利率市场趋势定量跟踪：当前长、短期限下利率价量择时观点不一-20251109

Quantitative Models and Construction Methods - Model Name: Multi-cycle timing model for domestic interest rate price-volume trends Model Construction Idea: The model uses kernel regression algorithms to capture interest rate trend patterns, identifying support and resistance lines of interest rate data. It provides timing signals based on the shape of interest rate movements across different investment cycles [11][24][25] Model Construction Process: 1. Data Input: Utilize 5-year, 10-year, and 30-year government bond YTM data [11][24][25] 2. Kernel Regression: Apply kernel regression to identify support and resistance lines for interest rate trends [11][24][25] 3. Cycle Analysis: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency 4. Signal Generation: - If at least two cycles show downward breakthroughs of support lines and the trend is not upward, allocate fully to long-duration bonds - If at least two cycles show downward breakthroughs but the trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds - If at least two cycles show upward breakthroughs of resistance lines and the trend is not downward, allocate fully to short-duration bonds - If at least two cycles show upward breakthroughs but the trend is downward, allocate 50% to medium-duration bonds and 50% to short-duration bonds - Otherwise, allocate equally across short, medium, and long durations [24][25][29] Model Evaluation: The model demonstrates robust performance with high annualized returns and low drawdowns across different cycles [25][28][33] Model Backtesting Results - 5-Year YTM Model: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since 2024): 2.21% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.74 - Long-term excess return: 1.07% - Short-term excess return: 0.87% - Historical win rate for annual absolute returns: 100% - Historical win rate for annual excess returns: 100% [25][37] - 10-Year YTM Model: - Long-term annualized return: 6.09% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.22 - Short-term annualized return (since 2024): 2.64% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.57 - Long-term excess return: 1.65% - Short-term excess return: 1.43% - Historical win rate for annual absolute returns: 100% - Historical win rate for annual excess returns: 100% [28][37] - 30-Year YTM Model: - Long-term annualized return: 7.37% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.73 - Short-term annualized return (since 2024): 3.28% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.59 - Long-term excess return: 2.41% - Short-term excess return: 2.68% - Historical win rate for annual absolute returns: 94.44% - Historical win rate for annual excess returns: 94.44% [33][37] Quantitative Factors and Construction Methods - Factor Name: Interest rate structure indicators (level, term, convexity) Factor Construction Idea: Transform YTM data into structural indicators to analyze the interest rate market from a mean-reversion perspective [8] Factor Construction Process: 1. Level Structure: - Formula: $ \text{Level} = \text{Average YTM across maturities} $ - Current reading: 1.61%, positioned at 21%, 12%, and 6% percentiles for 3, 5, and 10-year historical views, respectively [8] 2. Term Structure: - Formula: $ \text{Term} = \text{Difference between long and short maturity YTM} $ - Current reading: 0.41%, positioned at 27%, 17%, and 18% percentiles for 3, 5, and 10-year historical views, respectively [8] 3. Convexity Structure: - Formula: $ \text{Convexity} = \text{Second derivative of YTM curve} $ - Current reading: -0.04%, positioned at 10%, 6%, and 5% percentiles for 3, 5, and 10-year historical views, respectively [8] Factor Evaluation: These indicators provide a comprehensive view of the interest rate market's structural dynamics, aiding in timing and allocation decisions [8] Factor Backtesting Results - Level Structure: Current reading: 1.61% [8] - Term Structure: Current reading: 0.41% [8] - Convexity Structure: Current reading: -0.04% [8]