证券研究报告 | 金融工程 gszqdatemark 2025 11 15 年 月 日 量化分析报告 择时雷达六面图：本周资金面好转 择时雷达六面图：基于多维视角的择时框架。权益市场的表现受到多维度 指标因素的共同影响，我们尝试从流动性、经济面、估值面、资金面、技 术面、拥挤度选取二十一个指标对市场进行刻画，并将其概括为"估值性 价比"、"宏观基本面"、"资金&趋势"、"拥挤度&反转"四大类，从而生成 [-1,1]之间的综合择时分数。 本周综合打分。本周市场的估值性价比、趋势 &资金分数上升，宏观基本 面、拥挤度&反转分数下降，综合打分位于[-1,1]之间，当前的综合打分为 0.03 分，整体为中性观点。当前六面图各个维度的观点如下： 流动性。本周货币方向、信用方向发出看多信号，货币强度信号中性， 信用强度发出看空信号，当前流动性得分为 0.25 分，综合来看发出中性 偏多信号。 经济面。本周增长方向指标发出看多信号，通胀方向、通胀强度发出看 空信号，当前经济面综合得分为-0.25 分，综合来看发出中性偏空信号。 估值面。本周席勒 ERP、PB、AIAE 指标分数均上升，当前市场的估 值面得分为-0.47 分 ...

- The "Timing Radar Six-Dimensional Chart" is a multi-dimensional timing framework that evaluates the equity market using 21 indicators categorized into four dimensions: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" These dimensions generate a composite timing score ranging from [-1,1][1][6][8] - The "Liquidity" dimension includes factors such as "Monetary Direction" and "Credit Direction," which signal a slightly bullish outlook this week with a score of 0.50[8][11][17] - The "Economic" dimension uses factors like "Growth Direction" and "Inflation Direction" to assess macroeconomic conditions This week, the score is neutral at 0.00, with "Growth Direction" signaling bullish and "Inflation Direction" signaling bearish[8][22][27] - The "Valuation" dimension evaluates equity cost-effectiveness using indicators like "Shiller ERP," "PB," and "AIAE" This week, the score is -0.49, indicating a slightly bearish outlook[8][30][35][37] - The "Funds" dimension analyzes capital flows through indicators such as "Margin Financing Increment" and "China Sovereign CDS Spread" This week, the score is neutral at 0.00, with domestic capital showing bullish signals and foreign capital showing bearish signals[8][39][46][48] - The "Technical" dimension captures market trends and reversals using indicators like "Price Trend" and "New Highs and Lows" This week, the score is neutral at 0.00, with "Price Trend" signaling bullish and "New Highs and Lows" signaling bearish[8][51][53] - The "Crowdedness" dimension measures market sentiment using derivative signals like "Option Implied Premium," "VIX," and "SKEW," as well as "Convertible Bond Pricing Deviation" This week, the score is 0.50, indicating a slightly bullish sentiment[8][57][63][67]

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].

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].

- The timing radar six-dimensional model is based on a multi-dimensional timing framework, selecting 21 indicators from liquidity, economic aspects, valuation, capital flow, technical aspects, and crowding to generate a comprehensive timing score ranging from [-1,1][1][6][8] - Liquidity dimension includes factors such as monetary direction, monetary strength, credit direction, and credit strength, with scores reflecting signals like monetary policy direction and short-term market interest rate deviations[10][13][16][19] - Economic dimension includes growth direction and strength factors based on PMI data, as well as inflation direction and strength factors derived from CPI and PPI data, capturing economic trends and inflation expectations[21][24][28][31] - Valuation dimension includes Shiller ERP, PB, and AIAE indicators, measuring equity risk premium, price-to-book ratio, and aggregate investor allocation to equities, respectively, to assess market valuation attractiveness[34][36][40] - Capital flow dimension includes domestic indicators like margin trading increment and turnover trends, and foreign indicators such as China sovereign CDS spread and overseas risk aversion index, reflecting capital flow dynamics[42][45][49][52] - Technical dimension includes price trend and new high-new low indicators, capturing market trends and reversal signals based on moving averages and constituent stock performance[54][56] - Crowding dimension includes derivative signals like implied premium, VIX, SKEW, and convertible bond pricing deviation, reflecting market sentiment and overreaction signals[60][61][66][68]

- The report introduces a timing radar framework based on six dimensions: liquidity, economic fundamentals, valuation, capital flow, technical signals, and crowding. It selects 21 indicators to generate a comprehensive timing score ranging from [-1,1][2][7][9] - **Liquidity Factors**: - **Monetary Direction Factor**: Measures the direction of monetary policy using central bank policy rates and short-term market rates. Formula: average change over 90 days. If >0, monetary policy is considered loose, scoring 1[12][14] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year repo rate - 1, smoothed and z-scored. If <-1.5 standard deviations, predicts a loose environment for 120 trading days, scoring 1; if >1.5, scores -1[15][16] - **Credit Direction Factor**: Uses long-term loan data to measure credit transmission. Formula: monthly long-term loans -> 12-month increment -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[18][20] - **Credit