Quantitative Models and Construction Methods 1. Model Name: Interest Rate Price-Volume Multi-Cycle Timing Strategy - Model Construction Idea: This model uses kernel regression algorithms to identify support and resistance levels in interest rate trends. It integrates signals from long, medium, and short investment cycles to form a composite timing strategy[10][23]. - Model Construction Process: 1. Signal Identification: - Use kernel regression to capture the shape of interest rate trends and identify support and resistance levels[10]. - Classify signals into long-cycle (monthly frequency), medium-cycle (bi-weekly frequency), and short-cycle (weekly frequency)[10]. 2. Signal Aggregation: - Count the number of upward and downward breakthroughs across the three cycles. - If at least two cycles show the same directional breakthrough, the composite signal is determined based on the majority[10]. 3. Portfolio Construction: - Allocate assets based on the composite signal: - Full allocation to long-duration bonds if at least two cycles show downward breakthroughs and the trend is not upward. - Equal allocation to medium- and long-duration bonds if at least two cycles show downward breakthroughs but the trend is upward. - Full allocation to short-duration bonds if at least two cycles show upward breakthroughs and the trend is not downward. - Equal allocation to medium- and short-duration bonds if at least two cycles show upward breakthroughs but the trend is downward. - Equal allocation across short-, medium-, and long-duration bonds in other cases[23]. 4. Stop-Loss Mechanism: - Adjust holdings to equal allocation if the daily excess return of the portfolio falls below -0.5%[23]. 5. Benchmark: - The benchmark is an equal-duration strategy with one-third allocation to short-, medium-, and long-duration bonds[23]. - Model Evaluation: The model effectively captures multi-cycle resonance in interest rate trends and provides a systematic approach to timing strategies[23]. --- Model Backtesting Results 1. Interest Rate Price-Volume Multi-Cycle Timing Strategy - Long-Term Performance (2007.12.31 to Latest Report Date): - Annualized Return: 6.19% - Maximum Drawdown: 1.53% - Return-to-Drawdown Ratio: 2.26 - Excess Annualized Return: 1.67% - Excess Return-to-Drawdown Ratio: 1.18[23][24] - Short-Term Performance (Since 2023 Year-End): - Annualized Return: 7.5% - Maximum Drawdown: 1.61% - Return-to-Drawdown Ratio: 6.43 - Excess Annualized Return: 2.35% - Excess Return-to-Drawdown Ratio: 2.47[23][24] - Historical Success Rates (18 Years): - Absolute Return > 0: 100% - Excess Return > 0: 100%[24] - Year-by-Year Performance: - 2008: Absolute Return 17.08%, Excess Return 4.41% - 2009: Absolute Return 1.03%, Excess Return 1.20% - 2010: Absolute Return 4.59%, Excess Return 2.49% - 2011: Absolute Return 7.25%, Excess Return 2.10% - 2012: Absolute Return 4.33%, Excess Return 0.68% - 2013: Absolute Return 0.91%, Excess Return 1.67% - 2014: Absolute Return 13.47%, Excess Return 2.67% - 2015: Absolute Return 11.14%, Excess Return 2.31% - 2016: Absolute Return 3.20%, Excess Return 1.76% - 2017: Absolute Return 1.11%, Excess Return 1.38% - 2018: Absolute Return 11.16%, Excess Return 2.36% - 2019: Absolute Return 6.24%, Excess Return 1.44% - 2020: Absolute Return 3.46%, Excess Return 0.47% - 2021: Absolute Return 5.40%, Excess Return 0.33% - 2022: Absolute Return 3.62%, Excess Return 0.47% - 2023: Absolute Return 4.81%, Excess Return 0.46% - 2024: Absolute Return 9.35%, Excess Return 2.52% - 2025: Absolute Return 1.14%, Excess Return 0.75%[24][27] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structural Indicators (Level, Term, Convexity) - Factor Construction Idea: These factors decompose the yield-to-maturity (YTM) data of government bonds into three structural dimensions: level, term, and convexity. The factors are analyzed from a mean-reversion perspective[7][9]. - Factor Construction Process: 1. Data Transformation: - Convert the YTM data of 1- to 10-year government bonds into three structural indicators: - Level: Average YTM across all maturities - Term: Difference between long-term and short-term YTM - Convexity: Curvature of the yield curve[7]. 2. Historical Percentile Analysis: - Calculate the rolling 3-, 5-, and 10-year percentiles for each structural indicator to assess their relative positions[8][9]. - Factor Evaluation: These factors provide insights into the current state of the interest rate market and its deviation from historical norms[7][9]. --- Factor Backtesting Results 1. Interest Rate Structural Indicators - Level: - Current Value: 1.58% - Weekly Change: -0.24BP - Historical Percentiles: 10% (3-Year), 6% (5-Year), 3% (10-Year)[9] - Term: - Current Value: 0.27% - Weekly Change: +4.42BP - Historical Percentiles: 7% (3-Year), 4% (5-Year), 8% (10-Year)[9] - Convexity: - Current Value: -0.04% - Weekly Change: -6.28BP - Historical Percentiles: 8% (3-Year), 5% (5-Year), 5% (10-Year)[9]
利率市场趋势定量跟踪:利率择时信号维持看空
CMS·2025-05-25 08:00