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Quantitative Models and Construction Methods - Model Name: Timing Radar Six-Factor Model Model Construction Idea: The model aims to evaluate equity market performance based on multiple dimensions, including liquidity, economic fundamentals, valuation, capital flow, technical indicators, and crowding. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score ranging between [-1, 1] [1][6]. Model Construction Process: The model uses 21 indicators across six dimensions, which are grouped into four categories. Each indicator is scored based on its respective methodology, and the scores are aggregated to form the comprehensive timing score. The detailed construction process for each indicator is provided in the report [6]. Model Evaluation: The model provides a comprehensive view of market conditions, offering insights into multiple dimensions that influence equity market performance [1][6]. Quantitative Factors and Construction Methods Liquidity Factors 1. Factor Name: Monetary Direction Factor Factor Construction Idea: This factor evaluates the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days [11]. 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 considered expansionary; if < 0, it is considered contractionary [11]. Factor Evaluation: Provides a clear signal of monetary policy direction, aiding in liquidity assessment [11]. 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 [14]. Factor Construction Process: - Calculate deviation = DR007/7-year reverse repo rate - 1 - Smooth the deviation and apply z-score normalization - If the factor value < -1.5 standard deviations, it indicates a future 120-day easing environment (score = 1); if > 1.5 standard deviations, it indicates tightening (score = -1) [14]. Factor Evaluation: Useful for assessing the relative deviation of short-term rates from policy rates [14]. 3. Factor Name: Credit Direction Factor Factor Construction Idea: Measures the trend of credit transmission from commercial banks to the real economy using long-term loan data [16]. Factor Construction Process: - Calculate the monthly value of long-term loans - Compute the past 12-month increment and year-on-year change - If the factor value increases compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1) [16]. Factor Evaluation: Effectively captures the transmission of credit to the real economy [16]. 4. Factor Name: Credit Strength Factor Factor Construction Idea: Captures whether credit indicators significantly exceed or fall short of expectations [20]. Factor Construction Process: - Calculate Credit Strength Factor = (New RMB loans monthly value - median forecast) / forecast standard deviation - If the factor value > 1.5 standard deviations, it indicates a significant credit surplus (score = 1); if < -1.5 standard deviations, it indicates a significant credit deficit (score = -1) [20]. Factor Evaluation: Provides insights into credit market surprises [20]. Economic Factors 1. Factor Name: Growth Direction Factor Factor Construction Idea: Based on PMI data, this factor measures the trend of economic growth [23]. Factor Construction Process: - Use PMI data (Manufacturing PMI, Non-Manufacturing PMI, Caixin Manufacturing PMI) - Calculate the past 12-month average and year-on-year change - If the factor value increases compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1) [23]. Factor Evaluation: Provides a reliable measure of economic growth trends [23]. 2. Factor Name: Growth Strength Factor Factor Construction Idea: Captures whether economic growth indicators significantly exceed or fall short of expectations [26]. Factor Construction Process: - Calculate PMI forecast deviation = (PMI - median forecast) / forecast standard deviation - If the factor value > 1.5 standard deviations, it indicates significant growth (score = 1); if < -1.5 standard deviations, it indicates significant contraction (score = -1) [26]. Factor Evaluation: Useful for identifying unexpected economic growth trends [26]. 3. Factor Name: Inflation Direction Factor Factor Construction Idea: Measures the impact of inflation trends on monetary policy and equity performance [28]. Factor Construction Process: - Calculate Inflation Direction Factor = 0.5 × smoothed CPI year-on-year value + 0.5 × raw PPI year-on-year value - If the factor value decreases compared to three months ago, it signals a deflationary environment (score = 1); otherwise, it signals inflation (score = -1) [28]. Factor Evaluation: Provides insights into inflation trends and their impact on monetary policy [28]. 4. Factor Name: Inflation Strength Factor Factor Construction Idea: Captures whether inflation indicators significantly exceed or fall short of expectations [31]. Factor Construction Process: - Calculate CPI and PPI forecast deviation = (reported value - median forecast) / forecast standard deviation - Compute Inflation Strength Factor = average of CPI and PPI forecast deviations - If the factor value < -1.5, it indicates significant deflation (score = 1); if > 1.5 standard deviations, it indicates significant inflation (score = -1) [31]. Factor Evaluation: Provides a measure of inflation surprises [31]. Valuation Factors 1. Factor Name: Shiller ERP Factor Construction Idea: Adjusts earnings for inflation to assess market valuation [34]. Factor Construction Process: - Calculate Shiller PE using inflation-adjusted average earnings over the past six years - Compute Shiller ERP = 1/Shiller PE - 10-year government bond yield - Normalize using z-score over the past six years [34]. Factor Evaluation: Offers a robust measure of equity risk premium [34]. 2. Factor Name: PB Factor Construction Idea: Measures valuation using price-to-book ratio [37]. Factor Construction Process: - Calculate PB × (-1) - Normalize using z-score over the past six years, truncating at ±1.5 standard deviations [37]. Factor Evaluation: Provides insights into market valuation levels [37]. 3. Factor Name: AIAE Factor Construction Idea: Reflects market-wide equity allocation and risk preference [40]. Factor Construction Process: - Calculate AIAE = total market capitalization of CSI All Share Index / (total market capitalization + total debt) - Normalize using z-score over the past six years [40]. Factor Evaluation: Captures overall market risk appetite [40]. Capital Flow Factors 1. Factor Name: Margin Financing Increment Factor Construction Idea: Measures market leverage and sentiment through margin financing trends [43]. Factor Construction Process: - Calculate margin financing balance - margin selling balance - Compare 120-day average increment with 240-day average increment - If 120-day increment > 240-day increment, score = 1; otherwise, score = -1 [43]. Factor Evaluation: Reflects market sentiment and leverage dynamics [43]. 2. Factor Name: Turnover Trend Factor Construction Idea: Measures market activity and capital flow through turnover trends [46]. Factor Construction Process: - Calculate log turnover moving average distance = ma120/ma240 - 1 - If max(10) = max(30) = max(60), score = 1; if min(10) = min(30) = min(60), score = -1 [46]. Factor Evaluation: Indicates market activity and liquidity [46]. 3. Factor Name: China Sovereign CDS Spread Factor Construction Idea: Reflects foreign investors' perception of China's economic and credit risk [49]. Factor Construction Process: - Smooth CDS spread and calculate 20-day difference - If 20-day difference < 0, score = 1; otherwise, score = -1 [49]. Factor Evaluation: Captures foreign investors' sentiment towards China [49]. 4. Factor Name: Overseas Risk Aversion Index Factor Construction Idea: Measures overseas market risk preference using Citi RAI Index [52]. Factor Construction Process: - Smooth RAI and calculate 20-day difference - If 20-day difference < 0, score = 1; otherwise, score = -1 [52]. Factor Evaluation: Reflects overseas market risk appetite [52].