量化信用策略：子弹型策略跑赢哑铃型

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the simulated portfolio's returns continued to decline, but the interest - rate style strategy still had a small positive return. Credit style's secondary bond sinking and secondary bond bullet - type strategies had relatively high returns in their respective style groups [2]. - In terms of risk resistance, strategies with heavy positions in certificates of deposit (CDs) and secondary capital bonds were more resilient to fluctuations, while the returns of strategies with heavy positions in ultra - long bonds declined significantly [2]. - Currently, the coupon income of various strategy portfolios has been declining for four consecutive weeks, and capital gain losses have significantly dragged down the overall returns. Bond coupon income this week could not cover capital gain losses, especially for portfolios with longer durations [3]. - In the past four weeks, the non - financial credit duration strategy's cumulative excess return remained leading. Among different strategy durations, mid - to long - term bullet - type strategies generally had difficulty achieving excess returns but were better than dumbbell - type allocations [4]. 3. Summaries According to Relevant Catalogs 3.1 Combination Strategy Return Tracking 3.1.1 Portfolio Weekly Return Overview - As of April 18, 2025, the cumulative returns of the interest - rate style and credit style portfolios this year were lower than those of the same period in the past two years, but the performance of the interest - rate style portfolio was approaching that of the same period in 2023. In the credit style portfolio, the cumulative comprehensive returns of the urban investment short - end sinking, urban investment duration, and urban investment bullet - type portfolios led, reaching 0.66%, 0.55%, and 0.49% respectively, and the interest - rate style portfolio's returns generally exceeded those of the credit style portfolio [10]. - This week, in the interest - rate style portfolio, the secondary bond sinking and secondary bond bullet - type strategy portfolios had higher returns, at 0.08% each. In the credit style portfolio, the secondary bond sinking and secondary bond bullet - type strategies were among the few with non - negative returns, with weekly return readings of 0.02% and 0% respectively [2]. - By heavy - position bond types, the CD and secondary capital bond heavy - position strategies were more resilient to fluctuations. The average weekly return of the credit style CD heavy - position portfolio dropped to - 0.02%, with a relatively small drawdown. The average weekly return of the urban investment heavy - position portfolio decreased to - 0.05%, and the comprehensive return of this portfolio decreased by an average of 36.1bp. The secondary capital bond heavy - position portfolio was resilient this week, with its average weekly return decreasing by 27.8bp, and the secondary bond bullet - type and sinking strategies did not turn negative. The returns of the ultra - long bond heavy - position strategy declined significantly, with the return of the urban investment ultra - long - type portfolio, which led last week, dropping by 83bp [2]. 3.1.2 Portfolio Weekly Return Sources - Currently, the coupon income of various strategy portfolios has been declining for four consecutive weeks, and capital gain losses have significantly dragged down the returns. Among the main strategies, the coupon of the urban investment short - end sinking strategy was still above 0.039%, better than that of the urban investment dumbbell - type portfolio, but this week's coupon of this strategy decreased by 0.12bp, with a decline rate exceeding that of most other strategies. This week, bond coupon income could not cover capital gain losses, especially for portfolios with longer durations, and the comprehensive returns were generally significantly affected [3]. 3.2 Credit Strategy Excess Return Tracking - In the past four weeks, the non - financial credit duration strategy's cumulative excess return remained leading. The cumulative readings of the urban investment dumbbell - type, urban investment duration, and perpetual bond duration strategy portfolios reached 29.4bp, 18.1bp, and 11.9bp respectively. Strategies with leading cumulative returns mostly had obvious excess advantages in the past three weeks but gave back some of their previous returns this week. Strategies such as the secondary bond and commercial financial bond bullet - type, which were dominant this week, still had negative cumulative excess returns [4]. - In terms of strategy duration, mid - to long - term bullet - type strategies generally had difficulty achieving excess returns but were better than dumbbell - type allocations. For short - term strategies, the excess returns of the CD and urban investment sinking portfolios were both negative, but the deviation of the CD strategy from the benchmark narrowed, slightly better than the urban investment sinking strategy. For mid - to long - term strategies, the urban investment duration, secondary bond bullet, secondary bond sinking, and commercial financial bond bullet - type portfolios had positive excess returns within 4bp, while most other portfolios had readings above - 3bp, showing no obvious differentiation in strategy performance. The decline of the ultra - long bond strategy far exceeded that of the mid - to long - term strategies, and the excess return was close to the level at the beginning of March. All types of portfolios underperformed the benchmark, especially the urban investment ultra - long - type strategy, whose reading dropped to - 23.4bp [4]. 3.3 Attachment: Simulated Portfolio Allocation Method The report details the allocation methods for different combination styles (interest - rate style and credit style) and various credit strategies, including the allocation ratios of interest - rate and credit parts [43].