择时雷达六面图：本周拥挤度指标弱化

Quantitative Models and Construction Methods - Model Name: Timing Radar Hexagon Model Construction Idea: The model evaluates equity market performance through a multi-dimensional framework, incorporating liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding indicators. These dimensions are summarized into four categories: "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: 1. Select 21 indicators across six dimensions (liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding)[1][6] 2. Aggregate these indicators into four categories: - Valuation Cost-Effectiveness - Macroeconomic Fundamentals - Capital & Trend - Crowding & Reversal 3. Normalize the composite score to fall within the range of [-1, 1][6][8] Model Evaluation: The model provides a comprehensive view of market conditions, offering a balanced perspective across multiple dimensions[6][8] Model Backtesting Results - Timing Radar Hexagon: - Current composite score: -0.11 (down from -0.01 last week)[6][8] - Liquidity score: 0.25 (neutral to slightly positive)[6][8] - Economic fundamentals score: -0.50 (neutral to slightly negative)[6][8] - Valuation score: -0.51 (neutral to slightly negative)[6][8] - Capital flows score: 1.00 (positive)[6][8] - Technical trends score: 0.00 (neutral)[6][8] - Crowding score: -0.75 (neutral to slightly negative)[6][8] Quantitative Factors and Construction Methods Liquidity Factors 1. Factor Name: Monetary Direction Factor Construction Idea: Measures the direction of monetary policy using central bank policy rates and short-term market rates. A positive factor value indicates monetary easing, while a negative value indicates tightening[10] Construction Process: - Calculate the average change in policy rates and short-term rates over the past 90 days - Assign a score of 1 if the factor > 0 (easing), and -1 if < 0 (tightening)[10] Evaluation: Effectively captures monetary policy direction[10] 2. Factor Name: Monetary Intensity Factor Construction Idea: Based on the "interest rate corridor" concept, measures the deviation of short-term market rates from policy rates[12] Construction Process: - Compute deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - Assign a score of 1 if the factor < -1.5 standard deviations (easing), and -1 if > 1.5 standard deviations (tightening)[12] Evaluation: Captures the intensity of monetary policy changes[12] 3. Factor Name: Credit Direction Factor Construction Idea: Reflects the trend in credit transmission to the real economy using long-term loan data[15] Construction Process: - Calculate the year-over-year growth of long-term loans over the past 12 months - Assign a score of 1 if the factor shows an upward trend compared to three months ago, and -1 if downward[15] Evaluation: Tracks credit trends effectively[15] 4. Factor Name: Credit Intensity Factor Construction Idea: Measures whether credit data significantly exceeds or falls short of expectations[19] Construction Process: - Compute (new RMB loans - median forecast) / forecast standard deviation - Assign a score of 1 if the factor > 1.5 standard deviations (positive surprise), and -1 if < -1.5 standard deviations (negative surprise)[19] Evaluation: Captures credit surprises effectively[19] Economic Factors 1. Factor Name: Growth Direction Factor Construction Idea: Based on PMI data, measures the trend in economic growth[23] Construction Process: - Calculate the 12-month average and year-over-year change of PMI data - Assign a score of 1 if the factor shows an upward trend compared to three months ago, and -1 if downward[23] Evaluation: Tracks economic growth trends effectively[23] 2. Factor Name: Growth Intensity Factor Construction Idea: Measures whether economic growth data significantly exceeds or falls short of expectations[26] Construction Process: - Compute (PMI - median forecast) / forecast standard deviation - Assign a score of 1 if the factor > 1.5 standard deviations (positive surprise), and -1 if < -1.5 standard deviations (negative surprise)[26] Evaluation: Captures growth surprises effectively[26] 3. Factor Name: Inflation Direction Factor Construction Idea: Measures the trend in inflation using CPI and PPI data[29] Construction Process: - Compute 0.5 × smoothed CPI year-over-year + 0.5 × raw PPI year-over-year - Assign a score of 1 if the factor shows a downward trend compared to three months ago, and -1 if upward[29] Evaluation: Tracks inflation trends effectively[29] 4. Factor Name: Inflation Intensity Factor Construction Idea: Measures whether inflation data significantly exceeds or falls short of expectations[32] Construction Process: - Compute (CPI or PPI - median forecast) / forecast standard deviation - Assign a score of 1 if the factor < -1.5 standard deviations (negative surprise), and -1 if > 1.5 standard deviations (positive surprise)[32] Evaluation: Captures inflation surprises effectively[32] Valuation Factors 1. Factor Name: Shiller ERP Construction Idea: Adjusts earnings for inflation and calculates the equity risk premium (ERP) relative to 10-year government bond yields[35] Construction Process: - Compute Shiller PE = inflation-adjusted average earnings over the past 6 years - Calculate ERP = 1/Shiller PE - 10-year bond yield - Normalize using a 6-year z-score[35] Evaluation: Provides a robust measure of equity valuation[35] 2. Factor Name: PB Construction Idea: Measures valuation using the price-to-book ratio[38] Construction Process: - Compute PB × (-1) - Normalize using a 6-year z-score, truncating at ±1.5 standard deviations[38] Evaluation: Tracks valuation effectively[38] 3. Factor Name: AIAE Construction Idea: Measures aggregate investor allocation to equities, reflecting market risk appetite[41] Construction Process: - Compute AIAE = total market cap of CSI All Share Index / (total market cap + total debt) - Normalize using a 6-year z-score[41] Evaluation: Captures market risk appetite effectively[41] Capital Flow Factors 1. Factor Name: Margin Trading Increment Construction Idea: Measures the trend in leveraged funds using margin trading data[44] Construction Process: - Compute the 120-day average increment of margin trading balances - Assign a score of 1 if the 120-day increment > 240-day increment, and -1 otherwise[44] Evaluation: Tracks leveraged fund trends effectively[44] 2. Factor Name: Turnover Trend Construction Idea: Measures market activity using turnover data[47] Construction Process: - Compute log turnover moving average distance = ma120/ma240 - 1 - Assign a score of 1 if max(10, 30, 60-day) > 0, and -1 otherwise[47] Evaluation: Captures market activity effectively[47] 3. Factor Name: China Sovereign CDS Spread Construction Idea: Reflects foreign investors' perception of China's credit risk[50] Construction Process: - Compute the 20-day difference of smoothed CDS spreads - Assign a score of 1 if the difference < 0, and -1 otherwise[50] Evaluation: Tracks foreign investor sentiment effectively[50] 4. Factor Name: Overseas Risk Aversion Index Construction Idea: Captures global risk appetite using the Citi RAI Index[53] Construction Process: - Compute the 20-day difference of smoothed RAI - Assign a score of 1 if the difference < 0, and -1 otherwise[53] Evaluation: Tracks global risk appetite effectively[53] Technical Factors 1. Factor Name: Price Trend Construction Idea: Measures market trends using moving average distances[56] Construction Process: