量化信用策略：普信债仓位扛回撤

Performance Overview - The simulated portfolio experienced a significant decline this week, with credit style strategies outperforming rate style strategies[1] - Among rate style strategies, the city investment ultra-long and city investment barbell strategies had smaller drawdowns of -0.32% and -0.33% respectively[1] - In the credit style strategies, the city investment ultra-long and barbell strategies reported returns of -0.02% and -0.06% respectively[1] Yield Sources - Yield from various strategy combinations generally declined, with capital loss significantly impacting the returns of the secondary capital bond heavy strategy[2] - The weekly yield for the secondary capital bond duration strategy fell to a low of 0.035%, with a minor decline compared to previous weeks[2] - The yield contributions from the secondary capital bond heavy strategy were around -15%, indicating substantial capital loss[2] Excess Returns Tracking - The city investment barbell strategy achieved a cumulative excess return of 31.8 basis points (bp) over the past four weeks, outperforming other medium to long-term strategies[3] - More than half of the strategies recorded cumulative excess returns below 10 bp, indicating a decline in the effectiveness of credit strategies[3] - The short-end strategies, particularly the deposit strategy, underperformed the benchmark, with excess returns dropping to -4.3 bp, the lowest since early December[3] Risk Factors - There are potential distortions in the simulated portfolio configuration methods and errors in yield calculation methods[4]