债券策略周报20251116：年内债券投资思路-20251116

Group 1 - The report suggests that in the absence of strong expectations for short-term interest rate cuts, both long-term government bond yields and short-term deposit rates are unlikely to decline significantly. The market currently does not anticipate easing of short-term funds or a reduction in LPR [1][8][37] - It is recommended to focus on two strategies for portfolio construction: 1. Opt for slightly lower duration for defensive positioning, waiting for a rate adjustment of around 5 basis points before considering extending duration; 2. Maintain a market-neutral or slightly longer duration stance, with risk exposure suggested to be placed in active bonds where spreads can compress, such as government bonds and ultra-long government bonds [1][8][40] Group 2 - For bond selection, the report emphasizes prioritizing long-term interest rate bonds, particularly focusing on 250215. If there is a higher frequency demand for duration adjustment, 25T6 should be considered. For higher yield bonds like 25T5 and 25T3, attention should gradually decrease as spreads compress further [2][10][12] - In the context of credit bonds, the report notes that the spread between 3-5 year credit bonds and government bonds is already low, indicating limited room for further compression. It is suggested to focus on mid-term government bonds for short-term capital gains, while mid to long-term credit bonds may offer better value for long-term holding [3][13] Group 3 - The report indicates that the current overall IRR level of government bond futures is slightly higher than the funding rate, with most futures contracts being relatively expensive compared to cash bonds. The strategy of focusing on the compression of spreads between government bonds and government-backed bonds is recommended [4][14] - The report highlights that the bond market has maintained a volatile trend, with government bonds showing stronger performance. Despite weak financial and economic data in October, interest rates have not significantly declined, and the market sentiment towards bonds remains cautious [15][20]