文 | 银行螺丝钉 （转载请注明出处） 大部分投资者对股票指数基金都耳熟能详，但是对债券指数基金知之甚少。债券指数基金该如何投资？ 这里有一门限时免费的福利课程，介绍了债券指数基金的投资方法。 想要获取这个课程，可以添加下方「课程小助手」，回复「 债券 」领取哦～ 更有课程笔记、思维导图，帮您快速搞懂课程脉络，学习更高效。 时间拉长后，大小盘股的长期回报是差不 多的。 比较经典的搭配，是沪深300+中证500。 如果希望再增加一些小盘股，就是沪深300 +中证500+中证1000这样。 还有更小的中证2000，不过基金规模还比 较小。 ◆◆◆ 有朋友问，现在指数基金也有很多不同品 种了,不同类型的指数,投资的时候有什 么需要注意的地方呢？ 指数共有四大类: 分別是宽基指数、策略 指数、行业指数、主题指数。 (1) 宽基指数投资，注意大小盘的搭配。 A股也有大小盘轮动的特点。 2024年是沪深300等大盘股表现好，小盘 股比较低迷。2025年以来则是小盘股较强 势，大盘股低迷。 (2) 策略指数投资，注意成长/价值风格 的搭配。 策略指数按照风格划分，可以分为： · 成长组：龙头、成长、质量; • 价值组：红利 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints No explicit core viewpoints are presented in the provided content. The report mainly offers daily tracking data of various ETFs, including their performance metrics such as trading volume, net subscriptions, and RSI indicators. 3. Summary by Category A. Data Explanation - The report tracks daily frequency data of ETFs, divided into "broad - based" and "theme" sub - tables according to the tracked index categories. The "broad - based" ETFs track mainstream broad - based indices like CSI 300 and CSI 500, while "theme" ETFs track industry/style indices such as non - bank and dividend indices [2]. - A fund pool is constructed by selecting one or several large - scale ETFs in each type for analysis [2]. - The RSI relative strength indicator is calculated based on the ratio of average gains to average losses over a 12 - day period. RSI > 70 indicates an overbought market, and RSI < 30 indicates an oversold market [2]. - The net subscription amount is calculated using the formula NETBUY(T) = NAV(T)–NAV(T - 1)*(1 + R(T)), where NAV(T - 1) is the previous trading day's ETF net value [2]. - The intraday market trend is based on a 5 - minute intraday transaction price trend chart, with red dots representing the day's highest and lowest prices. Some intraday data may be missing [2]. - The institutional holding ratio is the estimated ratio from the latest annual or semi - annual reports of ETF funds, excluding the holding ratio of corresponding linked funds, and the data may have deviations [3]. B. Broad - based ETFs - Multiple ETFs tracking indices like CSI 300, CSI 500, SSE 50, etc. are presented. For example, the Huatai - Peregrine CSI 300 ETF has a circulation market value of 416.721 billion yuan, a decline of 0.94%, an RSI of 60.18, a net subscription of 703 million yuan, and a trading volume of 3.345 billion yuan [4]. - Different ETFs show varying performance in terms of market value, price changes, net subscriptions, and trading volumes. For instance, the Tianhong CSI 300 ETF has a relatively small market value of 8.977 billion yuan and a net subscription of - 53 million yuan [4]. C. Theme ETFs - **Consumer Electronics**: ETFs such as the Huaxia China Securities Consumption Electronics Theme ETF have a market value of 4.423 billion yuan and a decline of 3.44%. They also have different RSI values, net subscriptions, and trading volumes [6]. - **Non - bank**: The Guotai CSI All - Index Securities Company ETF has a market value of 5.4226 billion yuan and a decline of 0.41%. The industry shows diverse performance among different ETFs in terms of price changes, net subscriptions, etc. [6]. - **Banking**: The Huabao CSI Bank ETF has a market value of 1.4223 billion yuan and a gain of 0.13%. Different bank - related ETFs have different institutional holding ratios and trading volumes [6]. - **Dividend**: The Huatai - Peregrine SSE Dividend ETF has a market value of 1.9402 billion yuan and a gain of 0.03%. Dividend - themed ETFs show differences in performance and net subscriptions [6]. - **New Energy**: The Huaxia CSI New Energy Vehicle ETF has a market value of 549.4 million yuan and a decline of 1.50%. New - energy - related ETFs have different price trends and net subscription situations [6]. - **Chip and Semiconductor**: The Huaxia China Securities Semiconductor Chip ETF has a market value of 2.7587 billion yuan and a decline of 1.24%. These ETFs also vary in RSI values and trading volumes [6]. - **Photovoltaic**: The Huatai - Peregrine CSI Photovoltaic Industry ETF has a market value of 1.3512 billion yuan and a