债市久期全知道

Investment Rating - The report maintains a bullish outlook on interest rates, indicating a downward trend in rates based on quantitative model signals [5][6]. Core Insights - The overall signal from the interest rate timing model suggests a downward movement in interest rates, with trend signals starting from November 8, 2024, and volatility signals from December 2, 2024 [5][6]. - The median duration of public funds slightly decreased by 0.03 years to 2.89 years, placing it at the 74th percentile over the past three years [16]. - The duration divergence index increased to 0.58, which is at the 78th percentile over the past three years, indicating rising divergence among fund durations [2][16]. Summary by Sections Interest Rate Timing Model - The latest model signals indicate a shift to a downward outlook for interest rates, with the total signal direction confirming this since December 2, 2024 [5]. - The model has maintained a bullish signal since the beginning of 2025, continuing from the previous year's signals [6]. Duration Tracking - The median duration of public funds has slightly decreased, reflecting a cautious approach among fund managers [16]. - The increase in the duration divergence index suggests a growing disparity in duration strategies among different funds [2][16].