主被动融合:基于XGBoost算法的策略型债券指数  

Development of a Strategic Bond Index Based on the XGBoost Algorithm

作　　者：罗东原 刘义伟 曹轶岚 杨启凡 宋智鑫 王馨平 LUO Dongyuan;LIU Yiwei;CAO Yilan;YANG Qifan;SONG Zhixin;WANG Xinping(Institutional and Trading Business Committee of Guotai Junan;Fixed Income,Currency and Commodities Department,Guotai Junan)

机构地区：[1]国泰君安 [2]国泰君安机构与交易业务委员会 [3]国泰君安固定收益外汇商品部 [4]国泰君安固定收益外汇商品部投资业务部

出　　处：《金融市场研究》2024年第7期38-48,共11页Financial Market Research

基　　金：2023年NAFMII研究计划“银行间策略型债券指数研发及应用探索”(KFKT2023-059)。

摘　　要：从国际债券指数的编制经验来看,主动与被动投资融合是大势所趋。本文基于全市场最活跃的国债及政策性金融债编制了XGBoost多因子活跃券久期择时多头策略指数。首先通过流动性加权方式构建五个关键期限的活跃券底层指数,解决了因成分券流动性不足指数可复制性和可交易性较差的问题;然后利用集成学习中的XGBoost算法构建多因子模型进行久期择时,实现了指数整体回撤可控、超额收益可观的效果。策略型债券指数在实务中可以收益凭证、收益互换、场外期权等交易模式为载体,满足不同类型投资者的债券投资需求。未来可从引入票息作为成分券考量因素之一、由多头向多空策略转变等方向进一步研究增厚在不同市场环境下的收益。Judging from the experience of compiling international bond indices,the integration of active and passive investment is a general trend.In this paper,a multi-factor active bond duration-timing long strategy index is compiled based on the most active treasury bonds and policy financial bonds across the entire market.Firstly,the liquidityweighted method is employed to construct underlying indices for securities of five key maturities,,thereby solving the problem of poor replicability and tradability of the index due to the lack of liquidity of the constituent securities.The XGBoost algorithm in integrated learning is subsequently used to construct a multi-factor model for duration timing.This achieves the effect of controllable overall retraction of the index and results in considerable excess returns.Strategic bond indices can be used in practice as a vehicle for trading modes such as income certificates,income swaps and over-the-counter(OTC)options to meet the bond investment needs of different types of investors.In the future,further research can be conducted to enhance returns under different market environments in the direction of introducing bond coupons as one factor to be considered for constituent securities,and shifting from long to longshort strategies.

关 键 词：策略型债券指数 XGBoost算法 多因子模型 

分 类 号：F831.51[经济管理—金融学] TP181[自动化与计算机技术—控制理论与控制工程]