固定收益量化周报20250908：模型观点偏谨慎，股债相关性仍较高-20250908

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The comprehensive quantitative model remains bearish overall. The intensity of the current "watch stocks, trade bonds" market since late July exceeds that of other periods in the past three years, and it may become a new trend rather than a short - term shock [1][2][45]. 3. Summary by Directory 3.1 This Week's Market Performance 3.1.1 Secondary Market Trends This week, the yield curve fluctuated within a narrow range. The medium - and short - term interest rates of Treasury bonds and China Development Bank bonds declined. The short - term interest rates of Agricultural Development Bank bonds and Export - Import Bank bonds declined significantly. The 30 - year Treasury bond yield declined by the largest margin of - 2.5BP, and the yield of China Development Bank bonds around the 6 - year mark declined by the largest margin of - 2.4BP [1][5]. 3.1.2 Primary Market Trends This week, 5 Treasury bonds, 8 China Development Bank bonds, 6 Agricultural Development Bank bonds, and 1 Export - Import Bank bond were issued. Among Treasury bonds, the 1 - month 25 Discount Treasury Bond 54 had a high full - subscription multiple of 3.08 times. Among policy - financial bonds, the 7 - year 25 China Development Bank Clean - issued Bond 04 had a high full - subscription multiple of 5.51 times. The overall full - subscription multiples of Agricultural Development Bank bonds and Export - Import Bank bonds were relatively low [14]. 3.2 Latest Results of Each Calculation Model The comprehensive signal model has been bearish since July 10, 2025. As of September 5, the long - short ratio model and the fund duration model are bullish, while the rest are bearish. This week, the fund duration model changed from bearish to bullish on September 3 [18][20][29]. 3.3 Recent Behavioral Characteristics of Each Institution This week, the rolling cumulative net purchases of 10 - year policy - financial bonds, 10 - year, and 30 - year Treasury bonds by funds continued to rise. Fund companies' net purchases of 10 - year policy - financial bonds and 30 - year Treasury bonds increased significantly. Rural commercial banks changed from cumulative net purchases to cumulative net sales of 10 - year policy - financial bonds and 30 - year Treasury bonds. Securities companies changed from net sales to net purchases of 3 types of long - term interest - rate bonds [2][31][39]. 3.4 Recent Stock - Bond Correlation Performance Under the influence of the good performance of the equity market recently, the bond market has been weak overall. From July 22 to September 5, the correlation coefficient between stocks and bonds remained at a high level, lasting for 34 trading days with a total upward amplitude of 15.9BP. This market may become a new trend [45].