2026年一季度债券投资策略展望：久期的博弈机会vs票息的稳健价值

Group 1 - The report highlights the potential paths to alleviate the supply-demand imbalance in long-term bonds, indicating that in 2025, long-end interest rate bonds are constrained by low odds, while equity assets exhibit high Sharpe ratios [2][3] - The main contradictions affecting the bond market are identified as the supply-demand imbalance of bonds, policy expectation differences (especially regarding monetary policy), and mid-term expectations of price recovery [2][3] - The supply structure of long-term bonds is changing, with a decrease in net purchases of ultra-long government bonds by funds and insurance [2][3] Group 2 - The report emphasizes that the marginal demand for long-end bonds will return to a range considered "valuable" by institutional investors, leading to a rebalancing of supply and demand [2][3] - It notes that the government bond supply scale will be relatively small before mid-February 2026, which may provide a window for alleviating the supply-demand imbalance in ultra-long bonds [2][3] - The report discusses the policy expectation differences, particularly between reserve requirement ratio cuts and interest rate cuts, indicating that the conditions for these actions are stringent [3][4] Group 3 - The report outlines the impact of new regulations on fund fees and the trend of "deposit migration," which is causing a shift in institutional behavior [4][5] - Insurance institutions are expected to prefer high-dividend assets in their asset allocation, with a projected slowdown in premium growth for 2026 [4][5] - Public funds are experiencing limited benefits from the new fee regulations, as market expectations have already been priced in [4][5] Group 4 - The report contrasts duration strategies with leverage strategies, indicating that the bond market environment in Q1 2026 will differ significantly from that of Q1 2025 [5][6] - It suggests that the effectiveness of leverage strategies will increase under a trend of monetary easing, with opportunities for arbitrage in the bond futures market [5][6] - The report recommends a combination of short-duration credit bonds and long-duration interest rate bonds as a favorable strategy for Q1 2026 [5][6]