择时雷达六面图：本周外资指标弱化

Quantitative Models and Construction Timing Radar Hexagon Model - Model Name: Timing Radar Hexagon Model - 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][9] - Model Construction Process: 1. Select 21 indicators across six dimensions (liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding)[1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal"[6] 3. Normalize the composite score to fall within the range of [-1, 1][6] - Model Evaluation: The model provides a comprehensive and systematic approach to market timing by integrating multiple dimensions of market dynamics[6] --- Quantitative Factors and Construction Liquidity Factors 1. Factor Name: Monetary Direction Factor - Construction Idea: Measures the direction of monetary policy based on changes in central bank policy rates and short-term market rates over the past 90 days[12] - Construction Process: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor > 0, monetary policy is deemed accommodative; if < 0, it is deemed tight[12] - Current View: The factor is positive this week, signaling accommodative monetary policy, with a score of 1[12] 2. Factor Name: Monetary Strength Factor - Construction Idea: Captures the deviation of short-term market rates from policy rates using the "interest rate corridor" concept[15] - Construction Process: - Compute the deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - If the factor < -1.5 standard deviations, it signals a loose environment (score = 1); if > 1.5 standard deviations, it signals a tight environment (score = -1)[15] - Current View: The factor signals a tight environment this week, with a score of -1[15] 3. Factor Name: Credit Direction Factor - Construction Idea: Reflects the transmission of credit to the real economy using medium- and long-term loan data[18] - Construction Process: - Calculate the year-over-year growth of the past 12 months' medium- and long-term loan increments - If the factor rises compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1)[18] - Current View: The factor is in an upward trend this week, signaling a positive outlook, with a score of 1[19] 4. Factor Name: Credit Strength Factor - Construction Idea: Measures whether credit data significantly exceeds or falls short of expectations[21] - Construction Process: - Compute the credit strength factor = (new RMB loans - median forecast) / forecast standard deviation - If the factor > 1.5 standard deviations, it signals a significantly positive credit environment (score = 1); if < -1.5 standard deviations, it signals a negative environment (score = -1)[21] - Current View: The factor signals a negative environment this week, with a score of -1[21] --- Backtesting Results of Factors Liquidity Factors 1. Monetary Direction Factor: Current score = 1[12] 2. Monetary Strength Factor: Current score = -1[15] 3. Credit Direction Factor: Current score = 1[19] 4. Credit Strength Factor: Current score = -1[21]