走楼梯之后的债市超额：回归“旧”与拥抱“新”

Report Industry Investment Rating No relevant content provided. Report's Core View - From the perspective of economy and interest rate cuts, the bond market is not over - priced in the long - term compared to deposit rates. The current decline in bond market interest rates is reasonable when measured against loan rates, and the main reasons for the bond market entering a plateau are short - term capital frictions and doubts about the sustainability of the "long - term low - interest rate story" due to domestic and overseas factors [3][4]. - The long - and short - term impacts of "double cuts" (reserve requirement ratio and interest rate cuts) involve the re - replacement of monetary policy and the return of funds to "normal." Short - term capital frictions may end by the end of the second quarter [5]. - In the short term, the coupon strategy is dominant, and there may be room to extend duration in Q3. The awareness of the risk of interest rate rebound in the long - term suppresses the "front - running" in the bond market. It is recommended to maintain duration without chasing long - term interest - rate bonds in the short term and focus on convex - point area bonds on the yield curve. In Q3, using loan rates as an anchor, interest rate cuts may further drive interest rates down [6]. - In a low - interest - rate environment, attention should be paid to the expansion of new assets such as science and technology innovation bonds and REITs, as well as new strategies like the expansion and rotation of bond - fund ETFs and the rise of bond - market quantitative strategies [7]. Summary by Relevant Catalogs Economic and Loan Perspective on Bond Market Pricing - The bond market is not over - priced in the long - term when compared to deposit rates. The current decline in bond market interest rates is reasonable when measured against loan rates. The main reasons for the bond market entering a plateau are short - term capital frictions and doubts about the sustainability of the "long - term low - interest rate story" due to domestic and overseas factors [3][4]. Monetary Policy Re - replacement and Return of Funds to "Normal" - After the implementation of reserve requirement ratio cut funds, funds tightened marginally, possibly due to fluctuations caused by changes in the timing of monetary policy issuance. The impact of deposit rates on funds flowing out of the banking system became more obvious after 2024. Short - term capital frictions may end by the end of the second quarter [5]. Strategy Rotation after the "Stair - climbing" - In the short term, the coupon strategy is dominant, and there may be room to extend duration in Q3. The awareness of the risk of interest rate rebound in the long - term suppresses the "front - running" in the bond market. It is recommended to maintain duration without chasing long - term interest - rate bonds in the short term and focus on convex - point area bonds on the yield curve. In Q3, using loan rates as an anchor, interest rate cuts may further drive interest rates down [6]. New Strategies and Assets in a Low - Interest - Rate Environment - Attention should be paid to the expansion of new assets such as science and technology innovation bonds and REITs, as well as new strategies like the expansion and rotation of bond - fund ETFs and the rise of bond - market quantitative strategies [7]. Bond - market Quantitative Strategies - The multi - factor model is an important means of bond - market quantification. The combination method of multi - factors, model selection, and supporting strategies are the main factors determining the effectiveness of the model. A modular approach is adopted to construct a high - frequency factor database based on factor mining and a multi - factor model framework for position allocation [94][90].