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]

Quantitative Models and Construction 1. Model Name: Timing Radar Six-Facet Framework - **Model Construction Idea**: The model evaluates equity market performance through a multi-dimensional perspective, incorporating 21 indicators categorized into four major dimensions: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" These dimensions are aggregated into a comprehensive timing score within the range of [-1, 1][1][6][8] - **Model Construction Process**: - The 21 indicators are grouped into six facets: liquidity, economic conditions, valuation, funds, technicals, and crowdedness - Each indicator is normalized and scored based on its historical distribution, with the final score for each dimension being the average of its respective indicators - The comprehensive timing score is calculated as the weighted average of the four major dimensions[1][6][8] - **Model Evaluation**: The model provides a systematic and multi-dimensional approach to market timing, offering insights into market conditions from various perspectives[1][6] --- Quantitative Factors and Construction 1. 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[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 restrictive[12] - **Factor Evaluation**: The factor effectively captures the directional stance of monetary policy, providing a clear signal for market conditions[12] 2. 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[15] - **Factor Construction Process**: - Compute the deviation as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ - Smooth the deviation and calculate its z-score - If the z-score < -1.5, the environment is deemed accommodative (score = 1); if > 1.5, it is restrictive (score = -1)[15] - **Factor Evaluation**: The factor provides a quantitative measure of liquidity conditions, aiding in the assessment of monetary policy impact[15] 3. Factor Name: Credit Direction Factor - **Factor Construction Idea**: This factor evaluates the transmission of credit to the real economy using medium- and long-term loan data[17] - **Factor Construction Process**: - Calculate the year-over-year growth of medium- and long-term loans over the past 12 months - Compare the current value to its level three months ago - If the factor value is rising, it signals a positive credit environment (score = 1); otherwise, it signals a negative environment (score = -1)[17] - **Factor Evaluation**: The factor captures the dynamics of credit transmission, providing insights into economic conditions[17] 4. Factor Name: Credit Strength Factor - **Factor Construction Idea**: This factor measures whether credit data significantly exceeds or falls short of expectations[21] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected new RMB loans - If the z-score > 1.5, the environment is deemed credit-positive (score = 1); if < -1.5, it is credit-negative (score = -1)[21] - **Factor Evaluation**: The factor quantifies the surprise element in credit data, offering a predictive signal for market conditions[21] 5. Factor Name: Growth Direction Factor - **Factor Construction Idea**: This factor uses PMI data to assess the direction of economic growth[24] - **Factor Construction Process**: - Calculate the 12-month moving average of PMI data and its year-over-year change - Compare the current value to its level three months ago - If the factor value is rising, it signals positive growth (score = 1); otherwise, it signals negative growth (score = -1)[24] - **Factor Evaluation**: The factor provides a timely measure of economic growth trends, aiding in macroeconomic analysis[24] 6. Factor Name: Growth Strength Factor - **Factor Construction Idea**: This factor measures whether economic growth data significantly exceeds or falls short of expectations[26] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected PMI values - If the z-score > 1.5, the environment is deemed growth-positive (score = 1); if < -1.5, it is growth-negative (score = -1)[26] - **Factor Evaluation**: The factor captures the surprise element in growth data, providing a predictive signal for economic conditions[26] 7. Factor Name: Inflation Direction Factor - **Factor Construction Idea**: This factor assesses the direction of inflation using CPI and PPI data[30] - **Factor Construction Process**: - Compute the weighted average of smoothed CPI and raw PPI year-over-year changes - Compare the current value to its level three months ago - If the factor value is declining, it signals a disinflationary environment (score = 1); otherwise, it signals an inflationary environment (score = -1)[30] - **Factor Evaluation**: The factor provides insights into inflation trends, aiding in monetary policy analysis[30] 8. Factor Name: Inflation Strength Factor - **Factor Construction Idea**: This factor measures whether inflation data significantly exceeds or falls short of expectations[31] - **Factor Construction Process**: - Compute the z-score of the difference between actual and expected CPI and PPI values - If the z-score < -1.5, the environment is deemed disinflationary (score = 1); if > 1.5, it is inflationary (score = -1)[31] - **Factor Evaluation**: The factor quantifies the surprise element in inflation data, offering a predictive signal for monetary policy[31] --- Backtesting Results of Factors 1. Monetary Direction Factor - Current score: 1[12] 2. Monetary Strength Factor - Current score: -1[15] 3. Credit Direction Factor - Current score: 1[17] 4. Credit Strength Factor - Current score: -1[21] 5. Growth Direction Factor - Current score: -1[24] 6. Growth Strength Factor - Current score: 1[26] 7. Inflation Direction Factor - Current score: 1[30] 8. Inflation Strength Factor - Current score: 0[32]

