6月份了，市场里到处是科技回暖的呼声，但真相藏在哪儿呢？别急，我来帮你拨开迷雾。文章最后还有关键彩蛋，保准让你眼前一亮！ 一、科技回暖的迷雾：是希望还是泡沫？ 大家最近都在琢磨科技板块能不能回暖，从市场表现看，科技板块前阵子确实有点蔫儿，成交量都跌到冰点了。 卖方机构们可没闲着，他们使劲儿吆喝：科技要翻身啦！逻辑是啥？就是这成交量冰点，意味着市场情绪触底，反弹在即。 朋友们！今天咱们聊聊一个让股民们心痒痒的话题——科技板块的春天啥时候来？ A股现在有点拧巴，好多人都等着出个王炸级应用再跟风买科技股。 但美股早就用数据说话了——微软3月Token量直接飙到前两个月总和，谷歌4月Token量同比猛涨，就靠这俩数据，微软股价直接刷了新高。 咱国内也没闲着，阿里云日Token量最近也狂涨，说白了，不管中美，应用端都在闷头搞测试、冲用量，这明摆着是科技行业要热闹起来的信号啊！ 但普通股民往往后知后觉——等行情出来再追，黄花菜都凉了，大家一窝蜂跟风，结果总慢半拍。散户在信息链末端，容易错失先机。 二、机构资金的隐形游戏：温水煮青蛙 话说回来，光听机构喊口号可不行。股市里，真正有戏的个股，早被机构盯上了。 他们像老练的猎手 ...

Group 1: Real Estate Market Trends - The current new home prices have not yet reached the bottom, with second-hand home prices generally 25% to 40% lower than new homes, and continuing to decline. In April, first-tier cities saw a 0.2% month-on-month decrease in second-hand home prices, while second and third-tier cities experienced a 0.4% decline [1][3] - Concerns about a prolonged downturn similar to Japan's are unfounded, as China's real estate market is currently in an adjustment phase following rapid growth from 2015 to 2017. This adjustment does not equate to a market collapse, as cyclical recovery is expected [3] Group 2: Stock Market Insights - Both the stock and real estate markets exhibit cyclical behavior, with bull markets often emerging during periods of market despair. Despite recent index declines, underlying support mechanisms remain [4] - The presence of institutional investors in stocks does not guarantee profitability for retail investors, as institutional strategies may shift with market conditions. The focus should be on the trading behavior of institutions rather than mere participation [6] Group 3: Understanding Institutional Trading - Institutional trading is characterized by large volumes and discreet operations, making it essential to utilize quantitative analysis to uncover their true actions, such as accumulation or distribution of shares [8] - Indicators such as the density of orange bars (indicating active institutional trading) and blue circles (indicating potential washout tactics) can provide insights into institutional strategies. For instance, repeated downward movements may signal preparation for a significant upward movement [10][13] Group 4: Identifying Market Signals - To determine the end of a washout phase, it is crucial to analyze two sets of data: a shift from blue candlesticks to blue bars indicates a return of previously sold funds, while dense orange bars suggest concentrated institutional holdings [13] - Retail investors often face losses due to a lack of understanding of institutional trading behaviors. By interpreting data accurately, investors can avoid being shaken out of positions during volatile periods [15]

择时雷达六面图：信用指标弱化，拥挤度分数下行 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。 证券研究报告 | 金融工程 gszqdatemark 2025 05 17 年 月 日 量化分析报告 本周综合打分。本周市场的估值性价比、宏观基本面、资金&趋势、拥挤 度&反转这四个维度分数均有所下降，综合打分位于[-1,1]之间，当前的综 合打分为 0.18 分，整体为中性偏多观点。当前六面图各个维度的观点如 下： 流动性。本周货币强度、信用方向、信用强度发出看空信号，货币方向 发出看多信号，当前流动性得分为-0.50 分，综合来看发出看空信号。 经济面。本周增长方向、通胀方向与通胀强度指标发出看多信号，当前 经济面得分为 0.75 分，综合来看发出看多信号。 估值面。本周席勒 ERP、PB 与 AIAE 指标的打分均下降，当前市场的 估值面得分为 0.28 分 ...