Strength Factor**: Captures unexpected credit changes using formula: (new RMB loans - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[21][22] - **Economic Factors**: - **Growth Direction Factor**: Based on PMI data (manufacturing, non-manufacturing, Caixin manufacturing). Formula: PMI -> 12-month average -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[23][25] - **Growth Strength Factor**: Measures unexpected growth using formula: (PMI - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[26][28] - **Inflation Direction Factor**: Combines CPI and PPI data. Formula: 0.5 × CPI YoY smoothed + 0.5 × PPI YoY raw. If downward trend compared to 3 months ago, scores 1; otherwise -1[30][34] - **Inflation Strength Factor**: Measures unexpected inflation changes using formula: (CPI/PPI disclosed value - median forecast)/forecast standard deviation. If <-1.5 standard deviations, scores 1; if >1.5, scores -1[31][33] - **Valuation Factors**: - **Shiller ERP**: Uses inflation-adjusted average earnings over 6 years to calculate Shiller PE, then Shiller ERP = 1/Shiller PE - 10-year government bond yield. Scores are z-scored over the past 6 years[35][36][39] - **PB Factor**: PB is multiplied by -1 and z-scored over the past 6 years, with 1.5 standard deviation truncation normalized to [-1,1][37][38] - **AIAE Factor**: Measures aggregate investor allocation to equities. Formula: AIAE = total market cap/(total market cap + total debt). AIAE is multiplied by -1 and z-scored over the past 6 years[41][42] - **Capital Flow Factors**: - **Margin Financing Increment**: Measures market leverage using financing balance - short selling balance. Formula: 120-day average increment compared to 240-day average increment. If 120-day > 240-day, scores 1; otherwise -1[43][45] - **Trading Volume Trend**: Measures market activity using log trading volume. Formula: moving average distance = ma120/ma240 - 1. If max(10)=max(30)=max(60), scores 1; if min(10)=min(30)=min(60), scores -1[46][47] - **China Sovereign CDS Spread**: Represents foreign investors' pricing of China's economic and credit risk. Formula: smoothed 20-day difference of CDS spread. If <0, scores 1; otherwise -1[49][51] - **Overseas Risk Aversion Index**: Captures foreign market risk appetite using Citi RAI Index. Formula: smoothed 20-day difference. If <0, scores 1; otherwise -1[52][54] - **Technical Factors**: - **Price Trend Factor**: Measures price trends using moving average distance (ma120/ma240 - 1). Trend direction scores 1 if >0, otherwise -1. Trend strength scores 1 if max(20)=max(60), otherwise -1. Composite score = (direction + strength)/2[55][56][57] - **New Highs and Lows Factor**: Measures reversal signals using the difference between new highs and lows of index constituents. Formula: past year new lows - new highs, smoothed with ma20. If >0, scores 1; otherwise -1[58][60] - **Crowding Factors**: - **Option Implied Premium**: Derived from put-call parity, measures market sentiment. If 50ETF 5-day return <0 and percentile <30%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[61][66] - **Option VIX Index**: Measures expected volatility. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[62][64][65] - **Option SKEW Index**: Measures expected skewness. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile <30%, scores -1[67][68] - **Convertible Bond Pricing Deviation**: Measures market sentiment using formula: deviation = bond price/model price - 1, z-scored over past 3 years. Higher deviation indicates higher crowding, scoring lower[69][71] - **Factor Testing Results**: - **Liquidity**: Monetary direction (1), monetary strength (-1), credit direction (1), credit strength (0)[12][15][18][21] - **Economic**: Growth direction (1), growth strength (-1), inflation direction (-1), inflation strength (0)[23][26][30][31] - **Valuation**: Shiller ERP (0.03), PB (-0.56), AIAE (-0.90)[35][37][41] - **Capital Flow**: Margin financing increment (1), trading volume trend (0), CDS spread (1), risk aversion index (-1)[43][46][49][52] - **Technical**: Price trend (0), new highs and lows (-1)[55][58] - **Crowding**: Option implied premium (-1), VIX (-1), SKEW (-1), convertible bond deviation (-1)[61][62][67][69]

