利率市场趋势定量跟踪：利率价量择时观点继续维持偏空-20251207

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Domestic Interest Rates - Model Construction Idea: The model uses kernel regression algorithms to identify support and resistance lines of interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles to form multi-cycle composite timing signals[10][24]. - Model Construction Process: - Data Input: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[6][10]. - Cycle Classification: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[10][21]. - Signal Generation: - A signal is generated when at least two cycles show consistent directional breakthroughs (upward or downward). - For example, for the 5-year YTM, the current signal is "bearish" as both the long and medium cycles show upward breakthroughs, while the short cycle shows no signal[10]. - Scoring Mechanism: - Each cycle contributes one "vote" for upward or downward breakthroughs. - A composite score is calculated based on the total votes, and the final signal is determined[10][13][17]. - Model Evaluation: The model effectively captures interest rate trends and provides actionable timing signals for different bond maturities[10][24]. 2. Model Name: Multi-Cycle Timing Model for US Interest Rates - Model Construction Idea: The domestic timing model is applied to the US Treasury market to generate timing signals for 10-year US Treasury YTM[21]. - Model Construction Process: - Data Input: 10-year US Treasury YTM data[21]. - Cycle Classification: Same as the domestic model (long, medium, and short cycles)[21]. - Signal Generation: - The current signal is "neutral" as only the short cycle shows an upward breakthrough, while the long and medium cycles show no signal[21]. - Model Evaluation: The model demonstrates adaptability to international markets, providing consistent timing signals for US Treasuries[21]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Domestic Interest Rates - 5-Year YTM: - Long-term annualized return: 5.48% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since end-2024): 2.11% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.57 - Long-term excess return: 1.07% - Short-term excess return: 0.87%[6][28][29]. - 10-Year YTM: - Long-term annualized return: 6.06% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.21 - Short-term annualized return (since end-2024): 2.39% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.14 - Long-term excess return: 1.65% - Short-term excess return: 1.36%[28][29]. - 30-Year YTM: - Long-term annualized return: 7.34% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.72 - Short-term annualized return (since end-2024): 3.03% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.31 - Long-term excess return: 2.43% - Short-term excess return: 2.97%[28][29][33]. 2. Multi-Cycle Timing Model for US Interest Rates - The report does not provide specific backtesting results for the US model, but the current signal is "neutral" based on the latest data[21]. --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Term, Convexity) - Factor Construction Idea: Transform YTM data into structural indicators (level, term, and convexity) to analyze the interest rate market from a mean-reversion perspective[7]. - Factor Construction Process: - Level Structure: Represents the average interest rate level. - Current value: 1.63% - Historical percentiles: 25% (3 years), 15% (5 years), 7% (10 years)[7]. - Term Structure: Represents the slope of the yield curve. - Current value: 0.45% - Historical percentiles: 34% (3 years), 21% (5 years), 23% (10 years)[7]. - Convexity Structure: Represents the curvature of the yield curve. - Current value: 0.01% - Historical percentiles: 26% (3 years), 16% (5 years), 13% (10 years)[7]. - Factor Evaluation: These indicators provide a comprehensive view of the interest rate market's structural characteristics, aiding in timing and allocation decisions[7]. --- Factor Backtesting Results - Interest Rate Structure Indicators: - The report does not provide specific backtesting results for these factors, but their historical percentiles indicate their relative positioning in the market[7].