证券研究报告 | 金融工程 2026 年 2 月 8 日 利率价量择时观点维持看多 ——利率市场趋势定量跟踪 20260206 利率市场结构变化 - 10 年期国债到期收益率录得 1.81%，相对上周下降 0.1BP。当前 利率水平、期限和凸性结构读数分别为 1.56%、0.49%、-0.02%， 从均值回归视角看，目前处于水平结构点位较低、期限结构点位 中性偏低、凸性结构点位偏低的状态。 利率价量周期择时信号：5 年期看多、10 年期看多、30 年期看多 美债价量周期择时信号：看多 - 基于美国市场 10 年期国债 YTM 数据判断的多周期择时信号为： 长周期向下突破、中周期向下突破、短周期无信号。综合来看， 当前合计下行突破 2 票、上行突破 0 票，最终信号的综合评分结 果为看多。 国内利率价量多周期择时策略表现 - 自 2024 年底以来，基于 5/10/30 年期国债 YTM 价量趋势的交易策 略年化收益率分别为 2.27%、2.53%、2.69%，最大回撤为 0.69%、 0.94%、1.71%，收益回撤比为 3.85、4.37、2.93，相对业绩基准的 超额收益率为 0.65%、1.05%、1. ...

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Interest Rates - **Model Construction Idea**: The model uses kernel regression to identify support and resistance lines in interest rate trends. It evaluates the breakthrough patterns of interest rate movements across different investment cycles (long, medium, and short) to generate composite timing signals[11][24]. - **Model Construction Process**: - **Data Input**: Yield-to-Maturity (YTM) data for 5-year, 10-year, and 30-year government bonds[11][24]. - **Kernel Regression**: Applied to capture the support and resistance lines of interest rate trends[11]. - **Cycle Classification**: - Long cycle: Monthly frequency - Medium cycle: Bi-weekly frequency - Short cycle: Weekly frequency[11][24]. - **Signal Generation**: - If at least two cycles show downward breakthroughs of support lines, the signal is "bullish" (e.g., 5-year and 10-year YTM signals are bullish) - If at least two cycles show upward breakthroughs of resistance lines, the signal is "bearish" (e.g., 30-year YTM signal is bearish)[11][24]. - **Model Evaluation**: The model effectively captures multi-cycle resonance in interest rate trends, providing actionable timing signals for different bond maturities[11][24]. 2. Model Name: Multi-Cycle Trading Strategy - **Model Construction Idea**: The strategy is based on the multi-cycle timing signals generated by the above model. It allocates bond portfolios dynamically based on the direction of interest rate trends and cycle breakthroughs[24][29]. - **Model Construction Process**: - **Portfolio Allocation Rules**: - If at least two cycles show downward breakthroughs 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 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. - In other cases, allocate equally across short, medium, and long durations[24][29]. - **Stop-Loss Mechanism**: If the daily excess return of the portfolio falls below -0.5%, adjust holdings to equal-weighted allocation[29]. - **Performance Benchmark**: Equal-weighted allocation across short, medium, and long durations serves as the benchmark[24][29]. - **Model Evaluation**: The strategy demonstrates robust performance across different market conditions, with high win rates for both absolute and excess returns over the past 18 years[24][29]. --- Model Backtesting Results 1. Multi-Cycle Timing Model for Interest Rates - **5-Year YTM**: - Long-term annualized return: 5.46% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.9 - Short-term annualized return (since 2024): 2.09% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.55 - Long-term excess return: 1.06% - Short-term excess return: 0.64%[25][28]. - **10-Year YTM**: - Long-term annualized return: 6.03% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.2 - Short-term annualized return (since 2024): 2.34% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.05 - Long-term excess return: 1.63% - Short-term excess return: 1.06%[28][33]. - **30-Year YTM**: - Long-term annualized return: 7.28% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.7 - Short-term annualized return (since 2024): 2.47% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 2.7 - Long-term excess return: 2.39% - Short-term excess return: 2.16%[33][37]. 2. Multi-Cycle Trading Strategy - **5-Year YTM**: - Annualized return (2008-2025): 2.10%-14.83% - Excess return (2008-2025): 0.29%-2.77%[37]. - **10-Year YTM**: - Annualized return (2008-2025): 0.11%-17.08% - Excess return (2008-2025): -0.08%-4.41%[37]. - **30-Year YTM**: - Annualized return (2008-2025): -0.36%-19.93% - Excess return (2008-2025): -0.39%-5.48%[37].

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].

