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Quantitative Models and Construction 1. Model Name: Timing Radar Six-Factor Framework - Model Construction Idea: The equity market is influenced by multiple dimensions. This model selects 21 indicators from six perspectives: liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding. These are summarized into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score within the range of [-1, 1][1][6][8] - Model Construction Process: - The 21 indicators are grouped into six dimensions, and their scores are aggregated into four broader categories. - The final timing score is calculated as a weighted average of these categories, normalized to the range of [-1, 1][1][6][8] - Model Evaluation: The model provides a comprehensive and multi-dimensional view of market timing, integrating macroeconomic, technical, and sentiment factors[1][6] --- Quantitative Factors and Construction 1. Factor Name: Monetary Direction Factor - Factor Construction Idea: This factor aims to determine the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days[12] - Factor Construction Process: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor value > 0, monetary policy is deemed accommodative; if < 0, it is deemed tight[12] - Factor Evaluation: Effectively captures the directional bias of monetary policy[12] 2. Factor Name: Monetary Strength Factor - Factor Construction Idea: Based on the "interest rate corridor" concept, this factor measures the deviation of short-term market rates from policy rates[15] - Factor Construction Process: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth and normalize the deviation using z-scores - Assign scores based on thresholds: <-1.5 SD indicates a loose environment (score = 1), >1.5 SD indicates a tight environment (score = -1)[15] - Factor Evaluation: Provides a quantitative measure of liquidity conditions in the short-term market[15] 3. Factor Name: Credit Direction Factor - Factor Construction Idea: Measures the transmission of credit from banks to the real economy using long-term loan data[18] - Factor Construction Process: - Calculate the year-over-year growth of long-term loans over the past 12 months - Compare the current value to its level three months ago - If the factor is rising, assign a score of 1; if falling, assign a score of -1[18] - Factor Evaluation: Captures the directional trend of credit expansion or contraction[18] 4. Factor Name: Credit Strength Factor - Factor Construction Idea: Measures whether credit data significantly exceeds or falls short of expectations[20] - Factor Construction Process: - Compute the z-score of the difference between actual and expected new RMB loans: $ \text{Credit Strength Factor} = \frac{\text{Actual Loans} - \text{Expected Median}}{\text{Expected Standard Deviation}} $ - Assign scores based on thresholds: >1.5 SD indicates a strong credit environment (score = 1), <-1.5 SD indicates a weak credit environment (score = -1)[20] - Factor Evaluation: Quantifies the surprise element in credit data[20] 5. Factor Name: Growth Direction Factor - Factor Construction Idea: Based on PMI data, this factor identifies the directional trend of economic growth[21] - Factor Construction Process: - Compute the year-over-year change in the 12-month moving average of PMI data - Compare the current value to its level three months ago - If the factor is rising, assign a score of 1; if falling, assign a score of -1[21] - Factor Evaluation: Tracks the momentum of economic growth effectively[21] 6. Factor Name: Growth Strength Factor - Factor Construction Idea: Measures whether economic growth data significantly exceeds or falls short of expectations[25] - Factor Construction Process: - Compute the z-score of the difference between actual and expected PMI values: $ \text{Growth Strength Factor} = \frac{\text{Actual PMI} - \text{Expected Median}}{\text{Expected Standard Deviation}} $ - Assign scores based on thresholds: >1.5 SD indicates strong growth (score = 1), <-1.5 SD indicates weak growth (score = -1)[25] - Factor Evaluation: Captures the surprise element in economic growth data[25] 7. Factor Name: Inflation Direction Factor - Factor Construction Idea: Reflects the impact of inflation trends on monetary policy and equity markets[26] - Factor Construction Process: - Compute the weighted average of smoothed CPI and raw PPI year-over-year changes: $ \text{Inflation Direction Factor} = 0.5 \times \text{CPI} + 0.5 \times \text{PPI} $ - Compare the current value to its level three months ago - If the factor is falling, assign a score of 1; if rising, assign a score of -1[26] - Factor Evaluation: Provides insights into the inflationary environment and its implications for monetary policy[26] 8. Factor Name: Inflation Strength Factor - Factor Construction Idea: Measures whether inflation data significantly exceeds or falls short of expectations[29] - Factor Construction Process: - Compute the z-score of the difference between actual and expected CPI and PPI values: $ \text{Inflation Strength Factor} = \frac{\text{CPI Difference} + \text{PPI Difference}}{2} $ - Assign scores based on thresholds: <-1.5 SD indicates low inflation (score = 1), >1.5 SD indicates high inflation (score = -1)[29] - Factor Evaluation: Quantifies the surprise element in inflation data[29] --- Factor Backtesting Results 1. Monetary Direction Factor - Current Score: 1[12] 2. Monetary Strength Factor - Current Score: -1[16] 3. Credit Direction Factor - Current Score: -1[18] 4. Credit Strength Factor - Current Score: 1[20] 5. Growth Direction Factor - Current Score: 1[21] 6. Growth Strength Factor - Current Score: 0[25] 7. Inflation Direction Factor - Current Score: 1[26] 8. Inflation Strength Factor - Current Score: 1[29]