- The timing radar six-dimensional model is constructed based on multiple dimensions including liquidity, economic fundamentals, valuation, capital flow, technical signals, and crowding indicators, with 21 metrics categorized into four major groups: "valuation cost-effectiveness," "macro fundamentals," "capital & trend," and "crowding & reversal" to generate a comprehensive timing score ranging from [-1,1][1][6][8] - Liquidity dimension includes factors such as monetary direction, monetary strength, credit direction, and credit strength. For example, the monetary direction factor is calculated using 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 loose monetary policy environment[12][15][17] - Economic dimension includes growth direction, growth strength, inflation direction, and inflation strength factors. For instance, the growth direction factor is derived from PMI data, calculating the 12-month average and year-over-year change. If the factor shows an upward trend compared to three months ago, it signals a positive outlook[24][27][31] - Valuation dimension includes metrics such as Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as $1/Shiller PE - 10-year government bond yield$, with a z-score based on the past six years' data[36][38][42] - Capital flow dimension is divided into domestic and foreign capital metrics. Domestic metrics include margin trading increment and turnover trend, while foreign metrics include China's sovereign CDS spread and overseas risk aversion index. For instance, the CDS spread factor signals foreign capital inflow when the 20-day differential is less than 0[45][52][55] - Technical dimension includes price trend and new highs/lows metrics. For example, the price trend factor is calculated using the moving average distance $(ma120/ma240-1)$, with scores determined by the trend direction and strength[58][61][63] - Crowding dimension includes derivative signals such as implied premium, VIX, SKEW, and convertible bond pricing deviation. For instance, the implied premium factor is derived from the 50ETF's 5-day return and percentile ranking, signaling market crowding levels[64][65][70] - Current scores for the six dimensions are as follows: liquidity 0.25, economic fundamentals -0.25, valuation -0.40, capital flow 0.00, technical signals -0.50, and crowding 0.00, resulting in a comprehensive timing score of -0.15[7][8][10]

- Model Name: Timing Radar Hexagon; Model Construction Idea: The model is based on a multi-dimensional timing framework, considering factors such as liquidity, economic conditions, valuation, capital flow, technical indicators, and crowding. It generates a comprehensive timing score between [-1,1][1][6] - Model Construction Process: The model selects 21 indicators from six dimensions (liquidity, economic conditions, valuation, capital flow, technical indicators, and crowding) and categorizes them into four major categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal." The comprehensive timing score is then generated within the range of [-1,1][1][6] - Model Evaluation: The model provides a neutral view with a current comprehensive score of -0.06, indicating a balanced market outlook[1][6] Model Backtest Results - Timing Radar Hexagon, Comprehensive Score: -0.06[1][6] - Liquidity Score: 0.25[1][8] - Economic Conditions Score: 0.25[1][8] - Valuation Score: -0.29[1][8] - Capital Flow Score: 0.00[2][8] - Technical Indicators Score: -0.50[2][8] - Crowding Score: 0.00[2][8] Factor Construction and Process 1. Factor Name: Monetary Direction Factor; Factor Construction Idea: This factor aims to determine the direction of current monetary policy by calculating 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 loose monetary policy; if less than 0, it indicates a tight monetary policy[12] - Factor Construction Process: $$ \text{Monetary Direction Factor} = \text{Average Change in Policy Rates and Market Rates over 90 Days} $$ - Factor Evaluation: This week, the monetary direction factor is greater than 0, indicating a bullish signal with a score of 1[12] 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. If the factor is less than -1.5 standard deviations, it indicates a loose environment for the next 120 trading days; if greater than 1.5 standard deviations, it indicates a tight environment[15] - Factor Construction Process: $$ \text{Monetary Strength Factor} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $$ - Factor Evaluation: This week, the monetary strength factor indicates a bearish signal with a score of -1[16] 3. Factor Name: Credit Direction Factor; Factor Construction Idea: This factor measures the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators. If the factor shows an upward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18] - Factor Construction Process: $$ \text{Credit Direction Factor} = \text{Year-over-Year Change in Long-Term Loans over the Past 12 Months} $$ - Factor Evaluation: This week, the credit direction factor shows an upward trend, indicating a bullish signal with a score of 1[18] 4. Factor Name: Credit Strength Factor; Factor Construction Idea: This factor captures whether credit indicators significantly exceed or fall short 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; if less than -1.5 standard deviations, it indicates a significantly below-expectation environment[21] - Factor Construction Process: $$ \text{Credit Strength Factor} = \frac{\text{New RMB Loans - Median Expectation}}{\text{Standard Deviation of Expectation}} $$ - Factor Evaluation: This week, the credit strength factor shows no significant signal with