利率市场趋势定量跟踪：利率择时信号维持偏多，机构久期微升

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Interest Rate Timing Strategy - Model Construction Idea: The model uses kernel regression to identify the support and resistance lines of interest rate trends and provides timing signals based on the shape breakthroughs across different investment cycles (short, medium, and long)[10][22] - Model Construction Process: - Signal Generation: The strategy identifies interest rate shape breakthroughs across short, medium, and long cycles. A composite timing signal is generated when at least two cycles show consistent breakthroughs[10][22] - Portfolio Construction: - Full allocation to long duration when at least two cycles break below the support line and the trend is not upward - 50% allocation to medium duration and 50% to long duration when at least two cycles break below the support line but the trend is upward - Full allocation to short duration when at least two cycles break above the resistance line and the trend is not downward - 50% allocation to medium duration and 50% to short duration when at least two cycles break above the resistance line but the trend is downward - Equal allocation to short, medium, and long durations during other periods - Performance Benchmark: Equal-weighted duration strategy (1/3 short, 1/3 medium, 1/3 long durations)[22] - Stop-Loss Mechanism: Adjust holdings to equal-weighted allocation when daily excess return falls below -0.5%[22] - Model Evaluation: The model demonstrates strong performance with high absolute and excess returns, low drawdowns, and consistent positive annual returns over 18 years[22][23] --- Model Backtesting Results 1. Multi-Cycle Interest Rate Timing Strategy - Short-Term Annualized Return: 8.04% since the end of 2023[4][22] - Short-Term Maximum Drawdown: 1.63%[4][22] - Short-Term Return-to-Drawdown Ratio: 6.89[4][22] - Short-Term Excess Return: 2.72% relative to the benchmark[4][22] - Short-Term Excess Return-to-Drawdown Ratio: 2.8[23] - Long-Term Annualized Return: 6.22% since 2007[22] - Long-Term Maximum Drawdown: 1.53%[22] - Long-Term Return-to-Drawdown Ratio: 2.27[22] - Long-Term Excess Return: 1.69% relative to the benchmark[22] - Long-Term Excess Return-to-Drawdown Ratio: 1.19[22] - Annual Positive Absolute Return Rate: 100% over 18 years[23] - Annual Positive Excess Return Rate: 100% over 18 years[23] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Term, Convexity) - Factor Construction Idea: Transform yield-to-maturity (YTM) data of 1-10 year government bonds into structural indicators (level, term, convexity) to analyze the interest rate market from a mean-reversion perspective[7][9] - Factor Construction Process: - Level Structure: Represents the average YTM across maturities - Term Structure: Calculated as the difference between long-term and short-term YTMs - Convexity Structure: Measures the curvature of the yield curve - Historical Percentile Analysis: Compare current readings to historical 3, 5, and 10-year percentiles to assess relative positioning[7][9] - Factor Evaluation: The current readings indicate low levels across all three structures, suggesting a mean-reversion opportunity[7][9] 2. Factor Name: Duration and Duration Dispersion of Public Bond Funds - Factor Construction Idea: Use an improved regression model to estimate the duration and dispersion of public bond funds, dynamically tracking weekly changes in fund duration views[13][14] - Factor Construction Process: - Duration Metrics: - Median duration (including leverage): 3.03 years - 4-week moving average: 3.06 years - Mean duration: 3.09 years - Dispersion Metrics: - Cross-sectional standard deviation of fund durations: 1.48 years - Historical Percentile Analysis: Compare current readings to historical 5-year percentiles to assess relative positioning[13][14] - Factor Evaluation: Current duration levels are relatively high, while dispersion is moderately high, indicating a neutral-to-high divergence in institutional views[13][14] --- Factor Backtesting Results 1. Interest Rate Structure Indicators - Level Structure: Current reading is 1.54%, positioned at the 7%, 4%, and 2% percentiles for 3, 5, and 10-year historical windows, respectively[9] - Term Structure: Current reading is 0.22%, positioned at the 1%, 0%, and 4% percentiles for 3, 5, and 10-year historical windows, respectively[9] - Convexity Structure: Current reading is -0.07%, positioned at the 4%, 2%, and 2% percentiles for 3, 5, and 10-year historical windows, respectively[9] 2. Duration and Duration Dispersion of Public Bond Funds - Median Duration: 3.03 years, positioned at the 82.63% percentile over the past 5 years[14] - Dispersion (Standard Deviation): 1.48 years, positioned at the 54.44% percentile over the past 5 years[14] - Yield-to-Maturity (YTM): - Median YTM: 1.86% - 4-week moving average: 1.95% - Mean YTM: 1.88% - Current YTM levels are relatively low compared to historical data[19]