低利率环境下债券市场投资研究的突围之路

Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Report's Core View - The bond market pricing logic has shifted from "asset - end" to "liability - end". A new framework based on "liquidity", "institutional behavior", and "relative value" is proposed to help institutions trade flexibly. The concept of fixed - income sell - side research also needs to change [8] Group 3: Summary by Relevant Catalogs 1. Current Bond Market's "Liability - End" Pricing Logic - Key Variable for Interest Rate Fluctuation and Macroeconomic "Desensitization" - Money Velocity: Interest rate and macro - economy relationship has become "desensitized". The link between interest rate changes and macro - economic trends assumes stable money velocity. Economic structural adjustment may have reduced money velocity, leading to a decline in nominal growth and a decrease in real - sector funding demand [9][10] - Macro Observation of "Liability - End" Pricing of Interest Rate Trends - Relative Liquidity: Interest rate pricing now depends more on the "liability - end" or the supply side of funds. With the weakening of real - sector financing demand, bond yields are more determined by the relative scale of funds chasing bonds, i.e., "relative liquidity" [15][16] - Micro Observation of "Liability - End" Pricing of Interest Rate Trends - Institutional Allocation and Trading Power: Institutional behavior is an intermediary variable affecting bond pricing. Institutions should be classified by "allocation behavior" and "trading behavior". Allocation behavior has seasonal characteristics, while trading behavior occurs in a short time and requires micro - confirmation [21][22] 2. Bond Investment Solutions in a Low - Interest - Rate Environment - Active Trading to Increase Returns - Trading is a Process of Exchanging Liquidity for Returns: Trading is not a zero - sum game but a process of exchanging liquidity for returns. Higher trading activity can bring liquidity premiums. Institutions can exchange liquidity for returns, and the central bank's policies aim to enhance market liquidity [29][30] - Two Trading Strategies: Trend Strategy and Relative Value Strategy: Trend strategy focuses on accurately judging the pricing factors of a target to follow the trend and gain returns, relying on grasping "common points". Relative value strategy focuses on finding the different pricing factors between related targets, reducing model complexity and analysis difficulty, and is a grasp of "differences" [32] - Role of Two Trading Strategies' Logic in Allocation - Type Institutions: For allocation - type institutions, timing corresponds to the logic of the trend strategy, and bond selection corresponds to the logic of the relative value strategy. When timing, they need to consider long - term and short - term factors; when selecting bonds, they need to judge the dynamic relative value [34] 3. New Framework for Bond Investment Research - Pyramid Pricing System Based on a Low - Interest - Rate Environment - Triple Structure of the Pyramid Pricing System: Liquidity, Institutional Behavior, and Relative Value: The bottom layer is the "liquidity" system, which includes macro, meso, and micro variables related to funds and bond liquidity. The middle layer is the "institutional behavior" system, which requires a complete and forward - looking research system. The upper layer is the "relative value" system, which shows the relative position of spreads but is not a decisive factor for relative value strategies [40][44][47] - Building a Decision - Factor Tree for Relative Value Trading Strategies: Select appropriate liquidity, institutional behavior, and relative value factors according to the target of a relative value trading strategy to build a decision - factor tree. Analyze each factor and assign weights to judge the strategy's win - rate and odds. Allocation - type institutions can transform their position adjustment problems into relative value trading strategies for analysis [51] 4. Understanding of the New - Era Fixed - Income Sell - Side Research Concept - In the high - interest - rate stage, fixed - income sell - side research provided macro - level information to support investment decisions. In the low - interest - rate stage, it should provide bottom - up market characteristics to support investment trading and position management, and its positioning should shift from "guiding direction" to "assisting execution" [54]