脆弱情绪的度量

Group 1: Quantitative Credit Strategy - The duration strategy has continued to perform poorly as of September 30, with the cumulative excess return of the AA+ city investment bonds in a barbell strategy dropping to around -34 basis points [2][12] - The duration strategy for perpetual bonds has shown significant volatility, with cumulative excess returns remaining low at -18 basis points and -30 basis points despite a larger recovery after declines in September [2][12] - In contrast, short-end city investment bonds and bullet-type commercial bank bonds have shown relatively better excess returns [2][12] Group 2: Duration Tracking of Various Bonds - As of September 30, the weighted average transaction durations for city investment bonds and industrial bonds are 1.76 years and 2.22 years, respectively, indicating a defensive characteristic and falling within the 65%-80% historical percentile range since 2021 [3][16] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 3.67 years, 3.70 years, and 1.92 years, respectively, showing a notable decline in their percentile levels [3][16] - Other financial bonds, such as securities company bonds and insurance company bonds, have also shown low historical duration percentiles, with durations of 1.51 years, 1.73 years, 4.11 years, and 1.23 years [3][16] Group 3: Yield Heatmap of Coupon Assets - As of September 29, 2025, yields for non-financial and non-real estate industrial bonds have generally increased, with significant rises exceeding 9.5 basis points for certain private non-perpetual bonds and state-owned enterprise perpetual bonds [4][20] - The yields for financial bonds have also risen, particularly for mid-to-long-term secondary capital bonds and state-owned bank perpetual bonds, which have increased by over 12 basis points [4][20] - Some short-end products have stabilized, with yields for certain city and rural commercial bank bonds showing minimal changes [4][20] Group 4: Long-term Credit Bond Analysis - The spread between active long-term credit bonds and comparable government bonds has reached a 24-year high, with the spread for 10-year bonds widening to a new annual high [5][22] - Despite the apparent advantages of long-term credit bonds post-adjustment, the lack of incremental funding support suggests that duration strategies should remain cautious until market sentiment improves [5][22] Group 5: Local Government Bond Supply and Trading - The latest week has seen a weak sentiment in the bond market, with the average issuance rates for local government bonds continuing to rise, reaching new highs for bonds with maturities of 20 years and above [6][27] - The issuance rates for local government bonds with maturities of 10 years and above have widened to over 20 basis points compared to similar maturity government bonds, indicating a higher percentile reading for the year [6][27]