量化信用策略：什么策略最扛跌？

Group 1: Strategy Performance - The simulated portfolio's overall return decreased week-on-week, with credit strategies outperforming interest rate strategies[1] - Among interest rate strategies, the highest returns were from the deposit sinking and bullet strategies at -0.91% and -0.92% respectively[1] - In credit strategies, the deposit sinking and bullet strategies had returns of -0.34% and -0.36% respectively[1] Group 2: Weekly Returns Analysis - The average weekly return for the credit style deposit-heavy portfolio was -0.35%, down 46.6 basis points from the previous week, indicating strong defensive attributes[1] - The city investment heavy portfolio's average weekly return fell to -0.52%, with the short-end sinking strategy at -0.41%, showing a smaller decline compared to other mid to long-term portfolios[1] - The average weekly return for the super long bond heavy portfolio reached -1.03%, amplifying return volatility similar to interest rate strategies[1] Group 3: Yield Contributions - All strategy combinations saw negative contributions from coupon yields, ranging from -12% to -4%, with most portfolios covering only one-tenth of their losses[1] - The mixed barbell and secondary capital bond duration strategies had coupon contributions of -5.8% and -6.4% respectively, significantly dragging down overall returns[1] Group 4: Excess Returns Tracking - The broker bond duration portfolio showed high cumulative excess returns over the past four weeks, with readings of 11.5 basis points for broker bonds and 3.7 basis points for commercial bonds[2] - Short-end strategies performed better this week, with the deposit sinking strategy achieving its highest excess return since May at 5.6 basis points[2] - The super long bond strategy's excess return significantly declined to -54.5 basis points, marking a notable drop from earlier stability[2]