2025基金投资国债期货拆解：“做陡曲线”还是“宏观对冲”，基金参与国债期货的两面

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In Q4 2025, the "curve steepening" strategy of medium - and long - term pure bond funds and the "macro - hedging" strategy of hybrid secondary bond funds showed significant differentiation. The participation of funds in Treasury bond futures decreased, with a contraction in both short and long positions. The mainstream strategy of funds remained hedging, and different types of funds had distinct strategies [1][4]. 3. Summary According to the Directory 3.1 Overall Situation: The Participation of Funds in Treasury Bond Futures Declined - In Q4 2025, the scale of funds' Treasury bond futures positions shrank, with both short and long positions decreasing. 46 public fund companies' products held Treasury bond futures, 5 less than the previous quarter; 113 fund products participated, 27 less than the previous quarter; the total long - short positions were 9,153 lots, a significant decline from the previous quarter [4][8]. - In terms of institutional distribution, E Fund held 2,884 lots, ranking first with high concentration; Harvest Fund held 1,346 lots involving 14 products, having the most products in the market; Ping An Fund held 847 lots, ranking third [4][8]. - As of the end of Q4 2025, the public funds' Treasury bond futures positions accounted for 5.22% of the total market, down 1.83% from the previous quarter, with TL, T, TF, and TS contracts accounting for 2.92%, 1.18%, 0.65%, and 0.46% respectively [11]. 3.2 Long - Short Distribution and Strategy Preference: Hedging Remained the Mainstream Strategy of Funds - In Q4 2025, the market enthusiasm for Treasury bond futures showed a "double - decline" trend. The market value of short contracts was about 6.7 billion yuan, and that of long contracts was about 3.4 billion yuan, both shrinking significantly compared to Q3 and lower than the same period in 2024. The short - to - long market value ratio was about 2:1, indicating that the hedging - based structure continued [12]. - In terms of contract types, the focus of short - position gaming shifted to the ultra - long end. The short - position ratio of the TL contract increased to 40% in Q4 2025, a five - quarter high, and its long - position ratio remained at 14%. In contrast, the short - position ratio of the T contract decreased from 27% in Q3 to 20%, and the long - position ratio increased from 8% to 11% [14]. 3.3 Breakdown by Fund Types: Strategies of Different Funds Differed Significantly - Medium - and long - term pure bond funds: In Q4 2025, they significantly increased short positions in the TL contract to 2,748 lots (a rise of over 50%) and significantly reduced short positions in the T contract. This might be to hedge duration risks and bet on the widening of term spreads [4][17]. - Hybrid secondary bond funds: They showed a stronger willingness to go long. They significantly closed short positions in the TL contract and nearly doubled long positions, possibly for macro - hedging purposes, such as using high - efficiency futures to free up positions for equity investment and adding long positions in ultra - long bonds as a hedge [4][18]. - Short - term pure bond and flexible allocation funds: Short - term pure bond funds increased short positions in T and TF contracts to guard against short - and medium - term fluctuations. Flexible allocation funds cleared all positions and adopted a wait - and - see strategy [4][19].