如何寻找债券市场的合理定价

Core Insights - Understanding the reasonable pricing of the bond market may require comprehending the overdrawn market conditions expected in December 2024 [11][12] - The financial system's lack of long-term capital is a significant concern, with potential solutions including reserve requirement cuts and central bank purchases of long-term bonds [16][17][18] - The current bond market characteristics can be interpreted through a game-theoretic lens, where market sentiment may decouple from fundamentals and liquidity [19][20] - The steepening of the yield curve indicates a potential shift in the mid-term logic of the bond market, influenced by factors such as anti-involution policies and the relative attractiveness of equities [27][28] - The growth of credit bond ETFs is notable, with structural demand expected to persist, although short-term spread compression may be limited [29][30] - The resilience of credit bonds in Q3 can be attributed to a favorable funding environment and investor reluctance to sell, with expectations for continued volatility in Q4 [32][33][34] - Recent policies regarding the "southbound bond connect" are expected to enhance the liquidity and attractiveness of offshore bonds [36] - The convertible bond market is anticipated to see excess returns primarily from sectors with strong growth narratives, such as AI and humanoid robotics [37][38] - The current strategy for convertible bonds emphasizes equal-weighted allocations with a focus on high-growth individual securities [38] - The convertible bond market presents both risks and opportunities, with institutional actions providing potential entry points during market corrections [40] Summary by Sections Understanding Reasonable Pricing in the Bond Market - The divergence between long-term interest rates and funding rates since May is largely attributed to the anticipated overdrawn conditions in December 2024 [11][12] Financial System's Lack of Long-Term Capital - The steepening yield curve since Q3 is linked to the financial system's insufficient long-term capital, exacerbated by high government bond supply and strong equity market performance [16][17] Game-Theoretic Understanding of the Bond Market - The slow adjustment of duration in the current bond market reflects a game-theoretic mindset among investors, impacting the relationship between market behavior and underlying fundamentals [19][20] Mid-Term Logic Shift in the Bond Market - The bond market is likely to face a mid-term logic shift starting in 2025, driven by anti-involution policies and changing investor preferences between equities and bonds [27][28] Growth of Credit Bond ETFs - The expansion of credit bond ETFs is supported by regulatory changes and a low-interest environment, with expectations for continued growth in scale and number [29][30] Q3 Credit Bond Resilience and Q4 Outlook - The strong performance of credit bonds in Q3 is attributed to a favorable funding environment and investor behavior, with expectations for continued fluctuations in Q4 [32][33][34] "Southbound Bond Connect" Policy Implications - Recent policy developments regarding the "southbound bond connect" are expected to improve the liquidity and attractiveness of offshore bonds, enhancing market dynamics [36] Convertible Bond Market Insights - The convertible bond market is expected to see excess returns from sectors with strong growth potential, with a focus on strategic allocations [37][38] Convertible Bond Strategy - The recommended strategy for convertible bonds involves equal-weighted allocations while emphasizing high-growth individual securities for enhanced returns [38] Risks and Opportunities in the Convertible Bond Market - The convertible bond market presents both risks and opportunities, with institutional actions creating favorable entry points during market corrections [40]