量化信用策略：二债策略适用性

Group 1 - The simulated portfolio returns have generally declined this week, with the interest rate style portfolio showing controlled drawdowns in certain strategies, while some credit style strategies still achieved positive returns [3][16][20] - The average yield of the credit style portfolio has decreased by 6.8 basis points to -0.04%, with the short-end strategies experiencing the smallest drawdown [3][20] - The long-end strategies in the credit style portfolio have seen a significant drop in average returns, with a decrease of 12.5 basis points to -0.17% [3][20] Group 2 - The sources of returns for the portfolio are primarily from coupon recovery, with significant attention on the configuration and trading space at the beginning of the year [4][28] - The annualized coupon space for certain strategies is notably larger compared to the lows of 2025, with expectations for continued recovery in the mid to long-end strategies [4][28] - The annualized coupon yield for perpetual bonds and the city investment hybrid strategies is around 2.18%-2.19%, indicating potential configuration value [4][28] Group 3 - Over the past four weeks, the excess returns of the city investment hybrid strategy have shown volatility, with some strategies achieving positive excess returns while others remain in negative territory [5][34] - The short-end strategies have underperformed against benchmarks, while mid to long-end strategies have shown signs of recovery, particularly the secondary bond bullet and perpetual bond strategies [5][37] - The overall excess returns in the long-end strategies have varied significantly among different bond types, with some strategies showing recovery while others remain underperforming [5][37]