4]