固收+系列之十：建负久期基金：国债期货穿越牛熊

Report Industry Investment Rating - Not provided in the report Core Viewpoints - Since 2025, the global macro - economic environment has been complex and volatile. The bond market has entered a new cycle of increased volatility. Relying solely on traditional bond long - only strategies faces challenges, and treasury bond futures have become important tools for risk management and asset allocation. The report details the current situation of public funds' participation in treasury bond futures and explores the design logic of negative - duration funds to achieve all - weather allocation of bond assets [13] Summary by Relevant Catalogs Public Funds' Current Participation in Treasury Bond Futures - Increasing Position Size and 1% Market Share: By the end of Q3 2025, 141 public funds held treasury bond futures, with a total of 13,068 contracts (3,992 long contracts, accounting for 0.6% of the market's long contracts; 9,076 short contracts, accounting for 1.4% of the market's short contracts). Public funds are required to disclose treasury bond futures trading information in regular reports [15][17] - Short - Dominated Position Structure: As of the end of Q3 2025, 79 public funds had net short positions in treasury bond futures, while 60 had net long positions. The market value of short contracts was about 11 billion yuan, higher than the 5.6 - billion - yuan market value of long contracts, indicating a preference for short positions to hedge against interest - rate risks [18] - Strategy and Contract Selection: Focus on Single - Variety and Single - Maturity: In Q3 2025, 63.8% of funds held single - maturity treasury bond futures contracts, with 39 long - position funds and 51 short - position funds, far more than those using cross - variety or cross - maturity strategies [23][24] - Concentration on Active Contracts: In Q3 2025, the combined position of T2512, TS2512, and TL2512 active contracts accounted for over 90%. The number of short contracts for TL2512 and T2512 was significantly higher than that of long contracts [27] - Mid - and Long - Term Pure Bond Funds as the Main Force: By the end of Q3 2025, mid - and long - term pure bond funds were the main participants in the treasury bond futures market, with 47 funds, an increase of 4 compared to Q2. The number of partial - debt hybrid funds also increased, while the number of short - term pure bond funds, hybrid bond - type secondary funds, and hybrid bond - type primary funds decreased [28][31] - Leading Layout by Top - Tier Institutions: By the end of Q3 2025, top - tier fund companies such as Harvest Fund and E Fund each had 14 related products, showing an advanced ability in interest - rate risk management [37] - Significant Differences in Allocation Intensity: The allocation intensity of treasury bond futures among different public funds varies greatly, mainly due to differences in investment strategies, risk - tolerance levels, and interest - rate risk judgments. For example, E Fund Credit Bond had a higher short - position allocation ratio than the market average, and Huataibaoxing Kaiyuan 3 - Month had a contract - value - to - fund - scale ratio of 27.1% [40] Negative - Duration Investment Strategy Based on Treasury Bond Futures Shorts - Stock "Negative - Duration" Funds: The current stock of "negative - duration" funds is small, and the degree of "negativity" in duration is limited. This may be due to data errors in the calculation and the regulatory requirement of using treasury bond futures for hedging purposes. These funds typically hold bonds with a duration of about one year, mainly short 10 - year and 30 - year treasury bond futures, and the combined duration of futures and bonds is mostly within negative one year [46] - Constructing a "Negative - Duration" Portfolio: To maximize the negative duration within regulatory requirements, the following operations can be adopted: investing only in cash bonds and treasury bond futures, setting the short - position market value of treasury bond futures at a maximum of 30%, leveraging the portfolio to a maximum of 140%, short - selling 30 - year treasury bond futures, and choosing short - term bonds with a duration close to 0. The maximum negative duration of the fund can reach - 7.1 years [50][51][55]