decline of 1.07%. Photovoltaic - themed ETFs show different performance metrics [6]. - **Military Industry**: The Guotai CSI Military Industry ETF has a market value of 1.3688 billion yuan and a decline of 0.33%. Military - industry - related ETFs have different price changes and net subscriptions [6]. - **ESG**: The Yifangda CSI Shanghai Environmental Exchange Carbon Neutrality ETF has a market value of 96.5 million yuan and a decline of 0.41%. ESG - related ETFs show different performance characteristics [6]. - **Robot**: The Huaxia CSI Robot ETF has a market value of 2.2068 billion yuan and a decline of 3.25%. Robot - themed ETFs have different RSI values and trading volumes [6]. - **Central and State - owned Enterprises**: The Huitianfu CSI Shanghai State - owned Enterprises ETF has a market value of 796.5 million yuan and a decline of 0.10%. Central and state - owned - enterprise - related ETFs show different performance in the market [6]. - **Artificial Intelligence**: The Yifangda CSI Artificial Intelligence ETF has a market value of 2.421 billion yuan and a decline of 3.25%. AI - themed ETFs vary in net subscriptions and trading volumes [6]. - **Real Estate**: The Nanfang CSI All - Index Real Estate ETF has a market value of 686.9 million yuan and a gain of 0.19%. Real - estate - related ETFs show different price trends [6]. - **Biomedicine**: The Huabao CSI Medical ETF has a market value of 2.6023 billion yuan and a decline of 1.55%. Biomedicine - related ETFs have different performance metrics [6]. - **China Concept Internet**: The Yifangda CSI Overseas Internet ETF has a market value of 4.2085 billion yuan and a decline of 1.85%. China - concept - internet - related ETFs show different net subscriptions and trading volumes [6]. - **Resources**: The Nanfang CSI Shenwan Non - ferrous Metals ETF has a market value of 1.2669 billion yuan and a decline of 0.07%. Resource - related ETFs have different price changes and net subscriptions [6]. - **Consumption**: The Penghua CSI Wine ETF has a market value of 1.9911 billion yuan and a decline of 0.68%. Consumption - related ETFs show different performance in the market [6].

- 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]

Core Viewpoint - The article introduces a comprehensive index map that includes various commonly used stock indices, their codes, selection rules, industry distribution, average and median market capitalization of constituent stocks, and the number of constituent stocks, which will be regularly updated for easy reference [1][2]. Group 1: Types of Indices - The index map includes several categories of stock indices: broad-based indices, strategy indices, industry indices, thematic indices, and overseas indices [4][2]. Group 2: Broad-based Indices - Examples of broad-based indices include: - CSI 300 (000300.SH): Comprises 300 large-cap stocks with an average market cap of 1,929.37 billion and a median of 955.29 billion [5]. - CSI 500 (000905.SH): Comprises 500 mid-cap stocks with an average market cap of 295.98 billion and a median of 271.81 billion [5]. - CSI 800 (000906.SH): Comprises 800 stocks with an average market cap of 908.50 billion and a median of 358.74 billion [5]. Group 3: Strategy Indices - Strategy indices focus on specific investment strategies, such as: - CSI Dividend (000922.CSI): Selects 100 stocks with high dividend yields and stable dividends, with an average market cap of 1,963.17 billion [6]. - Shanghai Stock Exchange Dividend (000015.SH): Comprises 50 stocks with high dividend yields from the Shanghai Stock Exchange, with an average market cap of 2,809.85 billion [6]. Group 4: Industry Indices - Industry indices reflect the performance of specific sectors, such as: - Financial Sector Index: Represents the performance of up to 50 banking stocks with an average market cap of 3,507.12 billion [7]. - Real Estate Sector Index: Comprises 50 stocks from the real estate industry with an average market cap of 195.47 billion [7]. Group 5: Thematic Indices - Thematic indices focus on specific investment themes or trends, providing insights into particular market segments [8].

