择时雷达六面图：本周各维度分数均有上行

• Model Name: Timing Radar Hexagon; Model Construction Idea: The model is based on a multi-dimensional timing framework, considering factors such as liquidity, economic conditions, valuation, capital flow, technical indicators, and crowding. It generates a comprehensive timing score between [-1,1][1][6] - Model Construction Process: The model selects 21 indicators from six dimensions (liquidity, economic conditions, valuation, capital flow, technical indicators, and crowding) and categorizes them into four major categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal." The comprehensive timing score is then generated within the range of [-1,1][1][6] - Model Evaluation: The model provides a neutral view with a current comprehensive score of -0.06, indicating a balanced market outlook[1][6] Model Backtest Results - Timing Radar Hexagon, Comprehensive Score: -0.06[1][6] - Liquidity Score: 0.25[1][8] - Economic Conditions Score: 0.25[1][8] - Valuation Score: -0.29[1][8] - Capital Flow Score: 0.00[2][8] - Technical Indicators Score: -0.50[2][8] - Crowding Score: 0.00[2][8] Factor Construction and Process 1. Factor Name: Monetary Direction Factor; Factor Construction Idea: This factor aims to determine the direction of current monetary policy by calculating the average change in central bank policy rates and short-term market rates over the past 90 days. If the factor is greater than 0, it indicates a loose monetary policy; if less than 0, it indicates a tight monetary policy[12] - Factor Construction Process: $\text{Monetary Direction Factor} = \text{Average Change in Policy Rates and Market Rates over 90 Days}$ - Factor Evaluation: This week, the monetary direction factor is greater than 0, indicating a bullish signal with a score of 1[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. If the factor is less than -1.5 standard deviations, it indicates a loose environment for the next 120 trading days; if greater than 1.5 standard deviations, it indicates a tight environment[15] - Factor Construction Process: $\text{Monetary Strength Factor} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1$ - Factor Evaluation: This week, the monetary strength factor indicates a bearish signal with a score of -1[16] 3. Factor Name: Credit Direction Factor; Factor Construction Idea: This factor measures the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators. If the factor shows an upward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18] - Factor Construction Process: $\text{Credit Direction Factor} = \text{Year-over-Year Change in Long-Term Loans over the Past 12 Months}$ - Factor Evaluation: This week, the credit direction factor shows an upward trend, indicating a bullish signal with a score of 1[18] 4. Factor Name: Credit Strength Factor; Factor Construction Idea: This factor captures whether credit indicators significantly exceed or fall short of expectations. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation environment for the next 60 trading days; if less than -1.5 standard deviations, it indicates a significantly below-expectation environment[21] - Factor Construction Process: $\text{Credit Strength Factor} = \frac{\text{New RMB Loans - Median Expectation}}{\text{Standard Deviation of Expectation}}$ - Factor Evaluation: This week, the credit strength factor shows no significant signal with a score of 0[21] 5. Factor Name: Growth Direction Factor; Factor Construction Idea: This factor is based on PMI data and measures the year-over-year change in the 12-month average PMI. If the factor shows an upward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[22] - Factor Construction Process: $\text{Growth Direction Factor} = \text{Year-over-Year Change in 12-Month Average PMI}$ - Factor Evaluation: This week, the growth direction factor shows an upward trend, indicating a bullish signal with a score of 1[22] 6. Factor Name: Growth Strength Factor; Factor Construction Idea: This factor captures whether economic growth indicators significantly exceed or fall short of expectations. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation environment for the next 60 trading days; if less than -1.5 standard deviations, it indicates a significantly below-expectation environment[26] - Factor Construction Process: $\text{Growth Strength Factor} = \frac{\text{PMI - Median Expectation}}{\text{Standard Deviation of Expectation}}$ - Factor Evaluation: This week, the growth strength factor indicates a bearish signal with a score of -1[26] 7. Factor Name: Inflation Direction Factor; Factor Construction Idea: This factor measures the current inflation level and its impact on monetary policy. If the factor shows a downward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[27] - Factor Construction Process: $\text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI Year-over-Year} + 0.5 \times \text{Original PPI Year-over-Year}$ - Factor Evaluation: This week, the inflation direction factor shows a downward trend, indicating a bullish signal with a score of 1[27] 8. Factor Name: Inflation Strength Factor; Factor Construction Idea: This factor captures whether inflation indicators significantly exceed or fall short of expectations. If the factor is less than -1.5, it indicates a significantly below-expectation environment for the next 60 trading days; if greater than 1.5 standard deviations, it indicates a significantly above-expectation environment[30] - Factor Construction Process: $\text{Inflation Strength Factor} = \frac{\text{CPI and PPI Expectation Difference}}{\text{Standard Deviation of Expectation}}$ - Factor Evaluation: This week, the inflation strength factor shows no significant signal with a score of 0[30] 9. Factor Name: Shiller ERP; Factor Construction Idea: This factor calculates the Shiller PE based on the average inflation-adjusted earnings over the past six years and then calculates the Shiller ERP. The score is the z-score of the past six years[31] - Factor Construction Process: $\text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield}$ - Factor Evaluation: This week, the Shiller ERP shows an upward trend, with the score rising to 0.18[31] 10. Factor Name: PB; Factor Construction Idea: This factor calculates the z-score of the past six years for the PB ratio, standardized to ±1 after capping at 1.5 standard deviations[35] - Factor Construction Process: $\text{PB Score} = \text{z-score of PB over the past 6 years}$ - Factor Evaluation: This week, the PB score rises to -0.39[35] 11. Factor Name: AIAE; Factor Construction Idea: This factor measures the aggregate investor allocation to equities, reflecting overall market risk appetite. The score is the z-score of the past six years[37] - Factor Construction Process: $\text{AIAE} = \frac{\text{Total Market Cap of CSI All Share}}{\text{Total Market Cap of CSI All Share + Total Debt}}$ - Factor Evaluation: This week, the AIAE score decreases to -0.66[37] 12. Factor Name: Margin Trading Increment; Factor Construction Idea: This factor measures the market sentiment and leverage by calculating the average increment of margin trading over the past 120 days compared to the past 240 days. If the short-term increment is greater than the long-term increment, it indicates a bullish signal; otherwise, it indicates a bearish signal[40] - Factor Construction Process: $\text{Margin Trading Increment} = \text{Average Increment of Margin Trading over 120 Days - Average Increment over 240 Days}$ - Factor Evaluation: This week, the margin trading increment indicates a bearish signal with a score of -1[40] 13. Factor Name: Trading Volume Trend; Factor Construction Idea: This factor measures the market trading activity by calculating the moving average distance of logarithmic trading volume. If the maximum distance of short-term moving averages is greater than the long-term moving averages, it indicates a bullish signal; otherwise, it indicates a bearish signal[43] - Factor Construction Process: $\text{Trading Volume Trend} = \frac{\text{ma120}}{\text{ma240}} - 1$ - Factor Evaluation: This week, the trading volume trend indicates a bearish signal