债券基金周度数据观察：带负久期特征的基金产品平均超额收益再测算-20260119

Group 1 - The report highlights that funds with a "negative duration" characteristic achieved an average excess return of approximately 1.42% during the year-end period [1] - The negative duration strategy is not merely a hedging approach but an active directional interest rate strategy, adjusting the overall duration of the portfolio to zero or negative to gain returns during rising interest rate cycles [6][7] - A typical operation involves holding short-duration credit bonds or interest rate bonds as the base and selling longer-duration government bond futures, allowing for a negative correlation between the portfolio's net value and interest rate changes [6][7] Group 2 - The analysis identified 64 funds that significantly diverged from their benchmark index for more than 10 days, representing a market size of approximately 116.2 billion, accounting for 2% of the total size of medium to long-term bond funds [7] - Among these, 5 funds diverged for over 20 trading days, with a total size of about 6.4 billion, achieving a weighted average return of 0.88%, resulting in an excess return of 1.42% compared to the total return index [7] - Funds that diverged for over 30 days, although only 2 in number, achieved an average excess return of 1.51%, indicating that systematic use of the negative duration strategy can create excess returns in a clearly defined rising interest rate environment [7][8] Group 3 - The report provides a weekly overview of bond funds, noting that the ETF market pressure has eased, with funds favoring short-duration credit and high-elasticity varieties [10] - Since January 12, the bond ETF market sentiment has improved, with significant net inflows observed in short-term credit bond ETFs, which turned into a net inflow of 3.59 billion, a 104.4% increase compared to previous periods [10] - Trading activity has concentrated on high-elasticity sectors, with convertible bond ETFs seeing a 36.9% increase in weekly trading volume [10]