债市策略思考：基于卡玛比率的低收益高波动下债市应对策略

Core Insights - The bond market is currently in a low-yield, high-volatility state, contrasting with the previous year's high-yield, high-volatility environment. This shift suggests frequent "mispricing" opportunities, prompting investors to adopt a "low position + high win rate" strategy for defensive counterattacks and to capitalize on oversold rebound opportunities [1][10][21]. Group 1: Market Conditions - Since the beginning of 2025, the 10-year government bond yield has shown significant volatility, rising from approximately 1.60% at the start of the year to around 1.78% by August 20, with a peak close to 1.90%. The rolling standard deviation indicates that the yield's volatility has increased, with a median of about 0.03%, higher than the median of 0.028% from 2021 to 2024 [10][11]. - The performance of bond funds has declined in 2025, with the median annualized return for medium to long-term pure bond funds at 0.83%, significantly lower than the 3.98%, 2.36%, 3.47%, and 4.58% returns from 2021 to 2024. Short-term pure bond funds also reflect a similar trend, with a median return of 1.41% [11][12]. Group 2: Fund Evaluation - The Calmar ratio is deemed more reflective of true risk compared to the Sharpe ratio, although both should be used in conjunction. The Sharpe ratio is more suitable for short and pure bond funds with lower volatility and drawdown, while the Calmar ratio is better for long bond funds and secondary bond funds that exhibit higher volatility and deeper drawdowns [2][16]. - In 2025, investors are advised to prioritize the Calmar ratio alongside the Sharpe ratio to better select bond funds, as the low-yield, high-volatility environment increases the demand for fund managers' ability to control drawdowns [19][20]. Group 3: Investment Strategy Adjustments - The bond market is still in a headwind phase, with the trend for bullish positions delayed. Despite rising interest rates and a steepening curve reducing bullish sentiment, the high volatility presents frequent "mispricing" opportunities. Investors are encouraged to maintain a "high-grade, short-duration, high-liquidity" base to better control drawdowns while selectively participating in long and ultra-long bonds after significant declines [3][21][22]. - The strategy should focus on quick trades and timely profit-taking, as the current market conditions do not favor long-term bullish positions. Historical data indicates that after significant declines, the 10-year government bond typically experiences a short-term rebound [22][24].