Group 1 - The article discusses the importance of diversifying investments across different asset classes, including both RMB and foreign currency assets, as well as stocks and bonds [2] - It highlights the significance of USD bond funds as a crucial component of investment diversification [2] - A free course is offered to provide systematic knowledge on investing in USD bond funds, along with supplementary materials like course notes and mind maps for efficient learning [2] Group 2 - The article explains the concept of the CSI A500 index, which belongs to the A series of indices, and its classification into several major types [5] - It points out the drawbacks of market capitalization-weighted indices, such as increased index risk due to short-term speculative companies and high concentration in certain industries [5] - The A series indices incorporate two strategies: broad-based indices and strategy indices, along with industry and thematic indices to enhance long-term returns [6]

Core Viewpoint - The article introduces a comprehensive index map that includes various commonly used stock indices, their codes, selection rules, industry distribution, average and median market capitalization of constituent stocks, and the number of constituent stocks, which will be regularly updated for easy reference [1][2]. Group 1: Types of Indices - The index map includes several categories of stock indices: broad-based indices, strategy indices, industry indices, thematic indices, and overseas indices [4][8]. Group 2: Broad-based Indices - Examples of broad-based indices include: - CSI 300 (000300.SH): Comprises 300 large-cap stocks from the Shanghai and Shenzhen stock exchanges, with an average market cap of 1,888.48 billion and a median of 907.96 billion [5]. - CSI 500 (000905.SH): Includes 500 stocks ranked 301-800 by market cap, with an average market cap of 279.59 billion and a median of 259.32 billion [5]. - CSI 800 (000906.SH): Covers 800 stocks, with an average market cap of 882.92 billion and a median of 340.58 billion [5]. Group 3: Strategy Indices - Strategy indices focus on specific investment strategies, such as: - CSI Dividend (000922.CSI): Selects 100 stocks with high dividend yields and stable dividends, with an average market cap of 1,970.77 billion [6]. - Shanghai Dividend (000015.SH): Comprises 50 stocks with high dividend yields from the Shanghai Stock Exchange, with an average market cap of 2,828.36 billion [6]. - Shenzhen Dividend (399324.SZ): Includes 40 stocks with stable dividend histories and high dividend ratios, with an average market cap of 984.44 billion [6]. Group 4: Industry Indices - Industry indices represent specific sectors, such as: - CSI Medical (930641.CSI): Selects stocks involved in traditional Chinese medicine production and sales, with an average market cap of 151.90 billion [7]. - CSI Real Estate (399393.SZ): Comprises 50 stocks from the real estate sector with significant market capitalization and liquidity, with an average market cap of 189.85 billion [7]. Group 5: Thematic Indices - Thematic indices focus on specific investment themes, such as: - CSI Consumer (000932.SH): Selects major consumer industry stocks from the CSI 800 index, with an average market cap of 1,155.60 billion [7]. - CSI Innovation (931152.CSI): Includes up to 50 representative companies involved in innovative drug research, with an average market cap of 485.93 billion [7].

