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].

证券研究报告 | 金融工程 gszqdatemark 2025 06 21 年 月 日 量化分析报告 择时雷达六面图：本周综合打分维持中性 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下降，宏观基本面、资金&趋势与 拥挤度&反转分数变化不大，综合打分位于[-1,1]之间，当前的综合打分为 0.07 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。本周货币强度、信用强度发出看空信号，货币方向、信用方向 发出看多信号，当前流动性得分为 0.00 分，综合来看信号中性。 经济面。本周通胀方向与通胀强度指标发出看多信号，增长方向与增长 强度发出看空信号，当前经济面得分为 0.00 分，综合来看信号中性。 估值面。本周席勒 ERP、PB 与 AIAE 指标的分数变化不大，当前市场 的估值面得分为 0.09 分，综合来 ...