量化信用策略：久期还能贡献多少增厚？

Group 1 - The core view of the report indicates a general decline in the simulated portfolio returns for credit styles, while some interest rate style portfolios showed improvement, particularly the urban investment long-term and duration strategies, with weekly returns of 0.19% and 0.18% respectively [2][15] - The average weekly return for credit style time deposit heavy portfolios decreased by 5.2 basis points to 0.06%, while urban investment heavy portfolios fell by 7.4 basis points to 0.1%, lagging behind corresponding interest rate style portfolios by approximately 8 basis points [2][18] - The report highlights that over 60% of the returns from the urban investment long-term bond heavy portfolio came from capital gains, with the annualized returns for urban investment and secondary long-term strategies remaining at relatively high levels of 33.5 basis points and 41.1 basis points respectively [3][27] Group 2 - In the past four weeks, the cumulative returns of urban investment heavy strategies have begun to surpass those of the secondary perpetual bond portfolio, with cumulative excess returns for urban bond duration, perpetual bond duration, and broker bond down strategies reaching 17.9 basis points, 14.9 basis points, and 14.4 basis points respectively [4][32] - The report notes that the urban investment duration strategy has consistently outperformed the barbell strategy, with excess returns around 6.1 basis points, while the excess returns for secondary bond bullet and duration strategies have deviated negatively from the benchmark by 5.9 basis points and 6.1 basis points respectively [4][35] - The report indicates that the urban investment and secondary long-term combinations have seen excess returns drop to -1.6 basis points, -12.9 basis points, and -36.2 basis points respectively [4][35]