量化信用策略：久期策略扛跌测试

Group 1 - The simulated portfolio's returns have declined this week, with credit style portfolios experiencing smaller drawdowns compared to interest rate style portfolios. The weekly returns for the industrial ultra-long and municipal short-end sinking strategies were -0.1% and -0.13% respectively [2][14] - In the credit style portfolio, the industrial ultra-long and broker debt sinking strategies were among the few that still had positive returns, recording 0.1% and 0.03% respectively [2][15] - The average weekly return for the credit style time deposit heavy combination fell to -0.01%, with a controllable decline compared to the previous week. The short-duration combinations demonstrated strong volatility resistance [2][17] Group 2 - The coupon income from municipal heavy strategies has dropped to a low point, making it difficult to cover weekly capital gains losses. Most municipal heavy combinations have seen their annualized coupon income fall below 1.9% [3][24] - The coupon contributions from the credit style combinations have generally turned negative, particularly for the municipal dumbbell and secondary debt duration strategies, which fell into the -35% to -30% range [3][24] Group 3 - In the past four weeks, broker debt strategies have gained favor, with cumulative excess returns for broker debt duration, municipal dumbbell, and broker debt sinking strategies at 18.5bp, 15.6bp, and 12.4bp respectively [4][28] - The broker debt duration strategy has achieved a cumulative return of 1.92% since the second quarter, ranking just below the municipal dumbbell strategy, which is around 1.98% [4][28] - Short-duration strategies have outperformed the mid-to-long-term benchmarks, with the municipal short-end sinking strategy exceeding the mid-to-long-term benchmark by the largest margin since May [4][30]