a score of 0[21] 5. Factor Name: Growth Direction Factor; Factor Construction Idea: This factor is based on PMI data and measures the year-over-year change in the 12-month average PMI. If the factor shows an upward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[22] - Factor Construction Process: $$ \text{Growth Direction Factor} = \text{Year-over-Year Change in 12-Month Average PMI} $$ - Factor Evaluation: This week, the growth direction factor shows an upward trend, indicating a bullish signal with a score of 1[22] 6. Factor Name: Growth Strength Factor; Factor Construction Idea: This factor captures whether economic growth indicators significantly exceed or fall short 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; if less than -1.5 standard deviations, it indicates a significantly below-expectation environment[26] - Factor Construction Process: $$ \text{Growth Strength Factor} = \frac{\text{PMI - Median Expectation}}{\text{Standard Deviation of Expectation}} $$ - Factor Evaluation: This week, the growth strength factor indicates a bearish signal with a score of -1[26] 7. Factor Name: Inflation Direction Factor; Factor Construction Idea: This factor measures the current inflation level and its impact on monetary policy. If the factor shows a downward trend compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[27] - Factor Construction Process: $$ \text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI Year-over-Year} + 0.5 \times \text{Original PPI Year-over-Year} $$ - Factor Evaluation: This week, the inflation direction factor shows a downward trend, indicating a bullish signal with a score of 1[27] 8. Factor Name: Inflation Strength Factor; Factor Construction Idea: This factor captures whether inflation indicators significantly exceed or fall short of expectations. If the factor is less than -1.5, it indicates a significantly below-expectation environment for the next 60 trading days; if greater than 1.5 standard deviations, it indicates a significantly above-expectation environment[30] - Factor Construction Process: $$ \text{Inflation Strength Factor} = \frac{\text{CPI and PPI Expectation Difference}}{\text{Standard Deviation of Expectation}} $$ - Factor Evaluation: This week, the inflation strength factor shows no significant signal with a score of 0[30] 9. Factor Name: Shiller ERP; Factor Construction Idea: This factor calculates the Shiller PE based on the average inflation-adjusted earnings over the past six years and then calculates the Shiller ERP. The score is the z-score of the past six years[31] - Factor Construction Process: $$ \text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield} $$ - Factor Evaluation: This week, the Shiller ERP shows an upward trend, with the score rising to 0.18[31] 10. Factor Name: PB; Factor Construction Idea: This factor calculates the z-score of the past six years for the PB ratio, standardized to ±1 after capping at 1.5 standard deviations[35] - Factor Construction Process: $$ \text{PB Score} = \text{z-score of PB over the past 6 years} $$ - Factor Evaluation: This week, the PB score rises to -0.39[35] 11. Factor Name: AIAE; Factor Construction Idea: This factor measures the aggregate investor allocation to equities, reflecting overall market risk appetite. The score is the z-score of the past six years[37] - Factor Construction Process: $$ \text{AIAE} = \frac{\text{Total Market Cap of CSI All Share}}{\text{Total Market Cap of CSI All Share + Total Debt}} $$ - Factor Evaluation: This week, the AIAE score decreases to -0.66[37] 12. Factor Name: Margin Trading Increment; Factor Construction Idea: This factor measures the market sentiment and leverage by calculating the average increment of margin trading over the past 120 days compared to the past 240 days. If the short-term increment is greater than the long-term increment, it indicates a bullish signal; otherwise, it indicates a bearish signal[40] - Factor Construction Process: $$ \text{Margin Trading Increment} = \text{Average Increment of Margin Trading over 120 Days - Average Increment over 240 Days} $$ - Factor Evaluation: This week, the margin trading increment indicates a bearish signal with a score of -1[40] 13. Factor Name: Trading Volume Trend; Factor Construction Idea: This factor measures the market trading activity by calculating the moving average distance of logarithmic trading volume. If the maximum distance of short-term moving averages is greater than the long-term moving averages, it indicates a bullish signal; otherwise, it indicates a bearish signal[43] - Factor Construction Process: $$ \text{Trading Volume Trend} = \frac{\text{ma120}}{\text{ma240}} - 1 $$ - Factor Evaluation: This week, the trading volume trend indicates a bearish signal

