择时雷达六面图：本周综合打分维持中性

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Six-Facet Chart - Model Construction Idea: The model evaluates equity market performance through a multi-dimensional framework, incorporating liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding indicators. These dimensions are aggregated into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1, 1][1][6][8] - Model Construction Process: - Select 21 indicators across six dimensions - Aggregate indicators into four categories - Normalize the composite score to the range of [-1, 1][1][6][8] - Model Evaluation: The model provides a comprehensive and systematic approach to timing equity markets, offering insights into multiple influencing factors[1][6] --- Quantitative Factors and Construction Methods 1. Factor Name: Monetary Direction Factor - Factor Construction Idea: This factor assesses 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 restrictive[12] - Factor Evaluation: Effectively captures the directional stance 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 to assess liquidity conditions[15] - Factor Construction Process: - Compute deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - Assign scores: >1.5 standard deviations = -1 (tight liquidity), <-1.5 standard deviations = 1 (loose liquidity)[15] - Factor Evaluation: Provides a quantitative measure of liquidity conditions in the market[15] 3. Factor Name: Credit Direction Factor - Factor Construction Idea: Measures the trend in credit transmission to the real economy using medium- and long-term loan data[17] - Factor Construction Process: - Calculate the year-over-year growth of medium- and long-term loans over the past 12 months - Compare the current value to the value three months ago - Assign scores: upward trend = 1, downward trend = -1[17] - Factor Evaluation: Captures the directional trend of credit transmission effectively[17] 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 Credit Strength Factor = (New RMB loans - median forecast) / forecast standard deviation - Assign scores: >1.5 standard deviations = 1, <-1.5 standard deviations = -1[20] - Factor Evaluation: Quantifies the surprise in credit data relative to expectations[20] 5. Factor Name: Growth Direction Factor - Factor Construction Idea: Uses PMI data to assess the directional trend of economic growth[23] - Factor Construction Process: - Calculate the 12-month moving average of PMI data - Compute year-over-year growth - Compare the current value to the value three months ago - Assign scores: upward trend = 1, downward trend = -1[23] - Factor Evaluation: Provides a timely measure of economic growth trends[23] 6. Factor Name: Growth Strength Factor - Factor Construction Idea: Measures whether economic growth data significantly exceeds or falls short of expectations[26] - Factor Construction Process: - Compute Growth Strength Factor = (PMI - median forecast) / forecast standard deviation - Assign scores: >1.5 standard deviations = 1, <-1.5 standard deviations = -1[26] - Factor Evaluation: Captures the magnitude of surprises in economic growth data[26] 7. Factor Name: Inflation Direction Factor - Factor Construction Idea: Assesses the directional trend of inflation using CPI and PPI data[30] - Factor Construction Process: - Compute Inflation Direction Factor = 0.5 × smoothed CPI YoY + 0.5 × raw PPI YoY - Compare the current value to the value three months ago - Assign scores: downward trend = 1, upward trend = -1[30] - Factor Evaluation: Reflects the directional trend of inflation effectively[30] 8. Factor Name: Inflation Strength Factor - Factor Construction Idea: Measures whether inflation data significantly exceeds or falls short of expectations[31] - Factor Construction Process: - Compute Inflation Strength Factor = average of CPI and PPI forecast deviations - Assign scores: <-1.5 standard deviations = 1, >1.5 standard deviations = -1[31] - Factor Evaluation: Quantifies inflation surprises relative to expectations[31] 9. Factor Name: Shiller ERP - Factor Construction Idea: Adjusts for economic cycles to evaluate equity valuation[35] - Factor Construction Process: - Compute Shiller PE = inflation-adjusted average earnings over the past 6 years - Compute Shiller ERP = 1/Shiller PE - 10-year government bond yield - Standardize using a 3-year z-score[35] - Factor Evaluation: Provides a cyclically adjusted measure of equity valuation[35] 10. Factor Name: PB - Factor Construction Idea: Measures valuation using the price-to-book ratio[37] - Factor Construction Process: - Compute PB × (-1) - Standardize using a 3-year z-score, truncating at ±1.5 standard deviations[37] - Factor Evaluation: Offers a simple and effective valuation metric[37] 11. Factor Name: AIAE - Factor Construction Idea: Reflects market-wide equity allocation and risk appetite[41] - Factor Construction Process: - Compute AIAE = total market cap of CSI All Share Index / (total market cap + total debt) - Standardize using a 3-year z-score[41] - Factor Evaluation: Captures overall market risk appetite[41] --- Factor Backtest Results 1. Monetary Direction Factor - Current score: 1[12] 2. Monetary Strength Factor - Current score: -1[15] 3. Credit Direction Factor - Current score: 1[17] 4. Credit Strength Factor - Current score: -1[20] 5. Growth Direction Factor - Current score: -1[23] 6. Growth Strength Factor - Current score: -1[26] 7. Inflation Direction Factor - Current score: 1[30] 8. Inflation Strength Factor - Current score: 1[31] 9. Shiller ERP - Current score: 0.30[39] 10. PB - Current score: -0.18[37] 11. AIAE - Current score: 0.15[41]