Quantitative Models and Construction Methods Model Name: Timing Radar Six-Factor Model - **Model Construction Idea**: The model aims to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding. It summarizes these into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score between [-1,1][1][6]. - **Model Construction Process**: - **Liquidity**: Includes indicators like monetary strength 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[12][15][18][21]. - **Economic Conditions**: Includes indicators like inflation direction and growth direction. For instance, the growth direction factor is based on PMI data, calculated as the 12-month moving average and year-over-year change[22][26][27][31]. - **Valuation**: Includes indicators like Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE minus the 10-year government bond yield, with a z-score over the past three years[32][36][39]. - **Capital Flows**: Includes indicators like margin trading increment and trading volume trend. For example, the margin trading increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short selling balance[41][44][47][49]. - **Technical Indicators**: Includes indicators like price trend and new highs and lows. For example, the price trend is measured using the distance between the 120-day and 240-day moving averages[51][54]. - **Crowding**: Includes indicators like implied premium/discount from derivatives and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship in options[57][62][65]. - **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, making it a robust tool for market timing[1][6]. Model Backtesting Results - **Current Comprehensive Score**: -0.10, indicating a neutral view overall[1][6]. - **Liquidity Score**: 0.00, indicating a neutral signal[8]. - **Economic Conditions Score**: 0.00, indicating a neutral signal[8]. - **Valuation Score**: -0.11, indicating a slightly bearish signal[8]. - **Capital Flows Score**: 0.00, indicating a neutral signal[8]. - **Technical Indicators Score**: -0.50, indicating a bearish signal[8]. - **Crowding Score**: -0.13, indicating a slightly bearish signal[8]. Quantitative Factors and Construction Methods Factor Name: Monetary Direction Factor - **Factor Construction Idea**: To determine the direction of current monetary policy by comparing 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 is greater than 0, it indicates a loose monetary policy; if less than 0, it indicates a tight monetary policy[12]. - **Factor Evaluation**: Provides a clear indication of the monetary policy direction, which is crucial for market timing[12]. Factor Name: Credit Direction Factor - **Factor Construction Idea**: To measure the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators[18]. - **Factor Construction Process**: - Calculate the monthly value of long-term loans. - Compute the year-over-year change over the past 12 months. - If the factor is rising compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18]. - **Factor Evaluation**: Effectively captures the credit conditions in the economy, which is vital for assessing market liquidity[18]. Factor Backtesting Results - **Monetary Direction Factor**: Score of 1, indicating a bullish signal[12]. - **Credit Direction Factor**: Score of 1, indicating a bullish signal[18]. - **Monetary Strength Factor**: Score of -1, indicating a bearish signal[15]. - **Credit Strength Factor**: Score of -1, indicating a bearish signal[21]. - **Growth Direction Factor**: Score of -1, indicating a bearish signal[22]. - **Growth Strength Factor**: Score of -1, indicating a bearish signal[26]. - **Inflation Direction Factor**: Score of 1, indicating a bullish signal[27]. - **Inflation Strength Factor**: Score of 1, indicating a bullish signal[31]. - **Shiller ERP**: Score of 0.16, indicating a slightly bearish signal[32]. - **PB**: Score of -0.38, indicating a bearish signal[36]. - **AIAE**: Score of -0.11, indicating a slightly bearish signal[39]. - **Margin Trading Increment**: Score of -1, indicating a bearish signal[41]. - **Trading Volume Trend**: Score of -1, indicating a bearish signal[44]. - **China Sovereign CDS Spread**: Score of 1, indicating a bullish signal[47]. - **Overseas Risk Aversion Index**: Score of 1, indicating a bullish signal[49]. - **Price Trend**: Score of 0, indicating a neutral signal[51]. - **New Highs and Lows**: Score of -1, indicating a bearish signal[54]. - **Implied Premium/Discount**: Score of 1, indicating a bullish signal[57]. - **Implied Volatility (VIX)**: Score of 0, indicating a neutral signal[58]. - **Implied Skewness (SKEW)**: Score of -1, indicating a bearish signal[62]. - **Convertible Bond Pricing Deviation**: Score of -0.51, indicating a bearish signal[65].