Quantitative Models and Construction Timing Radar Hexagon Model - **Model Name**: Timing Radar Hexagon Model - **Model Construction Idea**: The model evaluates equity market performance through a multi-dimensional framework, incorporating liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding indicators. These dimensions are aggregated into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1, 1][1][6][9] - **Model Construction Process**: 1. Select 21 indicators across six dimensions (liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding)[1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal"[6] 3. Normalize the composite score to fall within the range of [-1, 1][6] - **Model Evaluation**: The model provides a comprehensive and systematic approach to market timing by integrating multiple dimensions of market dynamics[6] --- Quantitative Factors and Construction Liquidity Factors 1. **Factor Name**: Monetary Direction Factor - **Construction Idea**: Measures the direction of monetary policy based on changes in central bank policy rates and short-term market rates over the past 90 days[12] - **Construction Process**: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor > 0, monetary policy is deemed accommodative; if < 0, it is deemed tight[12] - **Current View**: The factor is positive this week, signaling accommodative monetary policy, with a score of 1[12] 2. **Factor Name**: Monetary Strength Factor - **Construction Idea**: Captures the deviation of short-term market rates from policy rates using the "interest rate corridor" concept[15] - **Construction Process**: - Compute the deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - If the factor < -1.5 standard deviations, it signals a loose environment (score = 1); if > 1.5 standard deviations, it signals a tight environment (score = -1)[15] - **Current View**: The factor signals a tight environment this week, with a score of -1[15] 3. **Factor Name**: Credit Direction Factor - **Construction Idea**: Reflects the transmission of credit to the real economy using medium- and long-term loan data[18] - **Construction Process**: - Calculate the year-over-year growth of the past 12 months' medium- and long-term loan increments - If the factor rises compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1)[18] - **Current View**: The factor is in an upward trend this week, signaling a positive outlook, with a score of 1[19] 4. **Factor Name**: Credit Strength Factor - **Construction Idea**: Measures whether credit data significantly exceeds or falls short of expectations[21] - **Construction Process**: - Compute the credit strength factor = (new RMB loans - median forecast) / forecast standard deviation - If the factor > 1.5 standard deviations, it signals a significantly positive credit environment (score = 1); if < -1.5 standard deviations, it signals a negative environment (score = -1)[21] - **Current View**: The factor signals a negative environment this week, with a score of -1[21] --- Backtesting Results of Factors Liquidity Factors 1. **Monetary Direction Factor**: Current score = 1[12] 2. **Monetary Strength Factor**: Current score = -1[15] 3. **Credit Direction Factor**: Current score = 1[19] 4. **Credit Strength Factor**: Current score = -1[21]

Quantitative Models and Construction Methods - **Model Name**: Timing Radar Hexagon **Model Construction Idea**: This model evaluates equity market performance based on multiple dimensions, including liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score within the range of [-1, 1][2][7][9] **Model Construction Process**: The model selects 21 indicators across six dimensions, normalizes their scores, and aggregates them into four broader categories. The final timing score is calculated as a weighted average of these categories[2][7][9] **Model Evaluation**: The model provides a comprehensive and multi-dimensional perspective on market timing, offering insights into market sentiment and potential turning points[2][7][9] Quantitative Factors and Construction Methods - **Factor Name**: Monetary Direction Factor **Factor Construction Idea**: This factor assesses the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days[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 value > 0, monetary policy is deemed accommodative; if < 0, it is deemed tight[13] **Factor Evaluation**: Provides a clear signal of monetary policy direction, aiding in market timing[13] - **Factor Name**: Monetary Strength Factor **Factor Construction Idea**: This factor measures the deviation of short-term market rates from policy rates using the "interest rate corridor" concept[16] **Factor Construction Process**: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth and standardize the deviation using z-scores - Assign scores based on thresholds: <-1.5 SD (accommodative, score = 1), >1.5 SD (tight, score = -1)[16] **Factor Evaluation**: Effectively captures short-term liquidity conditions relative to policy rates[16] - **Factor Name**: Credit Direction Factor **Factor Construction Idea**: This factor evaluates the trend in