Quantitative Models and Construction 1. Model Name: Timing Radar Six-Factor Framework - **Model Construction Idea**: The equity market is influenced by multiple dimensions. This model selects 21 indicators from six perspectives: liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding. These are summarized into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score within the range of [-1, 1][1][6][8] - **Model Construction Process**: - The 21 indicators are grouped into six dimensions, and their scores are aggregated into four broader categories. - The final timing score is calculated as a weighted average of these categories, normalized to the range of [-1, 1][1][6][8] - **Model Evaluation**: The model provides a comprehensive and multi-dimensional view of market timing, integrating macroeconomic, technical, and sentiment factors[1][6] --- Quantitative Factors and Construction 1. Factor Name: Monetary Direction Factor - **Factor Construction Idea**: This factor aims to determine the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days[12] - **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[12] - **Factor Evaluation**: Effectively captures the directional bias of monetary policy[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[15] - **Factor Construction Process**: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth and normalize the deviation using z-scores - Assign scores based on thresholds: <-1.5 SD indicates a loose environment (score = 1), >1.5 SD indicates a tight environment (score = -1)[15] - **Factor Evaluation**: Provides a quantitative measure of liquidity conditions in the short-term market[15] 3. Factor Name: Credit Direction Factor - **Factor Construction Idea**: Measures the transmission of credit from banks to the real economy using long-term loan data[18] - **Factor Construction Process**: - Calculate the year-over-year growth of long-term loans over the past 12 months - Compare the current value to its level three months ago - If the factor is rising, assign a score of 1; if falling, assign a score of -1[18] - **Factor Evaluation**: Captures the directional trend of credit expansion or contraction[18] 4. Factor Name: Credit Strength Factor - **Factor Construction Idea**: Measures whether credit data significantly exceeds or falls short of expectations[20] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected new RMB loans: $ \text{Credit Strength Factor} = \frac{\text{Actual Loans} - \text{Expected Median}}{\text{Expected Standard Deviation}} $ - Assign scores based on thresholds: >1.5 SD indicates a strong credit environment (score = 1), <-1.5 SD indicates a weak credit environment (score = -1)[20] - **Factor Evaluation**: Quantifies the surprise element in credit data[20] 5. Factor Name: Growth Direction Factor - **Factor Construction Idea**: Based on PMI data, this factor identifies the directional trend of economic growth[21] - **Factor Construction Process**: - Compute the year-over-year change in the 12-month moving average of PMI data - Compare the current value to its level three months ago - If the factor is rising, assign a score of 1; if falling, assign a score of -1[21] - **Factor Evaluation**: Tracks the momentum of economic growth effectively[21] 6. Factor Name: Growth Strength Factor - **Factor Construction Idea**: Measures whether economic growth data significantly exceeds or falls short of expectations[25] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected PMI values: $ \text{Growth Strength Factor} = \frac{\text{Actual PMI} - \text{Expected Median}}{\text{Expected Standard Deviation}} $ - Assign scores based on thresholds: >1.5 SD indicates strong growth (score = 1), <-1.5 SD indicates weak growth (score = -1)[25] - **Factor Evaluation**: Captures the surprise element in economic growth data[25] 7. Factor Name: Inflation Direction Factor - **Factor Construction Idea**: Reflects the impact of inflation trends on monetary policy and equity markets[26] - **Factor Construction Process**: - Compute the weighted average of smoothed CPI and raw PPI year-over-year changes: $ \text{Inflation Direction Factor} = 0.5 \times \text{CPI} + 0.5 \times \text{PPI} $ - Compare the current value to its level three months ago - If the factor is falling, assign a score of 1; if rising, assign a score of -1[26] - **Factor Evaluation**: Provides insights into the inflationary environment and its implications for monetary policy[26] 8. Factor Name: Inflation Strength Factor - **Factor Construction Idea**: Measures whether inflation data significantly exceeds or falls short of expectations[29] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected CPI and PPI values: $ \text{Inflation Strength Factor} = \frac{\text{CPI Difference} + \text{PPI Difference}}{2} $ - Assign scores based on thresholds: <-1.5 SD indicates low inflation (score = 1), >1.5 SD indicates high inflation (score = -1)[29] - **Factor Evaluation**: Quantifies the surprise element in inflation data[29] --- Factor Backtesting Results 1. Monetary Direction Factor - Current Score: 1[12] 2. Monetary Strength Factor - Current Score: -1[16] 3. Credit Direction Factor - Current Score: -1[18] 4. Credit Strength Factor - Current Score: 1[20] 5. Growth Direction Factor - Current Score: 1[21] 6. Growth Strength Factor - Current Score: 0[25] 7. Inflation Direction Factor - Current Score: 1[26] 8. Inflation Strength Factor - Current Score: 1[29]