Quantitative Models and Construction Methods 1. Model Name: Multi-Cycle Timing Model for Interest Rates - **Model Construction Idea**: The model uses kernel regression algorithms to capture the trend patterns of interest rates, depicting the support and resistance lines of interest rate data. It provides multi-cycle composite timing views based on the pattern breakthrough situations of interest rate trends under different investment cycles[10]. - **Model Construction Process**: - **Data Source**: Yield to Maturity (YTM) data of 5-year, 10-year, and 30-year government bonds. - **Cycles**: Long cycle (monthly), medium cycle (bi-weekly), and short cycle (weekly). - **Signal Calculation**: - For the 5-year bond YTM: Long cycle upward breakthrough, medium cycle upward breakthrough, short cycle no signal. Final signal: bearish[10]. - For the 10-year bond YTM: Long cycle downward breakthrough, medium cycle upward breakthrough, short cycle no signal. Final signal: neutral to bearish[13]. - For the 30-year bond YTM: Long cycle no signal, medium cycle upward breakthrough, short cycle upward breakthrough. Final signal: bearish[16]. - **Model Evaluation**: The model effectively captures the trend patterns of interest rates and provides clear timing signals based on multi-cycle analysis[10][13][16]. Model Backtesting Results 1. Multi-Cycle Timing Model for Interest Rates - **5-Year Bond YTM**: - Long-term annualized return: 5.5% - Maximum drawdown: 2.88% - Return-to-drawdown ratio: 1.91 - Short-term annualized return (since end of 2024): 2.24% - Maximum drawdown: 0.59% - Return-to-drawdown ratio: 3.8 - Long-term excess return: 1.07% - Short-term excess return: 0.81% - Probability of positive annual absolute return: 100% - Probability of positive annual excess return: 100%[25] - **10-Year Bond YTM**: - Long-term annualized return: 6.08% - Maximum drawdown: 2.74% - Return-to-drawdown ratio: 2.22 - Short-term annualized return (since end of 2024): 2.69% - Maximum drawdown: 0.58% - Return-to-drawdown ratio: 4.65 - Long-term excess return: 1.65% - Short-term excess return: 1.39% - Probability of positive annual absolute return: 100% - Probability of positive annual excess return: 100%[28] - **30-Year Bond YTM**: - Long-term annualized return: 7.36% - Maximum drawdown: 4.27% - Return-to-drawdown ratio: 1.72 - Short-term annualized return (since end of 2024): 3.25% - Maximum drawdown: 0.92% - Return-to-drawdown ratio: 3.54 - Long-term excess return: 2.41% - Short-term excess return: 2.57% - Probability of positive annual absolute return: 94.44% - Probability of positive annual excess return: 94.44%[33]

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]

- The report introduces a multi-cycle timing strategy for interest rates, which is constructed using shape recognition algorithms to identify support and resistance lines in interest rate trends. The strategy combines signals from short, medium, and long cycles to form composite timing views. The switching frequency for these cycles is weekly, bi-weekly, and monthly, respectively[10][23][24] - The multi-cycle timing strategy is based on the principle that when at least two cycles show downward breakthroughs of support lines and the interest rate trend is not upward, the portfolio is fully allocated to long-duration bonds. Conversely, when at least two cycles show upward breakthroughs of resistance lines and the interest rate trend is not downward, the portfolio is fully allocated to short-duration bonds. Other configurations include mixed allocations depending on the direction of the interest rate trend[23] - The strategy employs a stop-loss mechanism where the portfolio is adjusted to equal-weighted allocation if the daily excess return falls below -0.5%[23] - The backtesting results of the multi-cycle timing strategy show a long-term annualized return of 6.17% since 2007, with a maximum drawdown of 1.52% and a return-to-drawdown ratio of 2.26. Short-term results since the end of 2023 indicate an annualized return of 7.24%, a maximum drawdown of 1.55%, and a return-to-drawdown ratio of 6.21[23][24] - The strategy has consistently outperformed its benchmark, which is an equal-weighted duration strategy, with a long-term excess return of 1.65% and a short-term excess return of 2.14% since the end of 2023. The excess return-to-drawdown ratio is 1.17 for the long term and 2.29 for the short term[23][24] - Historical performance analysis reveals that the strategy achieved a 100% success rate in generating positive absolute returns and excess returns annually over the past 18 years[24] - The report also tracks the behavior of public bond funds using an improved regression model to estimate the duration and divergence of medium- to long-term pure bond funds. The latest results show that the median duration of public bond funds, including leverage, is 3.51 years, with a 4-week moving average of 3.45 years. This represents an increase of 0.13 years and 0.04 years compared to the previous week, respectively, and places the duration level at the 96.53% percentile over the past five years[6][13][14] - The divergence in public bond fund duration, measured by the cross-sectional standard deviation, is 1.55 years, which is slightly lower than the previous week and is at the 59.07% percentile over the past five years[6][14] - The yield-to-maturity (YTM) data for public bond funds, calculated similarly, shows a median YTM of 1.7%, a 4-week moving average of 1.74%, and an average of 1.79%. Compared to the previous week, the unsmoothed median YTM decreased by 4 basis points, while the smoothed data decreased by 3 basis points, indicating that institutional holdings are near historical lows[18]