【金工】纯债基金久期测算及投资风格分析——固收类基金评价与分析系列之一（祁嫣然/马元心）

Core Viewpoint - The report aims to quantitatively analyze the investment styles and capabilities of fixed-income funds, establishing a scientific evaluation and classification framework to identify products that meet investors' needs and demonstrate strong investment capabilities [4]. Investor Structure - The rapid growth of pure bond fund sizes has led to an increase in the proportion of individual investors, yet institutional investors still dominate. Funds with a high proportion of institutional investors tend to have greater net value volatility due to concentrated redemption and aggressive targets, while funds with a higher proportion of individual investors exhibit more stable operational rhythms [4]. Bond Type Style - Most funds adopt a strategy of using credit bonds as a base while timing the allocation of interest rate bonds. Approximately 40% of funds primarily derive returns from credit bonds, while about 30% switch between interest rate and credit bonds. The exposure to risk factors varies significantly across different bond types, with interest rate funds being more sensitive to systemic, slope, convexity, and cash factors, while credit funds are more sensitive to credit and default factors [5]. Duration Style - The report employs three methods—profit and loss statement method, heavy holding method, and high-frequency net value method—to measure the duration of pure bond funds, reflecting their interest rate risk exposure. The profit and loss statement method captures the true duration level at disclosure points, while the heavy holding method is influenced by leverage and concentration. The high-frequency net value method offers advantages in timeliness and dynamic tracking [6][7]. Leverage Style - Leveraging is a fundamental investment strategy for pure bond funds, allowing for amplified returns based on coupon income. The report categorizes leverage styles into four types based on the average leverage level and leverage range over the past three years. A significant proportion of funds prefer timing their leverage, indicating a flexible adjustment based on interest rate spreads and liquidity conditions. Leverage, as a magnifier of net value fluctuations, is a key dimension alongside duration style in defining the risk-return characteristics of pure bond funds [8].