证券研究报告 | 金融工程 2025 年 7 月 6 日 利率择时信号维持中性偏空 ——利率市场趋势定量跟踪 20250704 利率市场结构变化 - 10 年期国债到期收益率录得 1.64%，相对上周下降 0.29BP。当前 利率水平、期限和凸性结构读数分别为 1.51%、0.31%、0.01%， 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 偏低、凸性结构点位偏低的状态。 利率价量周期择时信号：中性偏空 - 利率数据的多周期择时信号为：长周期向上突破、中周期向下突破、 短周期向上突破。综合来看，当前合计下行突破 1 票、上行突破 2 票，由于 3 种周期下的同向突破票数总和未达到 2/3，最终信号的 综合评分结果为中性。 公募债基行为跟踪：久期提升、分歧微降 利率价量多周期择时策略表现 - 自 2023 年底以来，策略的短期年化收益率为 7.24%，最大回撤为 1.55%，收益回撤比为 6.21，相对业绩基准的超额收益率为 2.14%。 过去的 18 年内，策略逐年绝对收益大于 0 的胜率为 100%，逐年超 额收益大于 0 的胜率为 100%。 风险提示：本报告基于对历史数据的分析，当市场环境 ...

Quantitative Models and Construction Methods 1. Model Name: Interest Rate Price-Volume Multi-Cycle Timing Strategy - **Model Construction Idea**: This model uses kernel regression algorithms to identify support and resistance levels in interest rate trends. It integrates signals from long, medium, and short investment cycles to form a composite timing strategy[10][23]. - **Model Construction Process**: 1. **Signal Identification**: - Use kernel regression to capture the shape of interest rate trends and identify support and resistance levels[10]. - Classify signals into long-cycle (monthly frequency), medium-cycle (bi-weekly frequency), and short-cycle (weekly frequency)[10]. 2. **Signal Aggregation**: - Count the number of upward and downward breakthroughs across the three cycles. - If at least two cycles show the same directional breakthrough, the composite signal is determined based on the majority[10]. 3. **Portfolio Construction**: - Allocate assets based on the composite signal: - Full allocation to long-duration bonds if at least two cycles show downward breakthroughs and the trend is not upward. - Equal allocation to medium- and long-duration bonds if at least two cycles show downward breakthroughs but the trend is upward. - Full allocation to short-duration bonds if at least two cycles show upward breakthroughs and the trend is not downward. - Equal allocation to medium- and short-duration bonds if at least two cycles show upward breakthroughs but the trend is downward. - Equal allocation across short-, medium-, and long-duration bonds in other cases[23]. 4. **Stop-Loss Mechanism**: - Adjust holdings to equal allocation if the daily excess return of the portfolio falls below -0.5%[23]. 5. **Benchmark**: - The benchmark is an equal-duration strategy with one-third allocation to short-, medium-, and long-duration bonds[23]. - **Model Evaluation**: The model effectively captures multi-cycle resonance in interest rate trends and provides a systematic approach to timing strategies[23]. --- Model Backtesting Results 1. Interest Rate Price-Volume Multi-Cycle Timing Strategy - **Long-Term Performance (2007.12.31 to Latest Report Date)**: - Annualized Return: 6.19% - Maximum Drawdown: 1.53% - Return-to-Drawdown Ratio: 2.26 - Excess Annualized Return: 1.67% - Excess Return-to-Drawdown Ratio: 1.18[23][24] - **Short-Term Performance (Since 2023 Year-End)**: - Annualized Return: 7.5% - Maximum Drawdown: 1.61% - Return-to-Drawdown Ratio: 6.43 - Excess Annualized Return: 2.35% - Excess Return-to-Drawdown Ratio: 2.47[23][24] - **Historical Success Rates (18 Years)**: - Absolute Return > 0: 100% - Excess Return > 0: 100%[24] - **Year-by-Year Performance**: - 2008: Absolute Return 17.08%, Excess Return 4.41% - 2009: Absolute Return 1.03%, Excess Return 1.20% - 2010: Absolute Return 4.59%, Excess Return 2.49% - 2011: Absolute Return 7.25%, Excess Return 2.10% - 2012: Absolute Return 4.33%, Excess Return 0.68% - 2013: Absolute Return 0.91%, Excess Return 1.67% - 2014: Absolute Return 13.47%, Excess Return 2.67% - 2015: Absolute Return 11.14%, Excess Return 2.31% - 2016: Absolute Return 3.20%, Excess Return 1.76% - 2017: Absolute Return 1.11%, Excess Return 1.38% - 2018: Absolute Return 11.16%, Excess Return 2.36% - 2019: Absolute Return 6.24%, Excess Return 1.44% - 2020: Absolute Return 3.46%, Excess Return 0.47% - 2021: Absolute Return 5.40%, Excess Return 0.33% - 2022: Absolute Return 3.62%, Excess Return 0.47% - 2023: Absolute Return 4.81%, Excess Return 0.46% - 2024: Absolute Return 9.35%, Excess Return 2.52% - 2025: Absolute Return 1.14%, Excess Return 0.75%[24][27] --- Quantitative Factors and Construction Methods 1. Factor Name: Interest Rate Structural Indicators (Level, Term, Convexity) - **Factor Construction Idea**: These factors decompose the yield-to-maturity (YTM) data of government bonds into three structural dimensions: level, term, and convexity. The factors are analyzed from a mean-reversion perspective[7][9]. - **Factor Construction Process**: 1. **Data Transformation**: - Convert the YTM data of 1- to 10-year government bonds into three structural indicators: - **Level**: Average YTM across all maturities - **Term**: Difference between long-term and short-term YTM - **Convexity**: Curvature of the yield curve[7]. 2. **Historical Percentile Analysis**: - Calculate the rolling 3-, 5-, and 10-year percentiles for each structural indicator to assess their relative positions[8][9]. - **Factor Evaluation**: These factors provide insights into the current state of the interest rate market and its deviation from historical norms[7][9]. --- Factor Backtesting Results 1. Interest Rate Structural Indicators - **Level**: - Current Value: 1.58% - Weekly Change: -0.24BP - Historical Percentiles: 10% (3-Year), 6% (5-Year), 3% (10-Year)[9] - **Term**: - Current Value: 0.27% - Weekly Change: +4.42BP - Historical Percentiles: 7% (3-Year), 4% (5-Year), 8% (10-Year)[9] - **Convexity**: - Current Value: -0.04% - Weekly Change: -6.28BP - Historical Percentiles: 8% (3-Year), 5% (5-Year), 5% (10-Year)[9]