卖方观点是利率的先行指标吗？-20250429

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The seller sentiment index is a degree - type indicator of interest rate trends. Since 2023, the seller sentiment has been mostly optimistic, corresponding to a decline in interest rates. The weekly correlation coefficient between the seller sentiment index and interest rates is - 0.44, indicating an inverse correlation [4][12]. - The seller sentiment index has weak ability to predict events/news - related shocks in advance. Most of the time, the change of the sentiment index lags behind the appearance of interest rate inflection points. The overall guiding significance for left - hand side prediction is weak, but it is useful for right - hand side response and grasping [4][13]. - The change in the views of fixed - income sellers has a significant effect on interest rate prediction. Since 2024, the winning rate is 74%, and since Q3 2024, it is 92%. The winning rate in the bond market correction since 2024 is 60% [3]. - Two indicators are constructed to measure the divergence of fixed - income sellers' views. When the divergence is high, the subsequent interest rate is likely to break out of the consolidation. The driving factors for high divergence vary, from market - driven to active changes [3][24]. - By examining the reasons of the long and short sides since 2024, some patterns are found, such as inaccurate point - based judgments from the odds perspective, supply shocks being only auxiliary negatives, the market's learning effect increasing, and risk preference changes and weak fundamentals being difficult - to - falsify negative/positive factors [4][5][30]. Summary According to the Directory 1. Bond Market Sentiment Observation - Construction and Application of Seller Sentiment Index 1.1 Construction of the Fixed - Income Seller Sentiment Index System - Based on seller views, an index for observing the bond market sentiment is constructed. Fixed - income seller views are classified into bullish, neutral, and bearish, and then weighted or unweighted and integrated to obtain the sentiment signal from the fixed - income seller perspective [11]. - When the fixed - income seller is clearly bullish, a weight of 2 points is given; slightly bullish is 1 point; neutral, slightly bearish, and bearish are 0 points, - 1 point, and - 2 points respectively. Among 61 view expressions, the number of optimistic and neutral views on the bond market is significantly higher than that of pessimistic views, which are 13, 43, and 5 times respectively [11][12]. 1.2 Relationship between Seller Sentiment and Interest Rate Trends and Whether It Is a Leading Indicator - The seller sentiment is a degree - type indicator of interest rate trends. Since 2023, the seller sentiment has been mostly optimistic, corresponding to a decline in interest rates. The weekly correlation coefficient between the seller sentiment index and interest rates is - 0.44, indicating an inverse correlation [4][12]. - The index has difficulty in predicting events/news - related shocks in advance. Most of the time, the change of the sentiment index lags behind the appearance of interest rate inflection points. Among 8 bond market inflection points from January 2024 to the present, the seller sentiment only successfully predicted one inflection point, with a relatively low winning rate [13][15][16]. 2. Application of the Seller Sentiment Index from Three Perspectives - View Changes, Divergence Trends, and Logical Similarities and Differences 2.1 View Changes - How Effective Is It in Guiding Interest Rate Trends? - By observing the change in institutional views (i.e.,环比 change), the possible trend of interest rates can be judged. The winning rate of the环比 change of institutional views in predicting interest rates is about 74%. The winning rates of predicting the 10Y Treasury bond yield for the next week and two weeks are 74% and 72% respectively. Among 10 cases of the index's环比 weakening, 6 cases were followed by an increase in interest rates, with a winning rate of 60% [18]. - The winning rate of the sentiment index in predicting interest rate trends has gradually increased. From Q3 2024 to March 2025, the winning rate of view changes in predicting interest rates in advance was about 92% [19]. - The guiding effect of view changes is better than the "benchmark winning rate" constructed by the "buy - on - up, sell - on - down" strategy. The winning rate of the most optimistic strategy in 2024 was 67%, and it dropped to 60% when extended to April this year [23]. 2.2 Long - Short Divergence - From Market - Driven to Active Changes - Two types of indicators are constructed to measure the divergence of fixed - income sellers' views: standard deviation and the Seller Divergence Index (SDI). The SDI is more accurate in reflecting divergence on some dates, while the standard deviation is more volatile and easier to observe [24][27]. - When the divergence of fixed - income sellers is high, the subsequent interest rate will choose a direction and is likely to break out of the consolidation. Among 4 cases of high divergence since 2024, there were two obvious corrections and two declines in interest rates [27]. - The driving factors for high divergence vary. In the first three cases, market movements preceded institutional view changes, while since 2025, some institutions have actively turned bearish in a sideways market, indicating an enhanced learning effect [27]. 2.3 Logical Similarities and Differences - Identification of "Pseudo - Patterns" - Judgments on points from the odds perspective may not be accurate. In 2024, interest rates declined rapidly, but there were many bearish views in the first quarter, such as "the downward space of current interest rates is limited" [30]. - Supply shocks are only temporary disturbances and auxiliary negatives. In 2024, although the market was worried about supply shocks in the second quarter, in fact, they were not the main driver of rising interest rates [31]. - The market's learning effect is increasing, and seller views are "self - evolving". After several corrections in 2024, the market gradually became less sensitive to the same factors, and seller views analyzed regulatory factors from different perspectives. Since January - February this year, the change in the sentiment index has led the interest rate trend to some extent [31]. - Risk preference changes and weak fundamentals are two difficult - to - falsify negative/positive factors. A decline in the preference for relatively high - risk assets is usually required to increase the probability of bonds winning. The bond market has been pricing in weak fundamentals since 2024, and interest rates are more sensitive when the fundamentals improve [32].