择时雷达六面图：本周估值弱化，其他分数不变

Quantitative Models and Construction Methods - Model Name: Timing Radar Hexagon Model Construction Idea: This model evaluates equity market performance based on multiple dimensions, including liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score within the range of [-1, 1][2][7][9] Model Construction Process: The model selects 21 indicators across six dimensions, normalizes their scores, and aggregates them into four broader categories. The final timing score is calculated as a weighted average of these categories[2][7][9] Model Evaluation: The model provides a comprehensive and multi-dimensional perspective on market timing, offering insights into market sentiment and potential turning points[2][7][9] Quantitative Factors and Construction Methods - 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[13] 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[13] Factor Evaluation: Provides a clear signal of monetary policy direction, aiding in market timing[13] - 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[16] Factor Construction Process: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth and standardize the deviation using z-scores - Assign scores based on thresholds: <-1.5 SD (accommodative, score = 1), >1.5 SD (tight, score = -1)[16] Factor Evaluation: Effectively captures short-term liquidity conditions relative to policy rates[16] - Factor Name: Credit Direction Factor Factor Construction Idea: This factor evaluates the trend in credit transmission to the real economy using medium- and long-term loan data[19] Factor Construction Process: - Calculate the year-over-year growth of medium- and long-term loans over the past 12 months - Compare the current trend to three months prior - Assign scores: upward trend (score = 1), downward trend (score = -1)[19] Factor Evaluation: Reflects the credit environment's impact on economic activity[19] - Factor Name: Credit Strength Factor Factor Construction Idea: This factor measures whether credit data significantly exceeds or falls short of expectations[22] Factor Construction Process: - Compute: $ \text{Credit Strength Factor} = \frac{\text{New RMB Loans (Current Month) - Median Expectation}}{\text{Standard Deviation of Expectations}} $ - Assign scores based on thresholds: >1.5 SD (credit exceeds expectations, score = 1), <-1.5 SD (credit falls short, score = -1)[22] Factor Evaluation: Captures unexpected changes in credit conditions, providing insights into market sentiment[22] - Factor Name: Growth Direction Factor Factor Construction Idea: This factor uses PMI data to assess the direction of economic growth[23] Factor Construction Process: - Calculate the 12-month moving average of PMI data and its year-over-year change - Compare the current trend to three months prior - Assign scores: upward trend (score = 1), downward trend (score = -1)[23] Factor Evaluation: Provides a timely signal of economic growth trends[23] - Factor Name: Growth Strength Factor Factor Construction Idea: This factor evaluates whether economic growth data significantly exceeds or falls short of expectations[27] Factor Construction Process: - Compute: $ \text{Growth Strength Factor} = \frac{\text{PMI - Median Expectation}}{\text{Standard Deviation of Expectations}} $ - Assign scores based on thresholds: >1.5 SD (growth exceeds expectations, score = 1), <-1.5 SD (growth falls short, score = -1)[27] Factor Evaluation: Highlights unexpected changes in economic growth, aiding in market timing[27] - Factor Name: Inflation Direction Factor Factor Construction Idea: This factor assesses the direction of inflation using CPI and PPI data[28] Factor Construction Process: - Compute: $ \text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI YoY} + 0.5 \times \text{Raw PPI YoY} $ - Compare the current trend to three months prior - Assign scores: downward trend (score = 1), upward trend (score = -1)[28] Factor Evaluation: Reflects the inflationary environment's impact on monetary policy and market sentiment[28] - Factor Name: Inflation Strength Factor Factor Construction Idea: This factor evaluates whether inflation data significantly exceeds or falls short of expectations[32] Factor Construction Process: - Compute the average of CPI and PPI expectation deviations: $ \text{Inflation Strength Factor} = \frac{\text{CPI Deviation + PPI Deviation}}{2} $ - Assign scores based on thresholds: <-1.5 SD (inflation falls short, score = 1), >1.5 SD (inflation exceeds, score = -1)[32] Factor Evaluation: Captures unexpected changes in inflation, aiding in market timing[32] - Factor Name: Shiller ERP Factor Construction Idea: This factor adjusts earnings for inflation and economic cycles to evaluate equity valuation[33] Factor Construction Process: - Compute: $ \text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield} $ - Standardize using a 3-year z-score[33] Factor Evaluation: Provides a long-term perspective on equity valuation relative to bonds[33] - Factor Name: PB Factor Construction Idea: This factor evaluates equity valuation using the price-to-book ratio[37] Factor Construction Process: - Compute: $ \text{PB Score} = \text{PB} \times (-1) $ - Standardize using a 3-year z-score, truncating at ±1.5 SD[37] Factor Evaluation: Offers insights into market valuation extremes[37] - Factor Name: AIAE Factor Construction Idea: This factor measures aggregate investor allocation to equities, reflecting market risk appetite[39] Factor Construction Process: - Compute: $ \text{AIAE} = \frac{\text{Total Market Cap of CSI All Share}}{\text{Total Market Cap + Total Debt}} $ - Standardize using a 3-year z-score[39] Factor Evaluation: Captures shifts in market-wide risk preferences[39] Backtesting Results of Factors - Monetary Direction Factor: Current score = 1[13] - Monetary Strength Factor: Current score = -1[17] - Credit Direction Factor: Current score = 1[19] - Credit Strength Factor: Current score = -1[22] - Growth Direction Factor: Current score = -1[23] - Growth Strength Factor: Current score = -1[27] - Inflation Direction Factor: Current score = 1[28] - Inflation Strength Factor: Current score = 0[32] - Shiller ERP: Current score = -0.12[33] - PB: Current score = -0.86[37] - AIAE: Current score = -0.68[39]