利率择时策略研究系列之四：久期轮动策略创新及债券ETF组合应用

Group 1 - The report highlights the rapid development of bond ETFs since 2018, which have become an important tool for fixed income asset allocation, improving the performance of fixed income portfolios [2][56]. - The duration rotation strategy is based on the signal value of implied interest rates from government bond futures, which is used for duration allocation and bond ETF combinations [2][56]. - Backtesting of the duration rotation strategy applied to bond indices shows that the index combinations outperform the benchmark, with annualized returns exceeding the benchmark by 29 basis points for the conservative weight combination and 60 basis points for the aggressive weight combination [2][56]. Group 2 - The report discusses the application of the duration rotation strategy to government bond ETF combinations, indicating that the returns significantly exceed the benchmark, with annualized returns exceeding the benchmark by 82 basis points for the conservative weight combination and 102 basis points for the aggressive weight combination [2][56]. - Yearly comparisons show that the duration rotation strategy can achieve substantial excess returns even in volatile market conditions [2][56]. - The report emphasizes that the risk parameters of the duration rotation strategy are comparable to the benchmark, indicating a balanced risk-return profile [2][56]. Group 3 - The report outlines the historical development of bond ETFs, noting that the first bond ETF was launched in 2013, and the market has seen significant growth since 2018 due to favorable market conditions [7][14]. - The advantages of bond ETFs are highlighted, including low interest rates, low volatility, and the flexibility of trading, redemption, and collateralization [11][14]. - The report provides a detailed analysis of the duration rotation strategy, including the methodology for generating long and short signals based on implied interest rates and market conditions [24][30]. Group 4 - The report presents the performance of different duration bond ETFs, indicating that ETFs with similar durations and bond types tend to perform consistently [51]. - The backtesting period for the bond ETF duration rotation strategy is set from September 2020 to July 2025, allowing for a comprehensive analysis of performance [52]. - The report concludes with a summary of the findings, reiterating the effectiveness of the duration rotation strategy in enhancing returns while maintaining comparable risk levels [53][56].