量化信用策略：久期跑出超额收益

Group 1: Portfolio Strategy Performance - The simulated portfolio's weekly return increased, with the credit style long-duration strategy significantly enhancing returns, while the interest rate style remained dominant[1] - In the interest rate style portfolio, the highest returns were from the urban investment long-duration and secondary capital bonds long-duration strategies, yielding 0.7% and 0.67% respectively[1] - In the credit style portfolio, the urban investment long-duration and secondary capital bonds long-duration strategies led with returns of 0.99% and 0.89% respectively[1] Group 2: Yield Sources and Trends - Various strategy combinations saw a decline in coupon yields for three consecutive weeks, with capital gains dominating returns[2] - The urban investment short-end sinking strategy's weekly coupon yield was 0.046%, down by 0.11bp, marking it as the largest decline among credit strategies[2] - The coupon contributions from the urban investment and mixed barbell strategies were only 7.1% and 7.4%, indicating that capital gains accounted for the majority of returns[2] Group 3: Excess Returns Tracking - Over the past four weeks, the cumulative excess return advantage of duration strategies has become evident, with urban investment barbell, broker debt duration, and urban investment duration strategies yielding excess returns of 53.6bp, 19.5bp, and 14.8bp respectively[3] - The urban investment and long-duration bond heavy strategies significantly outperformed the benchmark, with urban investment long-duration and secondary capital bonds long-duration strategies exceeding the benchmark by 47.4bp and 37.9bp respectively[3]