中金 | 纯债基金：量化选基策略开发实战

Core Viewpoint - The article discusses the development of a quantitative framework for pure bond fund strategy and portfolio construction, focusing on future return predictions based on historical data and experience [2]. Group 1: Functions of Pure Bond Funds in Portfolios - Pure bond funds serve three main functions in a portfolio: 1. Core Holding: They act as a stabilizing force in the portfolio, providing reliable returns through long-term allocation [4][13]. 2. Tactical Allocation: In a context of compressed static yields, short-term trading operations can enhance portfolio returns by capturing timing signals and credit spread opportunities [4][16]. 3. Cash Management: A portion of the portfolio is allocated to cash management products to mitigate liquidity risks during market downturns or unexpected redemptions [4][17]. Group 2: Required Capabilities and Characteristics of Pure Bond Funds - Core Holding Products: These funds should exhibit strong individual bond selection capabilities, stable long-term holding experiences, and a proven risk-return profile [5][20]. - Tactical Allocation Products: They should be identified based on their extreme style attributes and redemption fee structures, focusing on liquidity and tracking capabilities [5][31]. - Cash Management Products: The emphasis is on stability and risk control, with a focus on indicators that reflect consistent performance and low liquidity risk [5][34]. Group 3: Indicators for Predicting High-Performing Pure Bond Funds - A factor testing framework is established to validate the predictive power of selected indicators for future performance, including bond selection ability and net asset value evaluation metrics [6][35]. - Key indicators include: 1. Bond Selection Ability: Metrics such as the contribution of bond coupon income and the performance of individual bond selection strategies [6][28]. 2. Performance Metrics: Historical return comparisons and win rates against benchmarks to assess fund stability and performance [6][29]. 3. Holding Experience: Indicators that measure the average returns over different holding periods to gauge the fund's reliability [6][30]. Group 4: Portfolio Construction Insights - The article presents three constructed portfolios based on different strategies: 1. Individual Bond Selection Portfolio: Achieved an annualized return of 4.38% with a maximum drawdown of -1.98% over the period from August 2017 to April 2025 [7]. 2. Holding Experience Portfolio: Delivered an annualized return of 4.13% with a maximum drawdown of -1.87%, outperforming the benchmark by 44 basis points [7]. 3. Cash Management Short-Duration Fund Portfolio: Recorded an annualized return of 2.88% with a maximum drawdown of -0.96%, also outperforming its benchmark [7]. Group 5: Selection of Representative Pure Bond Fund Products - The article concludes with a focus on identifying potential pure bond fund products across various strategies, including individual bond selection, interest rate trading, and scarce investment opportunities, based on the established indicator system [8].