- The report introduces the **RSI (Relative Strength Index)** as a quantitative factor, constructed to measure market conditions by comparing average gains and losses over a 12-day period. The formula is: $ RSI = 100 - 100 / (1 + RS) $ where RS represents the ratio of average gains to average losses over the specified period. RSI values above 70 indicate overbought conditions, while values below 30 suggest oversold conditions [2] - Another quantitative factor mentioned is **Net Purchase Amount (NETBUY)**, which calculates the net inflow or outflow of funds for ETFs. The formula is: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ where NAV(T) is the net asset value of the ETF 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 tracks **Institutional Holdings Ratio**, which estimates the proportion of ETF shares held by institutions based on the latest annual or semi-annual reports. This excludes holdings by linked funds and may involve approximations due to data limitations [3] - The report provides **daily intra-day price trends** for ETFs using 5-minute interval data, highlighting the highest and lowest prices of the day with red markers. However, some data gaps may exist due to limitations in the source [2] - The report categorizes ETFs into "Broad-based" and "Thematic" groups based on the indices they track, such as major indices like CSI 300, CSI 500, and industry-specific indices like Non-bank Financials and Red Chips [2] - The report includes a detailed table of ETF performance metrics, such as RSI values, net purchase amounts, trading volumes, management fees, institutional holdings ratios, and T+0 trading availability. For example, the RSI for CSI 300 ETFs ranges from 68.14 to 75.77, while institutional holdings ratios vary significantly across ETFs [4] - The report highlights thematic ETFs such as **Consumption Electronics**, **Non-bank Financials**, **Renewable Energy**, **Semiconductors**, and **Artificial Intelligence**, providing metrics like RSI, net purchase amounts, and institutional holdings ratios. For instance, the RSI for Consumption Electronics ETFs ranges from 59.68 to 60.40, while institutional holdings ratios range from 23.10% to 58.47% [6] - The report also includes performance metrics for international ETFs tracking indices like the **Hang Seng**, **Nikkei 225**, **Nasdaq 100**, and **S&P 500**, with RSI values ranging from 46.50 to 72.83 and institutional holdings ratios varying widely [4][6]

Quantitative Factors and Construction Methods 1. Factor Name: RSI (Relative Strength Index) - **Factor Construction Idea**: RSI measures the relative strength of price movements over a specific period to identify overbought or oversold market conditions[2] - **Factor Construction Process**: - The formula for RSI 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[2] - RSI > 70 indicates an overbought market, while RSI < 30 indicates an oversold market[2] - **Factor Evaluation**: RSI is a widely used technical indicator for short-term market sentiment analysis[2] 2. Factor Name: Net Subscription (NETBUY) - **Factor Construction Idea**: This factor calculates the net subscription amount of ETFs to gauge investor demand[2] - **Factor Construction Process**: - The formula for NETBUY 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] - **Factor Evaluation**: This factor provides insights into the capital flow dynamics of ETFs, reflecting investor sentiment and market positioning[2] --- Factor Backtesting Results 1. RSI Factor - **HS300 ETFs**: RSI values range from 60.24 to 70.30, with most ETFs hovering around the overbought threshold of 70[4] - **CSI500 ETFs**: RSI values range from 66.04 to 66.37, indicating moderate strength[4] - **CSI800 ETFs**: RSI values range from 69.54 to 71.77, with some ETFs entering overbought territory[4] - **CSI1000 ETFs**: RSI values range from 63.76 to 64.97, suggesting neutral to slightly strong market conditions[4] - **Thematic ETFs**: RSI values vary significantly, with some themes like "New Energy" reaching as high as 74.71, while others like "Semiconductors" remain around 50[6] 2. Net Subscription Factor - **HS300 ETFs**: Net subscription values range from -6.69 billion to 1.51 billion, indicating mixed investor sentiment[4] - **CSI500 ETFs**: Net subscription values range from -2.65 billion to 0.54 billion, reflecting weak demand[4] - **CSI800 ETFs**: Net subscription values range from 0.00 billion to 0.45 billion, showing stable capital flows[4] - **CSI1000 ETFs**: Net subscription values range from -2.69 billion to 0.55 billion, indicating varied investor interest[4] - **Thematic ETFs**: Net subscription values vary widely, with some themes like "Semiconductors" showing strong inflows (up to 6.28 billion), while others like "Consumer Electronics" exhibit moderate inflows (up to 1.15 billion)[6]

