长债的压力与负久期策略

Core Insights - The report highlights the ongoing adjustment in the bond market, particularly with long-term interest rates rising significantly while short-term rates are declining. The 10-year and 30-year government bond yields increased by 3.1bps and 3.5bps to 1.88% and 2.30%, respectively, while the 1-year government bond yield fell by 4.9bps to 1.29% [1][9] - The widening yield spread between long-term and short-term bonds has led to discussions about implementing a negative duration strategy, which aims to capitalize on the current market conditions by shorting long-term bonds [2][9] - The negative duration strategy has shown significant excess returns recently, with a hypothetical portfolio consisting of 100% 1-year bonds and a 15% short position in long-term bonds yielding a 1.0% return since November 19, 2022, outperforming the overall bond index [2][10] Market Dynamics - The yield spread between 30-year and 1-year government bonds has widened from 73bps on November 17, 2022, to 101bps on January 9, 2023, marking a near two-year high [2][9] - The report notes that the adjustment in long-term bonds is primarily driven by non-bank institutions, particularly brokerages and funds, which have been reducing their positions [3][11] - As the relative value of long-term bonds improves, institutional investors such as banks and insurance companies are expected to increase their allocations, potentially stabilizing the market [3][11] Valuation and Risk Assessment - The current yield spread between 30-year and 10-year bonds is near the upper limit of a reasonable range, with a fitted central tendency around 38bps and an upper deviation at 41bps, indicating limited room for further increases [5][17] - The report emphasizes that while the negative duration strategy has yielded high returns, it is highly dependent on the continued rise of long-term interest rates. A reversal in this trend could lead to capital losses and interest income losses [3][10] - The bond market is facing multiple pressures, including a strong stock market, rising supply pressures, and limited central bank bond purchases, which could negatively impact bond prices [6][20]