“固收+”策略系列：国债期货定价逻辑、交易特征与单边策略实践

Group 1 - The report emphasizes the close linkage between government bond futures and the cash bond market, primarily established through the physical delivery mechanism and the holding cost pricing model, which ensures price convergence under a no-arbitrage condition [5][6][20] - The report outlines the pricing basis for government bond futures, highlighting that the cheapest-to-deliver (CTD) bond serves as the benchmark for pricing, determined by both empirical rules and indicators such as implied repo rates and net basis [2][6][10] - The holding cost model is identified as the theoretical foundation for pricing government bond futures, reflecting the total costs and benefits of holding the underlying bond until the delivery date, thus serving as a basis for arbitrage opportunities [11][20] Group 2 - The report discusses the characteristics of government bond futures pricing, noting high volatility driven by leverage and DV01, negative convexity due to CTD bond switching, and low continuity resulting in opening gaps [24][25][43] - It highlights that the volatility of futures prices is typically greater than that of cash bonds, with different futures contracts exhibiting varying degrees of sensitivity to market movements [25][27] - The report also points out that the CTD bond switching can significantly impact pricing, as the choice of which bond to deliver can alter the futures price and its sensitivity to interest rate changes [34][35] Group 3 - The net basis signal strategy is introduced as a method to capture mean reversion opportunities by converting net basis from a traditional arbitrage indicator into a sentiment signal for trend trading [2][3] - The performance of the strategy is evaluated, showing an annualized return of 2.0% for the T contract from 2019 to 2025, with a maximum drawdown of -4.4%, indicating a favorable risk-return profile [2][3] - The report suggests improvements to the strategy through trend filters, which enhance performance metrics, and discusses the adaptability of the strategy to different futures contracts like TF and TS [2][3]