【申万固收|重磅精品】利率择时策略研究白皮书

Core Viewpoint - The importance of timing in the bond market has become increasingly prominent as the market enters a phase of low interest rate fluctuations. The company has released a white paper on fixed income timing strategies, providing investment references from various dimensions such as interest rate direction, yield spread trends, and duration rotation [1][4]. Group 1: Research Methodology - The research explores the use of quantitative models to supplement and validate traditional subjective judgments in bond market analysis [4][11]. - A monthly interest rate central prediction and timing model is established based on historical similarities in economic fundamentals and market conditions [5][10]. - The model's predictive accuracy is high, with a directional prediction success rate of 71% from January 2019 to January 2025, improving to 81% in the later period from January 2022 to January 2025 [5][84]. Group 2: Model Design and Factors - The model incorporates timely, suitable, and widely recognized indicators covering economic growth, price changes, liquidity, and market conditions [5][10]. - The k-Nearest Neighbor algorithm is utilized to construct the prediction model based on historical similarity [5][10]. - Key factors selected include Manufacturing PMI, PPI, DR007, and 10Y government bond YTM, all updated monthly to ensure relevance [14][19][25]. Group 3: Timing Strategy and Performance - The timing strategy significantly enhances capital gains, with backtesting showing returns higher than benchmark indices [5][84]. - Three proposed strategies include basic duration rotation, net price index timing, and wealth index timing combined with derivatives, all demonstrating superior performance compared to benchmarks [63][79]. - The annualized return for the basic duration rotation strategy is 5.1%, outperforming the benchmark's 4.0%, while the wealth index timing strategy achieves an annualized return of 5.6% [72][79].