广 广发证券 广发证券2025年秋季策略会-余工论坛 智慧量化·未来投资 16:00 周飞鹏 广发证券金融工程资深分析师 基于多因子加权的ETF轮动策略 16:00 16:30 张钰东 广发证券金融工程资深分析师 如何利用聪明钱改进分析师预期 16:30 17:00 王小康 广发证券金融工程资深分析师 (98月27日 13:30-17:00 0 浦东香格里拉大酒店 浦江楼2楼北京厅 会议流程 多角度定量刻画指数拥挤度 15:00 AI复盘之精选策略组合 13:30 14:00 安宁宁 广发证券金融工程首席分析师 面向通用模型的时序增强学习 14:00 14:30 陈原文 广发证券金融工程联席首席分析师 可转债指数择时的三个视角 14:30 15:00 张 超 广发证券金融工程资深分析师 15:30 李 豪 广发证券金融工程资深分析师 龙头扩散效应行业轮动 15:30 - 欢迎 扫 码 报 名 - ...

Core Viewpoint - The article discusses the construction and testing of index congestion indicators to enhance the performance of ETF portfolios by removing ETFs corresponding to highly congested indices, thereby reducing the impact of market reversals on the ETF portfolio [1][2][3]. Group 1: Index Congestion Indicators - The construction of congestion indicators is based on six dimensions: trading volume, volatility level, financing balance, financing increment, fund holdings, and capital flow [2][23]. - The effectiveness of these congestion indicators is tested by comparing the performance of a congestion index portfolio against the average performance of sample equity indices [25][55]. - The overall correlation between different congestion indicators is low, indicating that a multi-indicator congestion index portfolio performs more stably [2][55]. Group 2: ETF Portfolio Construction - The article outlines the process of constructing relative return index portfolios by excluding indices with two or more congestion indicators from the top-scoring indices [3][63]. - Backtesting results show that the constructed portfolios outperform those that do not consider index congestion, with a cumulative return of 355.05% from December 31, 2016, to June 30, 2025 [12][64]. - The annualized return of the relative return index portfolio combined with index congestion is 19.75%, compared to 17.67% for the standard relative return portfolio [64][66]. Group 3: A-share Market ETF Development - Since Q4 2018, the number of equity ETFs in the A-share market has increased from 133 to 972 by Q2 2025, with total assets rising from 0.27 trillion yuan to 3.03 trillion yuan [7]. Group 4: Backtesting Results - The cumulative return of the relative return ETF portfolio from December 31, 2016, to June 30, 2025, is 201.79%, significantly higher than the benchmark portfolio's return of 33.38% [12][70]. - The performance of the relative return ETF portfolio shows significant excess returns in most years during the backtesting period [12][66]. Group 5: Individual Congestion Indicators - The article details the performance of individual congestion indicators, such as trading volume and beta, showing that portfolios based on these indicators generally underperform compared to sample equity indices [26][33][38]. - For example, the trading volume congestion index portfolio had a cumulative return of -11.66% compared to 41.03% for the sample equity index portfolio [26][33]. Group 6: Multi-Indicator Combination - A multi-indicator congestion index portfolio is constructed by combining the six different congestion indicators, which shows a low average correlation among them [55][58]. - Backtesting results indicate that multi-indicator portfolios generally underperform compared to sample equity indices, particularly those with two or more congestion indicators [59][70].