量化信用策略：城投重仓策略有效性提升

Performance Overview - The credit style simulated portfolio's overall performance improved, outperforming the interest rate style, with the highest returns from the city investment ultra-long and industry ultra-long strategies at 0.91% and 0.83% respectively[6] - The city investment heavy-weight portfolio's weekly average return significantly increased to 0.38%, with the "barbell" strategy achieving a high return of 0.57%[21] Yield Sources - The yield from the city investment short-end sinking strategy fell to 0.05%, a decrease of 0.136%, marking it as the largest drop among credit strategies[7] - The capital gains contribution was substantial, particularly from the city investment barbell and duration strategies, which had yield contributions of only 8.3% and 13.4% respectively[29] Excess Returns Tracking - Over the past four weeks, the perpetual bond sinking strategy accumulated an excess return of 7.6 basis points (bp), while the secondary capital bond duration and bullet strategies yielded 5.4 bp and 5 bp respectively[8] - The city investment barbell strategy's excess return this week largely offset the losses from the previous three weeks[36] Risk Considerations - There are potential distortions in the simulated portfolio configuration methods and errors in yield measurement methods that could affect the results[9]