海外机构行为：美国债基久期与仓位跟踪

Report Industry Investment Rating No information provided in the report. Core Viewpoints - The report selects medium - duration investment - grade bond funds with large scales as samples to analyze the duration views and allocation preferences of US bond funds. In the cash bond level, as of Q2 2025, the proportions of Treasury bonds, credit bonds, and MBS in US bond fund holdings are 28.5%, 26.4%, and 36.9% respectively. Since H2 2024, funds have been more cautious about duration allocation, and their under - allocation of duration and inflation concerns may jointly push up the term premium. [3] Summary by Relevant Catalogs 0 US Bond Fund Classification - There are various types of US bond funds, including investment - grade bond funds, high - yield bond funds, government bond funds, etc. Investment - grade bond funds have the largest asset size, reaching $248.52 billion, accounting for 46.6% of the total. [4] - The report selects 20 actively - managed bond funds with large scales and using the Bloomberg US Aggregate Index as the performance benchmark as samples, which helps to better understand the duration views and allocation preferences of bond funds. [6] PART1 Cash Bonds: Analyzing Bond Funds' Variety Preferences - Overall Position Structure: From the end of 2021 to 2023, bond funds increased their MBS holdings, compressed their credit bond holdings, and slightly reduced their Treasury bond, municipal bond, and cash holdings. As of Q2 this year, the proportions of Treasury bonds, credit bonds, and MBS in US bond fund holdings are 28.5%, 26.4%, and 36.9% respectively. [12] - Advantages of MBS: MBS has higher returns than Treasury bonds, lower volatility than credit bonds, low cycle sensitivity, and relatively good valuation. Since 2023, MBS has had better valuation than credit bonds. [13][16] - Impact on Duration: MBS has a shorter duration than Treasury bonds and credit bonds. The increase in MBS and ABS holdings has shortened the overall duration of bond fund cash bonds. [17] - Credit Bond Allocation: Bond funds mainly reduced their holdings of the industrial sector in credit bonds, while maintaining stable allocations in the financial and utility sectors. From 2022 - 2023, they significantly reduced their holdings of the cyclically - sensitive industrial sector. [22] - Comparison with Benchmark: Compared with the benchmark (Bloomberg US Aggregate Index), bond funds are overweight in MBS and finance, and underweight in Treasury bonds and the industrial sector. [23] PART2 Derivatives: Why Do Funds Hold Long Positions in Futures? - Increase in Treasury Futures Holdings: Since 2022, asset management companies have significantly increased their long positions in Treasury futures, mainly holding 2Y and 5Y Treasury futures contracts. [26][27] - Categories of Treasury Futures: There are multiple categories of US Treasury futures, with different contract amounts and delivery conditions. As of the end of August this year, the open - interest amounts of 2Y, 5Y, 10Y, etc. Treasury futures are different. [33] - Proportion of Mutual Funds: As of Q4 2023, mutual funds held about $500 billion in Treasury futures, accounting for nearly half of the Treasury futures holdings of asset management institutions. Since 2022, mutual funds have concentrated on increasing their long positions in 2Y and 5Y Treasury futures. [35] - Reasons for Holding Long Positions: Funds hold long positions in Treasury futures to supplement the duration gap at a lower cost, allowing them to reduce the holdings of illiquid long - duration old Treasury bonds and allocate more to higher - yielding MBS/ABS. They also use Treasury futures to add leverage, and are less involved in the repurchase market. [38][43] - Impact on the Market: The long - position demand for Treasury futures from funds and the Fed's QT have led to a decrease in the buying of Treasury cash bonds, resulting in negative net basis and attracting hedge funds to engage in basis trading. [50] PART3 Model: Measuring the Empirical Duration of Funds - Measurement Method: The report uses the daily returns of 20 selected funds and five independent variables (changes in 10Y US Treasury yield, MBS spread, investment - grade credit spread, 30 - 5Y term spread, and volatility) for rolling regression. The regression coefficient of the 10Y US Treasury yield change is regarded as the empirical duration of the fund, which measures the fund's interest - rate risk exposure. [53][54] - Relationship with Interest Rates: Before H1 2024, funds generally adopted a configuration - based approach. Since H2 2024, they have been more cautious about duration allocation, under - allocating duration, and following the trend. Their under - allocation of duration may push up the term premium. [59][61] - Allocation Preferences in Different Periods: From 2022 - 2025, funds' allocation preferences changed with inflation, policy interest rates, economic fundamentals, and external shocks. For example, from 2022 - Feb 2023, they were overweight in credit and duration; from Mar - Jul 2023, they steepened the curve, under - allocated credit, and increased MBS allocations. [66][67] - Asset Allocation Rules: In the long - term, fund duration is generally positively correlated with interest rates. When the benchmark interest rate is low and credit spreads are relatively high, funds tend to increase credit exposure. When MBS is more attractively valued than credit bonds, funds tend to increase MBS allocations. [69][73][76]