“固收+”基金策略系列：国债期货赋能固收类产品效果几何？

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report analyzes the application effects of treasury bond futures in bond funds by summarizing common strategies of treasury bond futures, combining with the position data of public - offering funds and the performance of fixed - income products in 2024, aiming to provide references for investors [3][5]. 3. Summary According to the Catalog 3.1 Treasury Bond Futures Common Strategies - Trend Strategy: It involves directly profiting from judging interest rate directions or basis deviations from the mean. Futures index performance is highly negatively correlated with spot maturity yields, and long - term contracts have a higher correlation with spots. The long - position substitution strategy has advantages in low capital occupation under the margin mechanism and potential for profit when the basis deviates from the mean, especially in long - term contracts [3][7]. - Hedging Strategy: It aims to hedge interest rate fluctuation risks by establishing opposite transactions in the futures market to the spot positions. The steps include determining the target and direction, calculating the hedging ratio (using the duration method or DV01 method), and opening and closing positions [3][20]. - Arbitrage Strategy: - Cash - and - Carry Arbitrage: It can be divided into positive and reverse arbitrage. Positive arbitrage is suitable when the net basis is negatively deviated and the IRR is higher than the capital cost; reverse arbitrage is appropriate in the opposite situation. Reverse arbitrage opportunities are more frequent but riskier [3][25]. - Calendar Spread Arbitrage: It trades the price difference between different expiration - month contracts of the same treasury bond futures variety, often benefiting from the liquidity game during the roll - over period [3][31]. - Inter - Commodity Spread Arbitrage: It includes yield curve arbitrage (steepening or flattening) and duration - neutral arbitrage, which aim to capture relative value returns by hedging interest rate directional risks [3][35]. 3.2 Current Situation of Public - Offering Funds' Participation in Treasury Bond Futures - From 2017 to 2024, the participation of public - offering funds in the treasury bond futures market increased significantly. By the end of 2024, 46 institutions held positions, with nearly 100 participating products and a total scale exceeding 200 billion yuan. The position volume decreased by 7.6% year - on - year to 10,280 lots, while the contract market value increased by 16% year - on - year to 13.7 billion yuan. There is a significant Matthew effect, with the top funds holding a large proportion of the market [3][45]. - Bond funds are the main participants. Pure - bond funds account for 3/4 of the total public - offering market's position scale, among which medium - and long - term bond funds account for more than half, and "fixed - income + equity" funds account for nearly 20% [3][54]. 3.3 Analysis of Public - Offering Funds' Positions in Treasury Bond Futures - The position structure strategy has gradually changed from a bullet - type to a ladder - type and presented a dumbbell - type at the end of 2024, with short - end and ultra - long - end as recent allocation focuses [59]. - The average position of public - offering funds in treasury bond futures is around 10%. At the end of 2024, the position of medium - and long - term bond funds was close to the upper limit of 20%. The short - position average was 7.3%, 4 percentage points higher than the long - position [62][63]. - The long - position timing enhancement effect of public - offering funds is good, and the correlation coefficient between the position and yield performance in a bull market environment exceeds 0.3. The short - position hedging strategy shows two - stage characteristics [66][68]. 3.4 Performance Evaluation of "Fixed - Income + Treasury Bond Futures" Funds in 2024 - Overall Performance of Public - Offering Bond Funds: In 2024, the scale ratio of "fixed - income + equity" and pure - bond funds participating in treasury bond futures was 3:7, and the number ratio was 1:1. The scale ratio of short - only/mixed/long - only strategies was close to 7:2:1. The use of treasury bond futures strategies improved the Sharpe ratio of bond funds by 0.6 - 1.0. The "fixed - income + equity + treasury bond futures" strategy significantly increased returns, and the mixed strategy improved drawdowns, but the "pure - bond + treasury bond futures" strategy did not show significant effects on returns and drawdowns [80]. - Performance of "Fixed - Income + Equity" Funds' Treasury Bond Futures Strategies: Compared with the average of secondary bond funds, the three treasury bond futures strategies of "fixed - income + equity" funds showed differentiation. The long - only strategy had better target - achievement effects throughout the year [92]. - Performance of Pure - Bond Funds' Treasury Bond Futures Strategies: Compared with the average of primary bond funds, the use of treasury bond futures strategies mainly improved the return stability. The short - only strategy had a certain hedging effect in unilateral market conditions, with a win - rate of over 80%. The overall achievement effect of treasury bond futures was inferior to that of "fixed - income + equity" funds [80].