Quantitative Models and Construction Methods 1. Model Name: Interest Rate Price-Volume Multi-Cycle Timing Strategy - **Model Construction Idea**: This strategy uses kernel regression algorithms to identify support and resistance lines in interest rate trends. It combines signals from long, medium, and short investment cycles to form a composite timing view[10][22] - **Model Construction Process**: 1. **Signal Generation**: - Use kernel regression to capture the shape of interest rate trends and identify breakout signals for long, medium, and short cycles[10] - Long-cycle signals switch monthly, medium-cycle signals switch bi-weekly, and short-cycle signals switch weekly[10] 2. **Portfolio Allocation Rules**: - If at least two cycles show downward breakouts and the trend is not upward, allocate fully to long-duration bonds - If at least two cycles show downward breakouts but the trend is upward, allocate 50% to medium-duration bonds and 50% to long-duration bonds - If at least two cycles show upward breakouts and the trend is not downward, allocate fully to short-duration bonds - If at least two cycles show upward breakouts 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[22] 3. **Benchmark**: Equal-weighted duration strategy (1/3 short, 1/3 medium, 1/3 long duration)[22] 4. **Stop-Loss Mechanism**: Adjust to equal-weight allocation if daily excess return falls below -0.5%[22] - **Model Evaluation**: The strategy demonstrates strong robustness with consistent positive returns and high win rates over an 18-year backtest period[22][23] --- Model Backtest Results 1. Interest Rate Price-Volume Multi-Cycle Timing Strategy - **Long-Term Performance (2007.12.31 to Latest Report Date)**: - Annualized Return: 6.15% - Maximum Drawdown: 1.52% - Return-to-Drawdown Ratio: 2.25 - Excess Annualized Return: 1.66% (relative to equal-weighted duration benchmark) - Excess Return-to-Drawdown Ratio: 1.17[22] - **Short-Term Performance (Since 2023 End)**: - Annualized Return: 6.93% - Maximum Drawdown: 1.52% - Return-to-Drawdown Ratio: 5.94 - Excess Annualized Return: 2.2% - Excess Return-to-Drawdown Ratio: 2.31[22][23] - **Win Rates (2007-2025)**: - Annual Absolute Return > 0: 100% - Annual Excess Return > 0: 100%[23] - **Yearly Performance Statistics**: - Example Years: - 2008: Absolute Return 17.08%, Excess Return 4.41% - 2014: Absolute Return 13.47%, Excess Return 2.67% - 2024: Absolute Return 9.35%, Excess Return 2.52%[26] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structure Indicators (Level, Slope, Convexity) - **Factor Construction Idea**: Transform yield-to-maturity (YTM) data of 1-10 year government bonds into structural indicators to analyze the interest rate market from a mean-reversion perspective[7][9] - **Factor Construction Process**: 1. **Level Structure**: Average YTM across all maturities 2. **Slope Structure**: Difference between long-term and short-term YTM 3. **Convexity Structure**: Second derivative of the yield curve to measure curvature[7][9] - **Factor Evaluation**: The current readings indicate a low level structure, low slope structure, and neutral-to-low convexity structure, suggesting a relatively bearish outlook for the interest rate market[9] --- Factor Backtest Results 1. Interest Rate Structure Indicators - **Current Readings**: - Level Structure: 1.6% (17th percentile over 3 years, 10th percentile over 5 years, 5th percentile over 10 years) - Slope Structure: 0.35% (18th percentile over 3 years, 11th percentile over 5 years, 14th percentile over 10 years) - Convexity Structure: 0.09% (32nd percentile over 3 years, 21st percentile over 5 years, 21st percentile over 10 years)[9]