择时雷达六面图：本周估值分数下行，资金与趋势分数上升

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Six-Sided Chart - Model Construction Idea: The performance of the equity market is influenced by multiple dimensions. This model attempts to describe the market using 21 indicators from liquidity, economic, valuation, capital, technical, and congestion perspectives, summarized into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Congestion & Reversal," generating a comprehensive timing score between [-1,1][2][7]. - Model Construction Process: - Liquidity: Indicators include monetary direction, monetary strength, credit direction, and credit strength. For example, the monetary direction factor is calculated based on the average change in central bank policy rates and short-term market rates over the past 90 days[13]. - Economic: Indicators include growth direction, growth strength, inflation direction, and inflation strength. For example, the growth direction factor is based on PMI data, calculated as the 12-month average of PMI and its year-over-year change[23]. - Valuation: Indicators include Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE - 10-year government bond yield, with a z-score over the past 6 years[35]. - Capital: Indicators include margin financing increment, trading volume trend, China sovereign CDS spread, and overseas risk aversion index. For example, the margin financing increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short-selling balance[44]. - Technical: Indicators include price trend and new highs and lows. For example, the price trend factor is calculated as the distance between the 120-day and 240-day moving averages[54]. - Congestion: Indicators include implied premium/discount, VIX, SKEW, and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship[59]. - Model Evaluation: The model provides a comprehensive view of the market by integrating multiple dimensions, making it a robust tool for market timing[2][7]. Model Backtesting Results - Current Comprehensive Score: -0.13, slightly down by 0.01 from last week, indicating a neutral view[2][7]. - Liquidity Score: 0.25, indicating a slightly bullish signal[9]. - Economic Score: -0.25, indicating a slightly bearish signal[9]. - Valuation Score: -0.50, indicating a slightly bearish signal[9]. - Capital Score: 0.00, indicating a neutral signal[9]. - Technical Score: 0.00, indicating a neutral signal[9]. - Congestion Score: 0.00, indicating a neutral signal[9]. Quantitative Factors and Construction Methods 1. Factor Name: Monetary Direction Factor - Factor Construction Idea: To determine the direction of current monetary policy using central bank policy rates and short-term market rates[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 is greater than 0, it indicates a bullish signal[13]. - Factor Evaluation: Provides a clear indication of the direction of monetary policy, useful for assessing liquidity conditions[13]. 2. Factor Name: Monetary Strength Factor - Factor Construction Idea: Based on the "interest rate corridor" concept to measure the deviation of short-term market rates from policy rates[16]. - Factor Construction Process: Calculate the deviation as DR007/7-year reverse repo rate - 1, smooth and z-score it to form the monetary strength factor. If the factor is less than -1.5 standard deviations, it indicates a bullish signal[16]. - Factor Evaluation: Useful for assessing the strength of monetary policy and its impact on market liquidity[16]. 3. Factor Name: Credit Direction Factor - Factor Construction Idea: To measure the tightness of credit transmission from commercial banks to the real economy using medium and long-term loan data[19]. - Factor Construction Process: Calculate the year-over-year change in the 12-month increment of medium and long-term loans. If the factor is rising compared to three months ago, it indicates a bullish signal[19]. - Factor Evaluation: Provides insights into the credit environment and its impact on economic activity[19]. 4. Factor Name: Growth Direction Factor - Factor Construction Idea: Based on PMI data to measure the direction of economic growth[23]. - Factor Construction Process: Calculate the 12-month average of PMI and its year-over-year change. If the factor is rising compared to three months ago, it indicates a bullish signal[23]. - Factor Evaluation: Useful for assessing the direction of economic growth and its impact on market sentiment[23]. 5. Factor Name: Shiller ERP - Factor Construction Idea: To adjust for the impact of economic cycles on corporate earnings and market valuation[35]. - Factor Construction Process: Calculate Shiller PE as the average inflation-adjusted earnings over the past 6 years, then calculate Shiller ERP as 1/Shiller PE - 10-year government bond yield, and z-score it over the past 6 years[35]. - Factor Evaluation: Provides a long-term perspective on market valuation, useful for identifying overvalued or undervalued conditions[35]. Factor Backtesting Results - Monetary Direction Factor: Score of 1, indicating a bullish signal[13]. - Monetary Strength Factor: Score of -1, indicating a bearish signal[17]. - Credit Direction Factor: Score of 1, indicating a bullish signal[19]. - Growth Direction Factor: Score of 1, indicating a bullish signal[23]. - Shiller ERP: Score of -0.04, indicating a slightly bearish signal[35].