证券研究报告、晨会聚焦：固收吕品：结构性视角：测算基金久期和行为分析-20251112

Core Insights - The report emphasizes the importance of tracking fund duration as a key indicator of institutional behavior in the bond market, suggesting that it should evolve from merely monitoring total duration to analyzing detailed structures and behaviors [3][4] - It highlights that short-term bond funds have outperformed medium and long-term bond funds this year, with median returns of 1.39% for short-term funds compared to 1.03% for medium and long-term funds [5] - The report indicates that the estimated duration of bond funds has shown a fluctuating trend throughout the year, with a low of 2.39 years and subsequent increases, reflecting market dynamics and fund behaviors [5][6] Fund Duration Tracking Methods - Four methods for tracking fund duration are outlined: 1. Interest rate sensitivity duration calculated from risk sensitivity analysis in fund reports 2. Weighted average duration based on the top five holdings in bond funds 3. Net buying duration based on net buying data of bonds 4. Duration estimation based on fund net value changes against different maturity indices [4][5] Performance Analysis - The report notes that the performance of credit bond funds has been superior to that of interest rate bond funds, indicating a preference shift among investors [5] - It also mentions that the duration of high-performing bond funds has recently increased, with a notable rise in medium and long-term credit bonds contributing significantly to this trend [6][7] - The analysis suggests that there is still room for further increases in fund duration levels, indicating potential trading opportunities in the future [7]