基于收益率曲线的国债久期轮动策略：量化资产配置系列之一

Group 1 - The essence of bond duration rotation is the dynamic adjustment strategy based on interest rate expectations, where long bonds act as an "offensive spear" during declining interest rates and short bonds serve as a "defensive shield" during rising interest rate risks [1][15]. - The bond market is a cornerstone of the modern financial system, with its depth and breadth forming the basis for the stable operation of financial markets [1][14]. - The report emphasizes the importance of duration as a core indicator for measuring bond price sensitivity to interest rates, which is crucial for managing interest rate risk [14]. Group 2 - The Nelson-Siegel model is utilized to fit different maturities of interest rates, allowing for the construction of a yield curve based on three factors: level, slope, and curvature [2][32]. - The model's core idea is to predict future changes in the yield curve by forecasting the values of these three factors, which can then be used to determine the optimal duration for bond allocation [2][51]. - The report highlights that the average yield curve is monotonically increasing over the historical period analyzed, indicating a general upward trend in interest rates as maturity increases [23][24]. Group 3 - The report presents a significant improvement in the predictive power of the model for the level factor by incorporating external variables, which enhances the direction prediction success rate [3][56]. - The introduction of slope and curvature factors further improves the model's performance, especially during periods of yield curve inversion [3][4]. - Backtesting results show that the duration rotation strategy achieved an absolute return of 110.37% from June 1, 2009, to October 31, 2025, with an annualized return of 4.63%, outperforming the benchmark [4][18]. Group 4 - The latest signal from the duration rotation strategy indicates a recommendation to allocate to long-duration interest rate bonds as of October 31, 2025 [5]. - The strategy's value lies in enhancing returns through duration mismatching, hedging risks with short bonds, and optimizing the portfolio by dynamically adjusting duration exposure [18][19]. - The report provides a comprehensive framework for the duration rotation strategy, emphasizing the need for precise interest rate predictions to maximize capital gains [19][20].