量化信用策略：超额收益来自哪个策略？

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the simulated portfolio returns all returned to the positive range, with the interest - rate style strategy portfolio outperforming. The long - term strategies in both interest - rate and credit styles showed good performance [2][15]. - In terms of return sources, the coupon income of various strategy portfolios increased week - on - week, and the coupon contribution turned positive. Capital gains became the main component of the comprehensive return this week [3][27]. - In the past four weeks, the financial bond duration strategies had leading cumulative excess returns, while the portfolios overweighting long - term urban investment bonds still had negative cumulative excess returns [4][32]. 3. Summary by Relevant Catalogs 3.1 Combination Strategy Return Tracking 3.1.1 Portfolio Weekly Return Overview - As of April 30, the cumulative returns of the interest - rate and credit style portfolios this year were lower than the same period in the past two years, and the interest - rate style portfolio returns exceeded the credit style. In the credit style portfolio, the cumulative comprehensive returns of the urban investment short - end sinking, secondary capital bond duration, and bullet - type combinations were among the top, reaching 0.75%, 0.56%, and 0.53% respectively, while the cumulative return of the industrial long - term combination was still at a low level of 0.18% [10]. - This week, the simulated portfolio returns all returned to the positive range, and the interest - rate style strategy portfolio was dominant. In the interest - rate style portfolio, the secondary long - term and industrial long - term strategy portfolios had the highest weekly returns, at 0.38% and 0.36% respectively; in the credit style portfolio, the secondary long - term and industrial long - term strategy portfolios also had relatively high returns, at 0.44% and 0.35% respectively [2][15]. - By overweighted bond types, the long - term bond overweight strategies significantly recovered. The average weekly return of the credit - style certificate of deposit overweight portfolio rose to 0.17%, with a week - on - week increase of 23.5bp, and the interest - rate style portfolio return exceeded the credit style portfolio. The average weekly return of the urban investment bond overweight portfolio rose to 0.21%, with the dumbbell - type strategy slightly leading the average. The single - week return of the short - end sinking strategy, which previously resisted fluctuations, dropped to 0.16%. The average weekly return of the secondary capital bond overweight portfolio rose to 0.27%, outperforming the urban investment bond overweight strategy as a whole. In particular, the single - week returns of the secondary bond duration and mixed dumbbell - type combinations reached over 0.3%. The long - term bond overweight strategy recovered strongly compared to last week, performing basically the same as the corresponding interest - rate style portfolio, and the absolute return of the secondary long - term combination led the non - financial credit long - term combination [2][19]. 3.1.2 Portfolio Weekly Return Sources - In terms of return sources, the coupon income of various strategy portfolios increased week - on - week, and the coupon contribution turned positive. Among the main strategies, the coupon of the urban investment duration and dumbbell - type combinations rose above 0.04%, with a week - on - week increase of about 0.1bp, while the coupon of the secondary capital bond bullet - type combination was less than 0.038%. This week, capital gains became the main component of the comprehensive return, and the coupon contribution of the credit - style portfolio fell within the range of 9% to 26%. The readings of the secondary bond duration and mixed dumbbell - type strategies dropped below 15%, obtaining significant spread income [3][27]. 3.2 Credit Strategy Excess Return Tracking - In the past four weeks, the financial bond duration strategies had leading cumulative excess returns. Among them, the cumulative excess returns of the securities firm bond duration, secondary capital bond duration, and bullet - type strategy portfolios reached 15bp, 5.6bp, and 5.4bp respectively. Except for the securities firm bond sinking strategy, the cumulative readings of the other financial bond overweight portfolios were basically positive. In particular, the secondary perpetual bond duration strategy showed significant excess returns this week, while the portfolios overweighting long - term urban investment bonds still had negative cumulative excess returns [4][32]. - From the perspective of strategy terms, the secondary perpetual bond duration and secondary long - term combinations won in the long - term strategies. Short - term strategies rarely had excess returns, and the reading of the urban investment sinking combination dropped to - 0.4bp, underperforming the certificate of deposit strategy. In the medium - long - term strategies, the excess returns of the secondary capital bond and perpetual bond duration combinations reached 8.8bp and 11.3bp respectively, while the excess returns of the other strategies over the benchmark were less than 5bp, and the sinking strategies generally underperformed the duration strategies. Notably, the excess return of the urban investment short - end sinking strategy compared to the medium - long - term benchmark turned negative. Its annual performance was superior mainly because of controllable drawdowns, with a single - week excess return of over 10bp in February and a small negative deviation from the benchmark return. The long - term strategies as a whole returned to the level of early April, and the excess return of the secondary long - term strategy rose to the highest point since mid - January [4][35].