从风偏交易到负债再平衡：债券连续调整，问题出在哪？

Report Industry Investment Rating - The report maintains a cautious stance on the bond market. It suggests that if there is a significant adjustment, one can use a small position to bet on an oversold rebound (not for buying at high prices) [3][41]. Core Viewpoints - The bond market has experienced a steep decline this week despite weak fundamental data, and the problem lies in the bond itself, as it lacks the conditions to rise from both the asset and liability sides [3]. - The current trading main - line of the bond market may not be data, and single - month data may not confirm trends. The re - inflation trading brought by anti - involution may be in the first stage, with signs possibly appearing at the price level by the end of the year at the earliest [3][16]. - The view that the stock - bond seesaw causes the bond market to fall has logical flaws. The bond market's potential positives mainly rely on other assets and central bank actions, indicating insufficient internal positives [3][21]. - This year, the incremental funds of traditional bond market allocators such as banks and insurance in the bond market have significantly decreased, and it is hard to say that it is still an asset - shortage pattern [3][33]. - Mid - to long - term pure bond funds with shorter durations and earlier duration - reduction timings have achieved better returns this year [35]. Summary by Directory 1. Bond Market Weekly Review (2025.8.11 - 8.15) - This week, the bond market sentiment was suppressed by equities. Despite negative credit growth and economic data falling short of expectations, the bond market continued to be weak. By August 15, the 10Y Treasury yield rose 5.74BP to 1.75% compared to August 8, and the 30Y Treasury yield reached 2.05%. The 10Y - 1Y spread widened [6]. 2. Why Isn't There Weak - Data Trading Despite Weak Data? - There are differences in the bond market from multiple perspectives: - Inflation: There is a divergence between the limited price - pulling effect of anti - involution and the view that inflation has bottomed out. The bulls focus on the limited improvement in PPI and the time lag in price transmission, while the bears focus on the phased stabilization of PPI and the super - seasonal improvement of CPI. In July, PPI was - 3.6% year - on - year and - 0.2% month - on - month, with the month - on - month decline narrowing for the first time since March. CPI increased 0.4% month - on - month [3][9]. - Financial data: There are divergences between social financing and credit, and between negative credit growth and M1 growth. The bulls note that the rise in social financing is mainly driven by government bond financing, and credit was unexpectedly weak in July, with a rare negative growth of 50 billion yuan. The bears point out that M1 growth continued to rise to 5.60% in July, indicating active capital activation [3][11]. - Economic data: There is a divergence between trends and single - month fluctuations in production, investment, and consumption growth. The bulls see a slowdown in July's economic data, while the bears believe that the annual economic target is likely to be achieved, and consumption will support the economy in the second half of the year [3][13]. - The bond market's trading main - line may not be data, and single - month data may not confirm trends. The re - inflation trading brought by anti - involution may be in the first stage, with signs possibly appearing at the price level by the end of the year at the earliest [3][16]. 3. Did the Bond Market Fall Due to Anti - Involution and Stock Market Suppression? - Many market views believe that anti - involution and the stock market's suppression led to the bond market adjustment. However, this week, the commodity performance was average, and there were cases where stocks fell but bonds did not rise, accelerating market doubts about bond assets themselves [18][20]. - Using high - volatility assets to judge the trend of low - volatility assets has logical flaws. The view that the stock - bond seesaw causes the bond market to fall implies that the bond market's opportunities mainly rely on other assets' weakness, indicating limited long - term opportunities [3][21]. 4. The Problem of Bonds Lies in Themselves - Asset side: Since July, policies related to anti - involution have increased market expectations of rising inflation. At the same time, the good performance of the equity market has driven up market risk appetite. From the perspective of insurance institutions, the cost - effectiveness of bond assets is insufficient. The average net investment yield of five major insurance companies has declined from 5.35% in 2017 to 3.6% in 2024 [23][26]. - Liability side: The allocation funds of insurance and banks are limited. Insurance has shifted to equity assets, and the incremental funds for bond allocation have not increased significantly compared to last year. Banks' liability sides have suffered serious losses due to factors such as deposit rate cuts and resident deposit migration. In July, the growth of wealth management scale was weak, with a monthly incremental of only 26 billion yuan, far lower than the seasonal level of 1.8 trillion yuan in the past four years [3][29]. - Asset - shortage pattern: The incremental funds of banks and insurance in the bond market have significantly decreased this year. Banks' bond investment increments are close to zero, and insurance's incremental funds for bond investment have dropped to 66.98 billion yuan [33]. 5. Should Bond Market Investment "Focus on Trading"? - Mid - to long - term pure bond funds with better performance have shorter durations, around 3 - 4 years, while the median duration of mid - performance funds is around 4 - 5 years [35]. - The top - performing bond funds reduced their durations earlier. As of August 15, the median duration of mid - to long - term pure bond funds generally increased compared to the beginning of the year, but the duration of the bottom 20% of funds changed little. The median duration of top - performing funds reached its maximum in late April, and the duration reduction was more significant compared to other funds [35]. - Technically, the long - end varieties of Treasury bond futures have shown oversold signals. Attention can be paid to short - term oversold trading opportunities [37].