量化信用策略：低波动与稳收益策略

Quantitative Models and Construction Methods 1. Model Name: Interest Rate Style Portfolio - Model Construction Idea: The portfolio is constructed by allocating 80% to interest rate bonds and 20% to credit bonds, with the interest rate bond portion using 10-year government bonds and the credit bond portion including 20% ultra-long bonds[13][19] - Model Construction Process: - Bullet Strategy: Allocates 1-year AAA interbank certificates of deposit (CDs), 3-year AA+ municipal bonds, and 3-year AAA- perpetual bonds[13] - Duration Strategy: Allocates 4-year AA+ municipal bonds and 4-year AAA- perpetual bonds[13] - Ultra-long Strategy: Allocates 10-year AA+ municipal bonds and 10-year AAA- subordinated bonds[13] - Mixed Barbell Strategy: Allocates 1-year AA+ municipal bonds and 10-year AA+ municipal bonds in a 1:1 ratio[13] - Model Evaluation: The interest rate style portfolios generally outperform their credit style counterparts in absolute returns, with cumulative returns around 1% year-to-date[10] 2. Model Name: Credit Style Portfolio - Model Construction Idea: The portfolio is constructed by allocating 20% to government bonds and 80% to credit bonds, with a focus on various credit strategies such as bullet, duration, and ultra-long strategies[13][19] - Model Construction Process: - Bullet Strategy: Allocates 1-year AAA interbank CDs and 3-year AA+ municipal bonds[13] - Duration Strategy: Allocates 4-year AA+ municipal bonds and 4-year AAA- perpetual bonds[13] - Ultra-long Strategy: Allocates 10-year AA+ municipal bonds and 10-year AAA- subordinated bonds[13] - Mixed Barbell Strategy: Allocates 1-year AA+ municipal bonds and 10-year AAA- subordinated bonds in a 1:1 ratio[13] - Model Evaluation: Credit style portfolios, such as the municipal bond short-end sinking strategy, achieved cumulative returns of 1.04%, ranking among the top performers[10] --- Model Backtesting Results 1. Interest Rate Style Portfolio - Weekly Returns: Ultra-long strategies (e.g., secondary ultra-long and industrial ultra-long) achieved weekly returns of 0.19%[2][16] - Cumulative Returns: Year-to-date cumulative returns for various strategies are approximately 1%[10] 2. Credit Style Portfolio - Weekly Returns: Secondary ultra-long and industrial ultra-long strategies achieved weekly returns of 0.23% and 0.21%, respectively[2][16] - Cumulative Returns: Municipal bond short-end sinking, duration, and bullet strategies achieved cumulative returns of 1.04%, 0.96%, and 0.89%, respectively[10] --- Quantitative Factors and Construction Methods 1. Factor Name: Coupon Contribution - Factor Construction Idea: Measures the contribution of coupon income to portfolio returns, focusing on stability and low volatility[3][28] - Factor Construction Process: - Calculate the initial yield-to-maturity (YTM) of bonds in the portfolio - Multiply the YTM by the holding period to estimate coupon income[13] - Factor Evaluation: Coupon contributions for most strategies are concentrated between 20% and 40%, with municipal bond short-end sinking and barbell strategies maintaining stable coupon yields around 0.039%[3][28] 2. Factor Name: Excess Return - Factor Construction Idea: Measures the return of a strategy relative to a benchmark, focusing on strategies that outperform consistently[4][33] - Factor Construction Process: - Benchmark portfolios are constructed with specific allocations (e.g., 20% government bonds, 64% 3-year AA+ municipal bonds, and 16% 10-year AA+ industrial bonds)[36][38] - Calculate the difference between the strategy's return and the benchmark return over a specified period[36][38] - Factor Evaluation: Municipal bond duration and barbell strategies achieved cumulative excess returns of 11.3bp and 10.8bp, respectively, over the past four weeks[4][33] --- Factor Backtesting Results 1. Coupon Contribution - Municipal Bond Strategies: Coupon yields for short-end sinking and barbell strategies remained stable at approximately 0.039%[3][28] - Other Strategies: Most strategies had annualized coupon yields below 2%[3][28] 2. Excess Return - Short-term Strategies: Interbank CD bullet strategies achieved excess returns of 1.9bp, the highest since April[36][38] - Medium-to-Long-term Strategies: Municipal bond duration and barbell strategies achieved cumulative excess returns of 11.3bp and 10.8bp, respectively[4][33] - Ultra-long Strategies: Industrial ultra-long and secondary ultra-long strategies outperformed benchmarks by approximately 15bp[4][36]