择时雷达六面图：本周估值面分数略下降

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Six-Facet Diagram - Model Construction Idea: The model evaluates equity market performance through a multi-dimensional perspective, selecting 21 indicators across liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding. These are categorized into four major dimensions: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1,1][1][6][8] - Model Construction Process: - The model aggregates 21 indicators into four categories, each representing a specific market dimension - The composite score is calculated as a weighted average of these dimensions, normalized to fall between [-1,1] - Detailed construction methods for individual indicators are referenced in the report "Timing Radar Six-Facet Diagram: A Multi-Dimensional Timing Framework"[6][8] - Model Evaluation: The model provides a comprehensive and systematic framework for market timing, integrating multiple dimensions of market dynamics[1][6] --- Model Backtesting Results 1. Timing Radar Six-Facet Diagram - Liquidity Score: 0.25 (Neutral to slightly positive signal)[8] - Economic Fundamentals Score: -0.25 (Neutral to slightly negative signal)[8] - Valuation Score: -0.33 (Neutral to slightly negative signal)[8] - Capital Flows Score: 0.00 (Neutral signal)[8] - Technical Trends Score: 0.00 (Neutral signal)[8] - Crowding Score: 0.50 (Neutral to slightly positive signal)[8] - Overall Composite Score: 0.02 (Neutral signal, down from 0.04 last week)[6][8] --- Quantitative Factors and Construction Methods 1. Factor Name: Liquidity Factors - Factor Construction Idea: Liquidity factors assess monetary and credit conditions, capturing signals from central bank policies and market interest rates[11][13][16][19] - Factor Construction Process: - Monetary Direction Factor: Measures the average change in central bank policy rates and short-term market rates over 90 days. Formula: If >0, monetary policy is deemed expansionary; if <0, contractionary[11] - Monetary Strength Factor: Based on the "interest rate corridor" concept, calculated as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ Smoothed and z-scored to form the factor. Thresholds: <-1.5 SD (expansionary, score=1), >1.5 SD (contractionary, score=-1)[13] - Credit Direction Factor: Uses 12-month growth in medium-to-long-term loans. If growth is higher than three months ago, score=1; otherwise, score=-1[16] - Credit Strength Factor: Measures deviation of new RMB loans from expectations: $ \text{Credit Strength Factor} = \frac{\text{New Loans} - \text{Median Expectation}}{\text{Standard Deviation of Expectation}} $ Thresholds: >1.5 SD (positive, score=1), <-1.5 SD (negative, score=-1)[19] - Factor Evaluation: These factors effectively capture liquidity conditions and their implications for market performance[11][13][16][19] 2. Factor Name: Economic Factors - Factor Construction Idea: Economic factors reflect growth and inflation dynamics, using PMI and inflation data to assess economic trends and surprises[22][25][27][28] - Factor Construction Process: - Growth Direction Factor: Based on PMI data (manufacturing and non-manufacturing), calculated as: $ \text{Growth Direction Factor} = \text{PMI 12-Month Average} \to \text{YoY Change} $ If higher than three months ago, score=1; otherwise, score=-1[22] - Growth Strength Factor: Measures PMI surprises: $ \text{Growth Strength Factor} = \frac{\text{PMI} - \text{Median Expectation}}{\text{Standard Deviation of Expectation}} $ Thresholds: >1.5 SD (positive, score=1), <-1.5 SD (negative, score=-1)[25] - Inflation Direction Factor: Combines CPI and PPI data: $ \text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI YoY} + 0.5 \times \text{Raw PPI YoY} $ If lower than three months ago, score=1; otherwise, score=-1[27] - Inflation Strength Factor: Measures CPI and PPI surprises: $ \text{Inflation Strength Factor} = \text{Mean of CPI and PPI Surprises} $ Thresholds: <-1.5 SD (positive, score=1), >1.5 SD (negative, score=-1)[28] - Factor Evaluation: These factors provide a robust framework for assessing economic conditions and their market implications[22][25][27][28] 3. Factor Name: Valuation Factors - Factor Construction Idea: Valuation factors assess equity cost-effectiveness using metrics like Shiller ERP, PB, and AIAE[32][35][38] - Factor Construction Process: - Shiller ERP: $ \text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield} $ Z-scored over six years to derive the factor score[32] - PB: $ \text{PB Factor} = \text{PB} \times (-1) $ Z-scored over six years, with 1.5 SD truncation, normalized to ±1[35] - AIAE: $ \text{AIAE} = \frac{\text{Total Market Cap of CSI All-Share}}{\text{Total Market Cap + Total Debt}} $ Multiplied by -1 and z-scored over six years to derive the factor score[38] - Factor Evaluation: These factors effectively capture valuation dynamics and investor sentiment[32][35][38] 4. Factor Name: Crowding Factors - Factor Construction Idea: Crowding factors measure market sentiment and overreaction using derivatives and convertible bond pricing[59][65][67] - Factor Construction Process: - Option Implied Basis: Derived from put-call parity, reflecting market sentiment. Thresholds: If 50ETF 5-day return <0 and percentile <30%, score=1; if return >0 and percentile >70%, score=-1[59] - Option VIX: Measures implied volatility. Thresholds: If 50ETF 5-day return <0 and percentile >70%, score=1; if return >0 and percentile >70%, score=-1[60] - Option SKEW: Reflects skewness expectations. Thresholds: If 50ETF 5-day return <0 and percentile >70%, score=1; if return >0 and percentile <30%, score=-1[65] - Convertible Bond Mispricing: $ \text{Mispricing} = \frac{\text{Convertible Bond Price}}{\text{Model Price}} - 1 $ Multiplied by -1 and z-scored over three years to derive the factor score[67] - Factor Evaluation: These factors provide valuable insights into market sentiment and potential reversals[59][65][67] --- Factor Backtesting Results 1. Liquidity Factors - Monetary Direction Factor: Score = 1 (Positive signal)[11] - Monetary Strength Factor: Score = 0 (Neutral signal)[13] - Credit Direction Factor: Score = 1 (Positive signal)[16] - Credit Strength Factor: Score = -1 (Negative signal)[19] 2. Economic Factors - Growth Direction Factor: Score = 1 (Positive signal)[22][24] - Growth Strength Factor: Score = 0 (Neutral signal)[25] - Inflation Direction Factor: Score = -1 (Negative signal)[27] - Inflation Strength Factor: Score = -1 (Negative signal)[28] 3. Valuation Factors - Shiller ERP: Score = 0.07 (Slightly positive signal)[34] - PB: Score = -0.37 (Negative signal)[35] - AIAE: Score = -0.69 (Negative signal)[38] 4. Crowding Factors - Option Implied Basis: Score = 1 (Positive signal)[59] - Option VIX: Score = 1 (Positive signal)[60] - Option SKEW: Score = 1 (Positive signal)[65] - Convertible Bond Mispricing: Score = -1 (