credit transmission to the real economy using medium- and long-term loan data[19] **Factor Construction Process**: - Calculate the year-over-year growth of medium- and long-term loans over the past 12 months - Compare the current trend to three months prior - Assign scores: upward trend (score = 1), downward trend (score = -1)[19] **Factor Evaluation**: Reflects the credit environment's impact on economic activity[19] - **Factor Name**: Credit Strength Factor **Factor Construction Idea**: This factor measures whether credit data significantly exceeds or falls short of expectations[22] **Factor Construction Process**: - Compute: $ \text{Credit Strength Factor} = \frac{\text{New RMB Loans (Current Month) - Median Expectation}}{\text{Standard Deviation of Expectations}} $ - Assign scores based on thresholds: >1.5 SD (credit exceeds expectations, score = 1), <-1.5 SD (credit falls short, score = -1)[22] **Factor Evaluation**: Captures unexpected changes in credit conditions, providing insights into market sentiment[22] - **Factor Name**: Growth Direction Factor **Factor Construction Idea**: This factor uses PMI data to assess the direction of economic growth[23] **Factor Construction Process**: - Calculate the 12-month moving average of PMI data and its year-over-year change - Compare the current trend to three months prior - Assign scores: upward trend (score = 1), downward trend (score = -1)[23] **Factor Evaluation**: Provides a timely signal of economic growth trends[23] - **Factor Name**: Growth Strength Factor **Factor Construction Idea**: This factor evaluates whether economic growth data significantly exceeds or falls short of expectations[27] **Factor Construction Process**: - Compute: $ \text{Growth Strength Factor} = \frac{\text{PMI - Median Expectation}}{\text{Standard Deviation of Expectations}} $ - Assign scores based on thresholds: >1.5 SD (growth exceeds expectations, score = 1), <-1.5 SD (growth falls short, score = -1)[27] **Factor Evaluation**: Highlights unexpected changes in economic growth, aiding in market timing[27] - **Factor Name**: Inflation Direction Factor **Factor Construction Idea**: This factor assesses the direction of inflation using CPI and PPI data[28] **Factor Construction Process**: - Compute: $ \text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI YoY} + 0.5 \times \text{Raw PPI YoY} $ - Compare the current trend to three months prior - Assign scores: downward trend (score = 1), upward trend (score = -1)[28] **Factor Evaluation**: Reflects the inflationary environment's impact on monetary policy and market sentiment[28] - **Factor Name**: Inflation Strength Factor **Factor Construction Idea**: This factor evaluates whether inflation data significantly exceeds or falls short of expectations[32] **Factor Construction Process**: - Compute the average of CPI and PPI expectation deviations: $ \text{Inflation Strength Factor} = \frac{\text{CPI Deviation + PPI Deviation}}{2} $ - Assign scores based on thresholds: <-1.5 SD (inflation falls short, score = 1), >1.5 SD (inflation exceeds, score = -1)[32] **Factor Evaluation**: Captures unexpected changes in inflation, aiding in market timing[32] - **Factor Name**: Shiller ERP **Factor Construction Idea**: This factor adjusts earnings for inflation and economic cycles to evaluate equity valuation[33] **Factor Construction Process**: - Compute: $ \text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield} $ - Standardize using a 3-year z-score[33] **Factor Evaluation**: Provides a long-term perspective on equity valuation relative to bonds[33] - **Factor Name**: PB **Factor Construction Idea**: This factor evaluates equity valuation using the price-to-book ratio[37] **Factor Construction Process**: - Compute: $ \text{PB Score} = \text{PB} \times (-1) $ - Standardize using a 3-year z-score, truncating at ±1.5 SD[37] **Factor Evaluation**: Offers insights into market valuation extremes[37] - **Factor Name**: AIAE **Factor Construction Idea**: This factor measures aggregate investor allocation to equities, reflecting market risk appetite[39] **Factor Construction Process**: - Compute: $ \text{AIAE} = \frac{\text{Total Market Cap of CSI All Share}}{\text{Total Market Cap + Total Debt}} $ - Standardize using a 3-year z-score[39] **Factor Evaluation**: Captures shifts in market-wide risk preferences[39] Backtesting Results of Factors - **Monetary Direction Factor**: Current score = 1[13] - **Monetary Strength Factor**: Current score = -1[17] - **Credit Direction Factor**: Current score = 1[19] - **Credit Strength Factor**: Current score = -1[22] - **Growth Direction Factor**: Current score = -1[23] - **Growth Strength Factor**: Current score = -1[27] - **Inflation Direction Factor**: Current score = 1[28] - **Inflation Strength Factor**: Current score = 0[32] - **Shiller ERP**: Current score = -0.12[33] - **PB**: Current score = -0.86[37] - **AIAE**: Current score = -0.68[39]