Quantitative Models and Construction Methods Model 1: RSI (Relative Strength Index) - **Model Name**: RSI (Relative Strength Index) - **Model Construction Idea**: The RSI is used to measure the speed and change of price movements. It is primarily used to identify overbought or oversold conditions in a trading instrument. - **Model Construction Process**: - The RSI is calculated using the following formula: $$ RSI = 100 - \frac{100}{1 + RS} $$ where RS (Relative Strength) is the average of 'n' days' up closes divided by the average of 'n' days' down closes. Typically, a 14-day period is used. - The RSI value ranges from 0 to 100. An RSI above 70 indicates that the market is overbought, while an RSI below 30 indicates that the market is oversold.[2] Model 2: Net Purchase (NETBUY) - **Model Name**: Net Purchase (NETBUY) - **Model Construction Idea**: This model calculates the net purchase amount of an ETF to understand the inflow and outflow of funds. - **Model Construction Process**: - The net purchase amount 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, NAV(T-1) is the net asset value on the previous trading day, and R(T) is the return on day T.[2] Model Backtesting Results - **RSI Model**: - RSI values for various ETFs range from 37.69 to 80.86, indicating different levels of market conditions from oversold to overbought.[4][6] - **Net Purchase Model**: - Net purchase values for various ETFs range from -6.38 billion to 99.72 billion, indicating significant variations in fund inflows and outflows.[4][6] Quantitative Factors and Construction Methods Factor 1: Institutional Holdings - **Factor Name**: Institutional Holdings - **Factor Construction Idea**: This factor measures the percentage of an ETF's holdings that are owned by institutional investors. - **Factor Construction Process**: - The percentage of institutional holdings is derived from the latest annual or semi-annual reports of the ETF, excluding the holdings of corresponding linked funds. The data is an estimate and may have some deviations.[3] Factor Backtesting Results - **Institutional Holdings Factor**: - Institutional holdings percentages for various ETFs range from 2.79% to 96.29%, indicating varying levels of institutional interest and confidence in these ETFs.[4][6]

Core Viewpoint - The article introduces a comprehensive index map that includes various commonly used stock indices, their codes, selection rules, industry distribution, and average and median market capitalizations of constituent stocks, which will be regularly updated for easy reference [1][2]. Group 1: Types of Indices - The index map includes several categories of stock indices: broad-based indices, strategy indices, industry indices, thematic indices, and overseas indices [4][5]. Group 2: Specific Indices Overview - The Shanghai Stock Exchange 50 Index (000016.SH) consists of 50 large-cap, liquid stocks from the Shanghai A-share market, reflecting the performance of influential leading companies [5]. - The Shenzhen Component Index (399001.SZ) includes 500 large-cap, liquid companies from the Shenzhen Stock Exchange, representing the overall market performance [5]. - The ChiNext Index (399006.SZ) is composed of 100 representative companies from the ChiNext board, reflecting the market tier of innovative and growth-oriented enterprises [5]. - The MSCI A50 Index (746059.MI) selects the largest 50 stocks from the Shanghai and Shenzhen markets that are included in the Stock Connect programs [5]. - The Hang Seng Index (HSI.HI) measures the performance of the largest and most liquid companies listed in Hong Kong [5]. Group 3: Dividend Indices - The China Securities Dividend Index (000922.CSI) reflects the overall performance of high dividend yield companies in the Shanghai and Shenzhen markets [5]. - The Shanghai Dividend Index (000015.SH) aims to represent high dividend yield companies in the Shanghai market [5]. - The Hong Kong Stock Connect High Dividend Index (950090.CSI) tracks high dividend ordinary shares listed in mainland China [5]. Group 4: Performance Metrics - The article provides various performance metrics for different indices, including market capitalization and liquidity measures, which are essential for investors to assess the indices' effectiveness [5][6].