债市策略的进与退：量化信用策略

Group 1 - The simulated portfolio continues to show negative returns, with the medium and short-term credit style portfolio experiencing smaller drawdowns compared to the corresponding interest rate style portfolio, while the long-term portfolio has seen significant declines [2][14] - In the interest rate style portfolio, the weekly returns for the deposit sinking and deposit bullet strategies were both -0.25%, while in the credit style portfolio, these strategies had smaller drawdowns with returns of -0.14% each [2][14] - The credit style deposit-heavy portfolio's weekly average return slightly rebounded to -0.14%, outperforming the corresponding interest rate style portfolio by 10.7 basis points, marking the strongest defensive strategy since late July [2][17] Group 2 - The credit strategy has created a certain yield space, with the secondary bond duration strategy's yield distance from the year's low exceeding 20 basis points [3][26] - The main strategy combinations have seen yields stop falling and start to rise, with the secondary bond duration strategy's weekly yield increasing by nearly 0.16 basis points, bringing the annualized yield to 2.02%, which is 22.3 basis points wider from the year's low [3][26] - The weekly yield contribution from the credit style portfolio remains in the range of -25% to -5%, with capital gains continuing to drag down returns [3][26] Group 3 - In the past four weeks, the medium and short-term perpetual bond heavy strategies have shown certain defensive attributes, with cumulative excess returns for the city investment short-term sinking, commercial bank bullet, and perpetual bond sinking strategies reaching 13.3 basis points, 7.2 basis points, and 6.6 basis points respectively [4][32] - The city investment heavy strategies have recently underperformed compared to the secondary perpetual heavy strategies, with the cumulative returns for the city investment duration and barbell strategies deviating from the benchmark by -10 basis points and -30 basis points respectively [4][32] - The short-end strategies have outperformed the benchmark, while the city investment sinking strategy's excess returns have fallen into negative territory [4][35]