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Mai Gao Zheng Quan· 2025-08-18 05:06

- The report tracks various types of ETFs on a daily basis, categorizing them into "broad-based" and "thematic" ETFs based on the indices they track, such as CSI 300, CSI 500, and industry/style indices like non-bank financials and dividends[2] - The RSI (Relative Strength Index) is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS is the average gain divided by the average loss over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 indicate an oversold market[2] - The net subscription amount is calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) is the net subscription amount, NAV(T-1) is the ETF's net asset value from the previous trading day, and R(T) is the return on the current day[2] Quantitative Models and Construction Methods 1. **Model Name: RSI (Relative Strength Index)** - **Construction Idea**: Measures the speed and change of price movements to identify overbought or oversold conditions - **Construction Process**: - Calculate the average gain and average loss over a 12-day period - Compute the RS (Relative Strength) as the ratio of average gain to average loss - Apply the formula: $ RSI = 100 - 100 / (1 + RS) $ - **Evaluation**: Useful for identifying potential reversal points in the market[2] 2. **Model Name: Net Subscription Amount** - **Construction Idea**: Measures the net inflow or outflow of funds into an ETF - **Construction Process**: - Calculate the net asset value (NAV) of the ETF for the current and previous trading days - Compute the return (R) for the current day - Apply the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ - **Evaluation**: Indicates investor sentiment and fund flow dynamics[2] Model Backtesting Results 1. **RSI Model** - **Indicator Values**: - CSI 300 ETFs: RSI values range from 69.68 to 75.23 - CSI 500 ETFs: RSI values range from 74.47 to 75.37 - CSI 800 ETFs: RSI values range from 73.39 to 77.74 - CSI 1000 ETFs: RSI values range from 77.70 to 78.26 - CSI A50 ETFs: RSI values range from 65.77 to 67.30 - CSI A500 ETFs: RSI values range from 74.12 to 75.83 - STAR 50 ETFs: RSI values range from 75.53 to 77.78 - GEM ETFs: RSI values range from 76.39 to 77.42 - Hang Seng ETFs: RSI values range from 56.98 to 61.45 - Nikkei 225 ETFs: RSI values range from 72.84 to 72.88 - Nasdaq 100 ETFs: RSI values range from 65.70 to 68.11 - Other overseas broad-based indices: RSI values range from 33.64 to 60.46[4][6] 2. **Net Subscription Amount Model** - **Indicator Values**: - CSI 300 ETFs: Net subscription amounts range from -3.97 billion to 7.87 billion - CSI 500 ETFs: Net subscription amounts range from -0.08 billion to 4.57 billion - CSI 800 ETFs: Net subscription amounts range from -0.06 billion to 5.86 billion - CSI 1000 ETFs: Net subscription amounts range from 0.44 billion to 2.21 billion - CSI A50 ETFs: Net subscription amounts range from -0.89 billion to -0.08 billion - CSI A500 ETFs: Net subscription amounts range from -0.13 billion to 0.38 billion - STAR 50 ETFs: Net subscription amounts range from -5.00 billion to 0.02 billion - GEM ETFs: Net subscription amounts range from -0.86 billion to 5.64 billion - Hang Seng ETFs: Net subscription amounts range from -0.82 billion to 0.02 billion - Nikkei 225 ETFs: Net subscription amounts range from -0.21 billion to -0.06 billion - Nasdaq 100 ETFs: Net subscription amounts range from -1.34 billion to -0.47 billion - Other overseas broad-based indices: Net subscription amounts range from -0.28 billion to 0.89 billion[4][6]