证券研究报告 | 金融工程 gszqdatemark 2025 05 04 年 月 日 量化分析报告 择时雷达六面图：拥挤度&反转维度分数显著上升 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有所上升，宏观基本面中性偏多， 市场的资金&趋势信号有所弱化信号偏空，拥挤度&反转指标显著偏多，综 合打分位于[-1,1]之间，当前的综合打分为 0.23 分，整体为中性偏多观点。 当前六面图各个维度的观点如下： 流动性。本周货币方向、货币强度、信用方向均发出看空信号，信用强 度发出看多信号，当前流动性得分为-0.50 分，综合来看发出看空信号。 经济面。本周增长方向、通胀方向与通胀强度指标发出看多信号，当前 经济面得分为 0.75 分，综合来看发出看多信号。 估值面。本周席勒 ERP、PB 与 AIAE 指标的打分均上升，当前市 ...

资产配置月报 202505 五月配置视点：黄金见顶了吗？ 2025 年 05 月 05 日 ➢ 黄金见顶了吗？ 美国经济在关税政策影响下一季度增速转负，结构上韧性减弱，市场对于美国经 济衰退的预期上升；美国就业市场温和降温，对黄金有正面影响但较弱；美国财 政方面近期虽然增速有所放缓，但是主要由国防支出减少导致，非国防消费支出 和投资依旧维持增长，财政长期扩张趋势未完全扭转，依旧支撑黄金表现；技术 层面黄金过去积累对应的上涨空间已基本兑现，未来价格继续上行需要进一步积 累或者有新增增量资金入场，短期或较为疲软。综合来说，黄金短期或阶段性休 整，但是长期上涨逻辑不变（或由单一财政逻辑转向叠加经济衰退的逻辑）。 ➢ 大类资产量化观点 1. 权益：Q1 财报景气度回升，五月积极应对。景气度 4 月整体走平，金融中 银行、非银景气度都进一步下降，工业景气度有所回升；上市公司 2024 年年报 以及 2025 年一季报反映了积极变化。信用或继续稳步扩张，政府债券仍占主导； 从结构来看，高增主要来源于去年同期的低基数，政府债券继续支撑社融增长。 4 月市场如我们预期先下后上，目前市场遇强支撑，5 月静待成交放量。 2. 利 ...

证券研究报告 | 金融工程 gszqdatemark 2025 04 26 年 月 日 量化分析报告 择时雷达六面图：本周打分无显著变化 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有所下降，宏观基本面中性，市场 的资金&趋势信号有所弱化信号偏空，拥挤度&反转指标显著偏多，综合打 分位于[-1,1]之间，当前的综合打分为 0.08 分，整体为中性偏多观点。当 前六面图各个维度的观点如下： 流动性。本周货币方向、货币强度、信用方向均发出看空信号，信用强 度发出看多信号，当前流动性得分为-0.50 分，综合来看发出看空信号。 经济面。本周增长方向、通胀方向与通胀强度指标发出看多信号，而增 长强度发出看空信号，当前经济面得分为 0.50 分，综合来看发出看多信 号。 估值面。由于市场上行，本周席勒 ERP、PB 与 AIAE ...