择时雷达六面图：本周估值、宏观与拥挤度指标弱化

Quantitative Models and Construction 1. Model Name: Timing Radar Six-Facet Framework - Model Construction Idea: The model evaluates equity market performance through a multi-dimensional perspective, incorporating 21 indicators categorized into four major dimensions: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" These dimensions are aggregated into a comprehensive timing score within the range of [-1, 1][1][6][8] - Model Construction Process: - The 21 indicators are grouped into six facets: liquidity, economic conditions, valuation, funds, technicals, and crowdedness - Each indicator is normalized and scored based on its historical distribution, with the final score for each dimension being the average of its respective indicators - The comprehensive timing score is calculated as the weighted average of the four major dimensions[1][6][8] - Model Evaluation: The model provides a systematic and multi-dimensional approach to market timing, offering insights into market conditions from various perspectives[1][6] --- Quantitative Factors and Construction 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: The factor effectively captures the directional stance of monetary policy, providing a clear signal for market conditions[12] 2. Factor Name: Monetary Strength Factor - Factor Construction Idea: This factor measures the deviation of short-term market rates from policy rates using the "interest rate corridor" concept[15] - Factor Construction Process: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth the deviation and calculate its z-score - If the z-score < -1.5, the environment is deemed accommodative (score = 1); if > 1.5, it is restrictive (score = -1)[15] - Factor Evaluation: The factor provides a quantitative measure of liquidity conditions, aiding in the assessment of monetary policy impact[15] 3. Factor Name: Credit Direction Factor - Factor Construction Idea: This factor evaluates the transmission of credit 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 its level three months ago - If the factor value is rising, it signals a positive credit environment (score = 1); otherwise, it signals a negative environment (score = -1)[17] - Factor Evaluation: The factor captures the dynamics of credit transmission, providing insights into economic conditions[17] 4. Factor Name: Credit Strength Factor - Factor Construction Idea: This factor measures whether credit data significantly exceeds or falls short of expectations[21] - Factor Construction Process: - Compute the z-score of the difference between actual and expected new RMB loans - If the z-score > 1.5, the environment is deemed credit-positive (score = 1); if < -1.5, it is credit-negative (score = -1)[21] - Factor Evaluation: The factor quantifies the surprise element in credit data, offering a predictive signal for market conditions[21] 5. Factor Name: Growth Direction Factor - Factor Construction Idea: This factor uses PMI data to assess the direction of economic growth[24] - Factor Construction Process: - Calculate the 12-month moving average of PMI data and its year-over-year change - Compare the current value to its level three months ago - If the factor value is rising, it signals positive growth (score = 1); otherwise, it signals negative growth (score = -1)[24] - Factor Evaluation: The factor provides a timely measure of economic growth trends, aiding in macroeconomic analysis[24] 6. Factor Name: Growth Strength Factor - Factor Construction Idea: This factor measures whether economic growth data significantly exceeds or falls short of expectations[26] - Factor Construction Process: - Compute the z-score of the difference between actual and expected PMI values - If the z-score > 1.5, the environment is deemed growth-positive (score = 1); if < -1.5, it is growth-negative (score = -1)[26] - Factor Evaluation: The factor captures the surprise element in growth data, providing a predictive signal for economic conditions[26] 7. Factor Name: Inflation Direction Factor - Factor Construction Idea: This factor assesses the direction of inflation using CPI and PPI data[30] - Factor Construction Process: - Compute the weighted average of smoothed CPI and raw PPI year-over-year changes - Compare the current value to its level three months ago - If the factor value is declining, it signals a disinflationary environment (score = 1); otherwise, it signals an inflationary environment (score = -1)[30] - Factor Evaluation: The factor provides insights into inflation trends, aiding in monetary policy analysis[30] 8. Factor Name: Inflation Strength Factor - Factor Construction Idea: This factor measures whether inflation data significantly exceeds or falls short of expectations[31] - Factor Construction Process: - Compute the z-score of the difference between actual and expected CPI and PPI values - If the z-score < -1.5, the environment is deemed disinflationary (score = 1); if > 1.5, it is inflationary (score = -1)[31] - Factor Evaluation: The factor quantifies the surprise element in inflation data, offering a predictive signal for monetary policy[31] --- Backtesting Results of Factors 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[21] 5. Growth Direction Factor - Current score: -1[24] 6. Growth Strength Factor - Current score: 1[26] 7. Inflation Direction Factor - Current score: 1[30] 8. Inflation Strength Factor - Current score: 0[32]