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 ...

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 ...

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 ...

Quantitative Models and Construction Methods - **Model Name**: Timing Radar Six-Factor Framework **Model Construction Idea**: The model evaluates equity market performance by integrating 21 indicators across six dimensions: liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding. These are further categorized into four major groups: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1,1][1][5][7] **Model Construction Process**: 1. Select 21 indicators across six dimensions to represent market characteristics 2. Group indicators into four categories: - Valuation Cost-Effectiveness - Macro Fundamentals - Capital & Trend - Crowding & Reversal 3. Normalize the scores of each indicator to a range of [-1,1] 4. Aggregate the scores to compute a composite timing score within [-1,1][1][5][7] **Model Evaluation**: The model provides a comprehensive multi-dimensional perspective for market timing, offering insights into market trends and sentiment[1][5][7] Model Backtesting Results - **Timing Radar Six-Factor Framework**: - Composite Timing Score: -0.21 (Neutral to slightly bearish)[1][5][7] - Liquidity Score: -1.00 (Significant bearish signal)[1][7][9] - Economic Fundamentals Score: 0.00 (No significant signal)[1][7][9] - Valuation Score: -0.17 (Neutral signal)[1][7][9] - Capital & Trend Score: 0.50 (Significant bullish signal)[1][7][9] - Technical Trends Score: 0.00 (No significant signal)[1][7][9] - Crowding & Reversal Score: -0.69 (Significant bearish signal)[1][7][9] Quantitative Factors and Construction Methods Liquidity Factors - **Factor Name**: Monetary Direction Factor **Construction Idea**: Measures the direction of monetary policy using central bank policy rates and short-term market rates **Construction Process**: - Calculate the average change in policy and market rates over the past 90 days - If the factor > 0, monetary policy is deemed expansionary; if < 0, it is contractionary **Current View**: The factor is < 0, signaling a bearish outlook with a score of -1[11][13] - **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 **Construction Process**: - Compute deviation = DR007/7-year reverse repo rate - 1 - Smooth and normalize using z-score - If the factor < -1.5 standard deviations, it indicates a bullish environment; if > 1.5, it is bearish **Current View**: The factor signals a bearish outlook with a score of -1[14][15][16] - **Factor Name**: Credit Direction Factor **Construction Idea**: Reflects the transmission of credit from banks to the real economy using long-term loan data **Construction Process**: - Calculate the 12-month incremental change in long-term loans - Compare the year-over-year change to three months prior - If the factor is rising, it is bullish; if falling, it is bearish **Current View**: The factor signals a bearish outlook with a score of -1[17][19] - **Factor Name**: Credit Intensity Factor **Construction Idea**: Captures whether credit metrics significantly exceed or fall short of expectations **Construction Process**: - Compute = (New RMB loans - median forecast) / forecast standard deviation - Normalize using z-score - If the factor > 1.5 standard deviations, it is bullish; if < -1.5, it is bearish **Current View**: The factor signals a bearish outlook with a score of -1[20][22] Economic Factors - **Factor Name**: Growth Direction Factor **Construction Idea**: Based on PMI data, measures the trend of economic growth **Construction Process**: - Calculate the 12-month moving average of PMI data - Compare the year-over-year change to three months prior - If the factor is rising, it is bullish; if falling, it is bearish **Current View**: The factor signals a bullish outlook with a score of 1[23][24] - **Factor Name**: Growth Intensity Factor **Construction Idea**: Captures whether economic growth metrics significantly exceed or fall short of expectations **Construction Process**: - Compute PMI surprise = (PMI - median forecast) / forecast standard deviation - Normalize using z-score - If the factor > 1.5 standard deviations, it is bullish; if < -1.5, it is bearish **Current View**: The factor signals a bearish outlook with a score of -1[25][27] - **Factor Name**: Inflation Direction Factor **Construction Idea**: Measures the trend of inflation using CPI and PPI data **Construction Process**: - Compute = 0.5 × smoothed CPI year-over-year + 0.5 × raw PPI year-over-year - Compare the change to three months prior - If the factor is falling, it is bullish; if rising, it is bearish **Current View**: The factor signals a bearish outlook with a score of -1[28][30] - **Factor Name**: Inflation Intensity Factor **Construction Idea**: Captures whether inflation metrics significantly exceed or fall short of expectations **Construction Process**: - Compute CPI and PPI surprises = (Reported value - median forecast) / forecast standard deviation - Average the two surprises to form the factor - If the factor < -1.5, it is bullish; if > 1.5, it is bearish **Current View**: The factor signals a bullish outlook with a score of 1[31][33] Valuation Factors - **Factor Name**: Shiller ERP **Construction Idea**: Adjusts for economic cycles to evaluate market valuation **Construction Process**: - Compute Shiller PE = average inflation-adjusted earnings over the past six years - Compute ERP = 1/Shiller PE - 10-year government bond yield - Normalize using z-score over the past three years **Current View**: The factor score decreased to 0.39[34][38] - **Factor Name**: PB **Construction Idea**: Similar to ERP, evaluates market valuation using price-to-book ratio **Construction Process**: - Compute PB × (-1) - Normalize using z-score over the past three years - Truncate to ±1 range **Current View**: The factor score decreased to -0.49[36][39] - **Factor Name**: AIAE **Construction Idea**: Reflects market-wide equity allocation and risk appetite **Construction Process**: - Compute AIAE = total market cap of CSI All Share Index / (total market cap + total debt) - Multiply by (-1) and normalize using z-score over the past three years **Current View**: The factor score decreased to -0.41[40][42] Capital Flow Factors - **Factor Name**: Margin Trading Increment **Construction Idea**: Measures market leverage and sentiment using margin trading data **Construction Process**: - Compute = financing balance - short selling balance - Compare the 120-day moving average increment to the 240-day moving average increment - If the short-term increment > long-term increment, it is bullish; otherwise, bearish **Current View**: The factor signals a bullish outlook with a score of 1[44][46] - **Factor Name**: Turnover Trend **Construction Idea**: Measures market activity and capital flow using turnover data **Construction Process**: - Compute log turnover moving average distance = ma120/ma240 - 1 - If the maximum of the 10, 30, and 60-day distances is positive, it is bullish; otherwise, bearish **Current View**: The factor signals a bullish outlook with a score of 1[47][49] - **Factor Name**: China Sovereign CDS Spread **Construction Idea**: Reflects foreign investors' sentiment towards China's credit risk **Construction Process**: - Compute the 20-day difference of smoothed CDS spreads - If the difference < 0, it is bullish; otherwise, bearish **Current View**: The factor signals a bullish outlook with a score of 1[50][51] - **Factor Name**: Overseas Risk Aversion Index **Construction Idea**: Captures global risk sentiment using Citi RAI Index **Construction Process**: - Compute the 20-day difference of smoothed RAI - If the difference < 0, it is bullish; otherwise, bearish **Current View**: The factor signals a bearish outlook with a score