信用抢短债、利率买长债：债牛下半场如何演绎？

Group 1 - The core view of the report indicates that the simulated portfolio returns have generally recovered, with absolute returns of interest rate style portfolios outperforming credit style portfolios overall [2][10][14] - In the interest rate style portfolio, the top weekly returns were from the industrial ultra-long and secondary bond duration strategies, recording returns of 0.17% and 0.16% respectively [2][14] - In the credit style portfolio, the leading strategies were the industrial ultra-long and perpetual bond duration strategies, achieving returns of 0.2% and 0.16% respectively [15][2] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 3.5 basis points to 0.09%, reaching the highest absolute level since mid-August [2][16] - The average weekly return of the city investment heavy portfolio rose to 0.1%, similar to the time deposit strategy, with long-duration city investment bonds showing a recovery in the market [2][16] - The ultra-long bond heavy strategy saw a return increase of nearly 25 basis points, with the industrial ultra-long strategy reaching a high return level of 0.2% [2][16] Group 3 - The report highlights that the secondary perpetual bond duration strategy has significant profit potential, with capital gains contributing substantially this week [3][25] - The annualized coupon rate of the perpetual bond duration strategy is around 2.28%, and the distance from the lowest point this year is over 42 basis points [3][25] - The credit style portfolio's returns were primarily driven by capital gains, with coupon contributions falling within the range of 25% to 50% [3][25] Group 4 - In the past four weeks, the recovery signals for excess returns in secondary bond heavy strategies appeared first in bullet-type and down-sinking combinations [4][30] - The cumulative excess returns for city investment short-end sinking, commercial bank bond bullet-type, and brokerage bond duration strategies reached 11.8 basis points, 11.4 basis points, and 8.2 basis points respectively [4][30] - The report notes that medium to long-duration strategies generally yielded excess returns, with the secondary perpetual bond duration strategy achieving excess returns of 4.8 basis points and 5.3 basis points [33][30]