Core Insights - As of July 4, 2025, the interest rate timing model has maintained a bullish signal since June, indicating a stable upward trend in the bond market [1][10] - The model's predictions align with the actual performance of the TL bond, which rose by 1.01 yuan, a 0.85% increase in June [1][10] Model Performance Review - The timing model effectively identified multiple buying windows in 2024, with a high correlation between predicted results and periods of declining interest rates [2][11] - Since May 14, 2024, the strategy's net value reached 1.179, outperforming the benchmark net value (TL) by a cumulative excess of 4.22% [2][17] - The model demonstrated strong excess return capabilities during bullish cycles but showed significant drawdowns during bearish periods, indicating a need for improvement in recognizing short-selling scenarios [2][14][17] Subsequent Optimization - The model's performance in bearish market conditions is limited due to insufficient training data from the newly listed 30-year Treasury futures (TL) [2][18] - To enhance the model's ability to identify bearish trends, historical data from the 10-year Treasury futures (T), which has a high price correlation with TL, will be utilized for training [2][19]

利率择时模型：总信号维持看利率震荡。 波动信号由 2025 年 4 月 21 日开始看利率上行，趋势信号由 2025 年 4 月 24 日开始看利率下行，模型总体看利率震 荡。本信号为量化模型客观运行结果，谨供参考。 久期全知道：久期继续上升。 4 月 28 日至 4 月 30 日，公募基金久期中位值上升 0.01 至 2.95 年，处于过去三年 77%分位。 久期全知道：分歧度增加。 4 月 28 日至 4 月 30 日，久期分歧度指数上升至 0.58，处于过去三年 84%分位。 风险提示 模型适用性风险，模型估算误差 敬请参阅最后一页特别声明 1 扫码获取更多服务 固定收益动态(动态) 利率择时模型 模型最新信号：模型维持看利率震荡 图表1：择时模型信号 | 信号类型 | 最新判断 | 起始时间 | | --- | --- | --- | | 总信号方向 | 利率震荡 | 2025/4/24 | | 趋势 | 利率下行 | 2025/4/24 | | 波动 | 利率上行 | 2025/4/21 | 来源：国金证券研究所 模型信号解读：波动信号由 2025 年 4 月 21 日开始看利率上行，趋势信号由 2 ...