Quantitative Models and Construction - **Model Name**: Timing Radar Six-Dimensional Framework **Model Construction Idea**: The model integrates multi-dimensional indicators to assess equity market performance, categorizing them into four major dimensions: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal," generating a composite timing score within [-1,1] range [1][6][9] **Model Construction Process**: 1. Select 21 indicators across liquidity, economic fundamentals, valuation, funds, technical trends, and crowdedness dimensions [1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" [1][6] 3. Calculate a composite timing score within the range [-1,1] based on the aggregated indicators [1][6] **Model Evaluation**: Provides a comprehensive view of market conditions, but its effectiveness depends on stable market environments [1][6] Quantitative Factors and Construction Liquidity Factors - **Factor Name**: Monetary Direction Factor **Factor Construction Idea**: Measures the direction of monetary policy based on changes in policy rates and short-term market rates [12] **Factor Construction Process**: 1. Calculate the average change in policy rates and short-term market rates over the past 90 days 2. If the factor > 0, monetary policy is considered loose; if < 0, monetary policy is considered tight [12] **Factor Evaluation**: Effectively captures monetary policy trends [12] - **Factor Name**: Monetary Strength Factor **Factor Construction Idea**: Represents the deviation of short-term market rates from policy rates using the "interest rate corridor" concept [15] **Factor Construction Process**: 1. Compute deviation = DR007/7-year reverse repo rate - 1 2. Smooth and standardize the deviation using z-score 3. Assign scores: <-1.5 SD = 1 (loose environment), >1.5 SD = -1 (tight environment) [15] **Factor Evaluation**: Captures short-term liquidity deviations effectively [15] - **Factor Name**: Credit Direction Factor **Factor Construction Idea**: Reflects the transmission of credit from banks to the real economy [18] **Factor Construction Process**: 1. Use monthly long-term loan data 2. Calculate past 12-month increments and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [18] **Factor Evaluation**: Provides insights into credit transmission trends [18] - **Factor Name**: Credit Strength Factor **Factor Construction Idea**: Measures whether credit indicators significantly exceed or fall short of expectations [21] **Factor Construction Process**: 1. Compute deviation = (new RMB loans - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (credit exceeds expectations), <-1.5 SD = -1 (credit falls short) [21] **Factor Evaluation**: Captures unexpected credit changes effectively [21] Economic Factors - **Factor Name**: Growth Direction Factor **Factor Construction Idea**: Based on PMI data to assess economic growth trends [23] **Factor Construction Process**: 1. Use PMI data (manufacturing, non-manufacturing, Caixin manufacturing) 2. Calculate past 12-month averages and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [23] **Factor Evaluation**: Reflects economic growth trends effectively [23] - **Factor Name**: Growth Strength Factor **Factor Construction Idea**: Measures whether economic growth indicators significantly exceed or fall short of expectations [26] **Factor Construction Process**: 1. Compute deviation = (PMI - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (growth exceeds expectations), <-1.5 SD = -1 (growth falls short) [26] **Factor Evaluation**: Captures unexpected economic growth changes effectively [26] - **Factor Name**: Inflation Direction Factor **Factor Construction Idea**: Assesses inflation trends based on CPI and PPI data [28] **Factor Construction Process**: 1. Compute inflation direction = 0.5 × smoothed CPI YoY + 0.5 × raw PPI YoY 2. Compare with three months prior: downward trend = 1, upward trend = -1 [28] **Factor Evaluation**: Reflects inflation trends effectively [28] - **Factor Name**: Inflation Strength Factor **Factor Construction Idea**: Measures whether inflation indicators significantly exceed or fall short of expectations [30] **Factor Construction Process**: 1. Compute deviation = (CPI/PPI - median forecast)/forecast SD 2. Assign scores: <-1.5 SD = 1 (inflation falls short), >1.5 SD = -1 (inflation exceeds expectations) [30] **Factor Evaluation**: Captures unexpected inflation changes effectively [30] Valuation Factors - **Factor Name**: Shiller ERP **Factor Construction Idea**: Adjusts earnings for inflation to assess market valuation [31] **Factor Construction Process**: 1. Compute Shiller PE = average inflation-adjusted earnings over the past six years 2. Calculate Shiller ERP = 1/Shiller PE - 10-year bond yield 3. Standardize using z-score over the past six years [31] **Factor Evaluation**: Provides a robust valuation metric [31] - **Factor Name**: PB **Factor Construction Idea**: Standardizes PB to assess market valuation [35] **Factor Construction Process**: 1. Compute PB × (-1) 2. Standardize using z-score over the past six years 3. Truncate at ±1.5 SD and normalize to ±1 range [35] **Factor Evaluation**: Effectively captures valuation trends [35] - **Factor Name**: AIAE **Factor Construction Idea**: Reflects market-wide equity allocation and risk appetite [37] **Factor Construction Process**: 1. Compute AIAE = total equity market cap/(total equity market cap + total debt) 2. Multiply by (-1) and standardize using z-score over the past six years [37] **Factor Evaluation**: Captures market risk appetite effectively [37] Funds Factors - **Factor Name**: Margin Trading Increment **Factor Construction Idea**: Measures market leverage trends [40] **Factor Construction Process**: 1. Compute margin balance - short balance 2. Compare 120-day average increment with 240-day average increment: upward trend = 1, downward trend = -1 [40] **Factor Evaluation**: Reflects leverage trends effectively [40] - **Factor Name**: Turnover Trend **Factor Construction Idea**: Measures market activity and liquidity [43] **Factor Construction Process**: 1. Compute log turnover moving average distance = ma120/ma240 - 1 2. Assign scores: max(10/30/60) = 1, min(10/30/60) = -1 [43] **Factor Evaluation**: Captures market activity effectively [43] - **Factor Name**: China Sovereign CDS Spread **Factor Construction Idea**: Reflects foreign investors' sentiment toward China's credit risk [47] **Factor Construction Process**: 1. Compute smoothed CDS spread 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [47] **Factor Evaluation**: Captures foreign sentiment effectively [47] - **Factor Name**: Overseas Risk Aversion Index **Factor Construction Idea**: Reflects global market risk appetite [49] **Factor Construction Process**: 1. Compute smoothed risk aversion index 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [49] **Factor Evaluation**: Captures global risk appetite effectively [49] Technical Factors - **Factor Name**: Price Trend **Factor Construction Idea**: Measures market trend direction and strength [52] **Factor Construction Process**: 1. Compute moving average distance = ma120/ma240 - 1 2. Assign scores: >0 = 1 (upward trend), <0 = -1 (downward trend) 3. Combine trend direction and strength scores [52] **Factor Evaluation**: Captures market trends effectively [52] - **Factor Name**: New Highs and Lows **Factor Construction Idea**: Reflects reversal signals based on constituent stocks' highs and lows [54] **Factor Construction Process**: 1. Compute smoothed new lows - new highs

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]

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].

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