利率市场趋势定量跟踪：利率择时信号中性，机构久期提升

Quantitative Models and Construction Methods 1. Model Name: Interest Rate Price-Volume Multi-Cycle Timing Strategy - Model Construction Idea: The model uses kernel regression to identify support and resistance lines in interest rate trends. It combines signals from long, medium, and short investment cycles to form a composite timing strategy[10][22] - Model Construction Process: - Signal Generation: - Long-cycle signals switch monthly, medium-cycle signals switch bi-weekly, and short-cycle signals switch weekly[10] - A downward breakthrough in at least two cycles triggers a long-duration allocation, while an upward breakthrough in at least two cycles triggers a short-duration allocation[22] - Portfolio Construction: - Full allocation to long duration when at least two cycles show downward breakthroughs and the trend is not upward - 50% medium duration + 50% long duration when at least two cycles show downward breakthroughs but the trend is upward - Full allocation to short duration when at least two cycles show upward breakthroughs and the trend is not downward - 50% medium duration + 50% short duration when at least two cycles show upward breakthroughs but the trend is downward - Equal allocation across short, medium, and long durations during other periods[22] - Performance Benchmark: Equal-weighted duration strategy (1/3 short duration + 1/3 medium duration + 1/3 long duration)[22] - Stop-Loss Mechanism: Adjust to equal-weighted allocation when daily excess return falls below -0.5%[22] - Model Evaluation: The strategy demonstrates robust performance with consistent positive absolute and excess returns over 18 years, indicating strong adaptability and reliability[23] --- Model Backtesting Results 1. Interest Rate Price-Volume Multi-Cycle Timing Strategy - Short-Term Performance (Since End of 2023): - Annualized Return: 7.35% - Maximum Drawdown: 1.58% - Return-to-Drawdown Ratio: 6.31 - Excess Return: 2.26% - Excess Return-to-Drawdown Ratio: 2.39[4][22][23] - Long-Term Performance (Since 2007): - Annualized Return: 6.18% - Maximum Drawdown: 1.52% - Return-to-Drawdown Ratio: 2.26 - Excess Return: 1.66% - Excess Return-to-Drawdown Ratio: 1.18[22][23] - Annual Performance Statistics (2008-2025): - Absolute Return: Positive in all 18 years (100% success rate) - Excess Return: Positive in all 18 years (100% success rate) - Example Annual Returns: - 2008: Absolute Return 17.08%, Excess Return 4.41% - 2024: Absolute Return 9.35%, Excess Return 2.52% - 2025 (YTD): Absolute Return 1.37%, Excess Return 0.76%[23][26] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Slope, Convexity) - Factor Construction Idea: Transform yield-to-maturity (YTM) data of 1-10 year government bonds into structural indicators to analyze the interest rate market from a mean-reversion perspective[7] - Factor Construction Process: - Level Structure: Measures the average YTM across maturities - Slope Structure: Captures the difference between long-term and short-term YTMs - Convexity Structure: Reflects the curvature of the yield curve[7][9] - Current Readings: - Level: 1.53%, in the 6%, 4%, and 2% percentiles for 3, 5, and 10-year historical windows, respectively - Slope: 0.24%, in the 5%, 3%, and 6% percentiles for 3, 5, and 10-year historical windows, respectively - Convexity: 0.05%, in the 21%, 13%, and 14% percentiles for 3, 5, and 10-year historical windows, respectively[9] 2. Factor Name: Public Bond Fund Duration and Yield-to-Maturity (YTM) - Factor Construction Idea: Use an improved regression model to estimate the duration and YTM of medium-to-long-term pure bond funds, dynamically tracking weekly changes in institutional views[13] - Factor Construction Process: - Duration: - Median Duration: 3.3 years - 4-Week Moving Average: 3.32 years - Mean Duration: 3.39 years - Current Percentile: 96.14% over the past 5 years[13][14] - Duration Dispersion: - Cross-sectional Standard Deviation: 1.58 years - Current Percentile: 65.64% over the past 5 years[14] - YTM: - Median YTM: 1.79% - 4-Week Moving Average: 1.81% - Mean YTM: 1.86% - Current Level: Near historical lows[19] --- Factor Backtesting Results 1. Interest Rate Structure Indicators - Level Structure: 1.53% - Slope Structure: 0.24% - Convexity Structure: 0.05%[9] 2. Public Bond Fund Duration and YTM - Duration: - Median: 3.3 years - 4-Week Moving Average: 3.32 years - Mean: 3.39 years[13][14] - Duration Dispersion: - Standard Deviation: 1.58 years[14] - YTM: - Median: 1.79% - 4-Week Moving Average: 1.81% - Mean: 1.86%[19]