利率市场趋势定量跟踪：利率价量择时观点转向中性-20260104

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 the support and resistance lines of interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles to provide multi-cycle composite timing signals[9][21]. - Model Construction Process: 1. Data Input: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds is used as the basis for analysis[9][21]. 2. Cycle Definition: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[9][21]. 3. Signal Generation: - For each cycle, the model identifies upward or downward breakthroughs in interest rate trends. - A composite score is calculated based on the number of consistent signals across the three cycles. If at least two out of three cycles show the same directional breakthrough, a timing signal is generated[9][21]. 4. Final Signal: - The final signal is classified as "neutral," "neutral oscillation," or "neutral with a slight upward/downward bias" based on the composite score[9][21]. - Model Evaluation: The model effectively captures interest rate trends and provides actionable timing signals for different bond maturities[9][21]. 2. Model Name: Multi-Cycle Timing Model for U.S. Interest Rates - Model Construction Idea: The domestic multi-cycle timing model is applied to the U.S. Treasury market to generate timing signals for U.S. interest rates[18]. - Model Construction Process: 1. Data Input: 10-year U.S. Treasury YTM data is used as the basis for analysis[18]. 2. Cycle Definition: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[18]. 3. Signal Generation: - The model identifies upward or downward breakthroughs in interest rate trends for each cycle. - A composite score is calculated based on the number of consistent signals across the three cycles. If at least two out of three cycles show the same directional breakthrough, a timing signal is generated[18]. 4. Final Signal: - The final signal is classified as "neutral" or "neutral oscillation" based on the composite score[18]. - Model Evaluation: The model demonstrates adaptability to the U.S. market, providing consistent timing signals for U.S. Treasury yields[18]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Domestic Interest Rates - 5-Year YTM: - Long-term annualized return: 5.47% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.9 - Short-term annualized return (since 2024): 2.1% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.57 - Long-term excess return: 1.06% - Short-term excess return: 0.77%[22][34] - 10-Year YTM: - Long-term annualized return: 6.04% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.21 - Short-term annualized return (since 2024): 2.33% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.03 - Long-term excess return: 1.63% - Short-term excess return: 1.19%[25][34] - 30-Year YTM: - Long-term annualized return: 7.32% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.71 - Short-term annualized return (since 2024): 2.95% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.22 - Long-term excess return: 2.42% - Short-term excess return: 2.65%[30][34] 2. Multi-Cycle Timing Model for U.S. Interest Rates - 10-Year YTM: - Final signal: Neutral oscillation - Composite score: 1 upward breakthrough in the short cycle, no signals in the long and medium cycles[18][20] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Term, Convexity) - Factor Construction Idea: The factor set quantifies the structural characteristics of the interest rate market, including level, term, and convexity, to provide insights into market positioning and mean-reversion tendencies[6]. - Factor Construction Process: 1. Level Structure: - Definition: Average YTM across maturities - Current value: 1.58% - Historical percentiles: 18% (3 years), 11% (5 years), 5% (10 years)[6]. 2. Term Structure: - Definition: Slope of the yield curve - Current value: 0.55% - Historical percentiles: 50% (3 years), 34% (5 years), 40% (10 years)[6]. 3. Convexity Structure: - Definition: Curvature of the yield curve - Current value: 0.06% - Historical percentiles: 41% (3 years), 25% (5 years), 21% (10 years)[6]. - Factor Evaluation: These factors provide a comprehensive view of the interest rate market's structural dynamics, aiding in timing and allocation decisions[6]. --- Factor Backtesting Results 1. Interest Rate Structure Indicators - Level Structure: Current value: 1.58%, historical percentiles: 18% (3 years), 11% (5 years), 5% (10 years)[6] - Term Structure: Current value: 0.55%, historical percentiles: 50% (3 years), 34% (5 years), 40% (10 years)[6] - Convexity Structure: Current value: 0.06%, historical percentiles: 41% (3 years), 25% (5 years), 21% (10 years)[6]