择时雷达六面图：本周资金面分数下降

• Model Name: Timing Radar Six-Factor Model; Model Construction Idea: The model is based on a multi-dimensional perspective to time the market, considering factors such as liquidity, economic conditions, valuation, capital flow, technical indicators, and crowding; Model Construction Process: The model selects 21 indicators from the aforementioned dimensions and categorizes them into four main categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal." These indicators are then used to generate a comprehensive timing score ranging between [-1,1]; Model Evaluation: The model provides a comprehensive view of market conditions from multiple dimensions, offering a nuanced perspective on market timing[1][6][8] - Factor Name: Liquidity Direction Factor; Factor Construction Idea: This factor aims to determine the direction of current monetary policy; Factor Construction Process: The factor is calculated using the average change in central bank policy tool rates and short-term market rates over the past 90 days. If the factor is greater than 0, it indicates a loose monetary policy, and if less than 0, it indicates a tight monetary policy; Current View: This week, the liquidity direction factor is greater than 0, signaling a bullish signal with a score of 1[10][12] - Factor Name: Liquidity Strength Factor; Factor Construction Idea: This factor is based on the "interest rate corridor" concept to measure the deviation of short-term market rates from policy rates; Factor Construction Process: The factor is calculated as the deviation = DR007/7-year reverse repo rate - 1, smoothed and z-scored to form the liquidity strength factor. If the factor is less than -1.5 standard deviations, it indicates a loose environment for the next 120 trading days with a score of 1, and if greater than 1.5 standard deviations, it indicates a tight environment with a score of -1; Current View: This week, the liquidity strength factor score is 0, indicating a neutral signal[13][15] - Factor Name: Credit Direction Factor; Factor Construction Idea: This factor measures the tightness of credit transmission from commercial banks to the real economy; Factor Construction Process: The factor is calculated using the monthly value of medium and long-term loans, the incremental value over the past 12 months, and the year-over-year change. If the factor rises compared to three months ago, it signals a bullish view with a score of 1, and if it falls, it signals a bearish view with a score of -1; Current View: This week, the credit direction factor is identified as an upward trend, signaling a bullish view with a score of 1[16][18] - Factor Name: Credit Strength Factor; Factor Construction Idea: This factor captures whether credit indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as (new RMB loans for the month - median expectation) / standard deviation 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 with a score of 1, and if less than -1.5 standard deviations, it indicates a significantly below-expectation environment with a score of -1; Current View: This week, the credit strength factor score is 0[20][22] - Factor Name: Growth Direction Factor; Factor Construction Idea: This factor is based on PMI data to measure the direction of economic growth; Factor Construction Process: The factor is calculated using the 12-month average of PMI data (including official manufacturing PMI, non-manufacturing PMI, and Caixin manufacturing PMI) and the year-over-year change. If the factor rises compared to three months ago, it signals a bullish view with a score of 1, and if it falls, it signals a bearish view with a score of -1; Current View: This week, the growth direction factor is identified as a downward trend, signaling a bearish view with a score of -1[23][25] - Factor Name: Growth Strength Factor; Factor Construction Idea: This factor captures whether economic growth indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as the PMI expectation deviation = (PMI - median expectation) / standard deviation 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 with a score of 1, and if less than -1.5 standard deviations, it indicates a significantly below-expectation environment with a score of -1; Current View: This week, the growth strength factor score is -1, signaling a bearish view[26][28] - Factor Name: Inflation Direction Factor; Factor Construction Idea: This factor measures the current inflation level's impact on monetary policy; Factor Construction Process: The factor is calculated as 0.5 × smoothed CPI year-over-year value + 0.5 × raw PPI year-over-year value. If the factor decreases compared to three months ago, it indicates a downward inflation environment, signaling a bullish view with a score of 1, and if it increases, it signals a bearish view with a score of -1; Current View: This week, the inflation direction factor is identified as an upward trend, signaling a bearish view with a score of -1[29][31] - Factor Name: Inflation Strength Factor; Factor Construction Idea: This factor captures whether inflation indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as the average of CPI and PPI expectation deviations = (reported value - median expectation) / standard deviation of expectations. If the factor is less than -1.5, it indicates a significantly below-expectation environment for the next 60 trading days with a score of 1, and if greater than 1.5 standard deviations, it indicates a significantly above-expectation environment with a score of -1; Current View: This week, the inflation strength factor score is -1, signaling a bearish view[32][33] - Factor Name: Shiller ERP; Factor Construction Idea: This factor adjusts for economic cycle fluctuations in corporate earnings to assess current market valuation levels; Factor Construction Process: The factor is calculated using the average inflation-adjusted earnings over the past 6 years to compute the Shiller PE, then calculating Shiller ERP = 1 / Shiller PE - 10-year government bond yield, and z-scoring the past 6 years to obtain the score; Current View: This week, the Shiller ERP score is 0.05, up by 0.09 points[34][35][38] - Factor Name: PB; Factor Construction Idea: This factor follows a similar process to ERP for PB; Factor Construction Process: The factor is calculated as PB × (-1) and z-scored over the past 6 years, truncated at 1.5 standard deviations and standardized to a range of ±1; Current View: This week, the PB score is -0.57, up by 0.17 points[36][37] - Factor Name: AIAE; Factor Construction Idea: This factor reflects the overall market risk preference based on the aggregate investor allocation to equities; Factor Construction Process: The factor is calculated as AIAE = total market cap of CSI All Share Index / (total market cap of CSI All Share Index + total debt of the real economy), then AIAE × (-1) and z-scored over the past 6 years to obtain the score; Current View: This week, the AIAE score is -0.80, up by 0.20 points[39][40] - Factor Name: Margin Trading Increment; Factor Construction Idea: This factor measures market sentiment based on the source of leverage funds; Factor Construction Process: The factor is calculated as the difference between margin financing balance and margin securities balance, and the average increment over the past 120 days compared to the past 240 days. If the 120-day average increment is greater than the 240-day average increment, it signals a bullish view with a score of 1, and if less, it signals a bearish view with a score of -1; Current View: This week, the short-term margin trading increment is less than the long-term increment, signaling a bearish view with a score of -1[42][44] - Factor Name: Trading Volume Trend; Factor Construction Idea: This factor measures market trading activity and capital flow; Factor Construction Process: The factor is calculated as the log trading volume moving average distance = ma120 / ma240 - 1. If the max(10) = max(30) = max(60), it signals a bullish view with a score of 1, and if the min(10) = min(30) = min(60), it signals a bearish view with a score of -1; Current View: This week, the trading volume signal is neutral with a score of 0[45][47] - Factor Name: China Sovereign CDS Spread; Factor Construction Idea: This factor represents the pricing level of China's economic and sovereign credit risk by overseas investors; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed CDS spread. If the 20-day difference is less than 0, it signals a bullish view with a score of 1, and if greater than 0, it signals a bearish view with a score of -1; Current View: This week, the 20-day difference of the CDS spread is greater than 0, signaling a bearish view with a score of -1[48][50] - Factor Name: Overseas Risk Aversion Index; Factor Construction Idea: This factor captures overseas market risk preference; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed Citi RAI Index. If the 20-day difference is less than 0, it signals a bullish view with a score