国泰海通｜固收：“负久期”、信用套息和地方债套保——2025年现券-国债期货新策略的演进和表现

Core Viewpoint - The article discusses the increasing use of government bond futures linked to cash bonds strategies in the turbulent market of 2025, focusing on four main strategy building models. Group 1: Enhancing Yield and Stability - The strategy of using government bond futures to enhance the yield of credit bonds is highlighted, where investors can lock in base yields by purchasing highly liquid short-term bonds while using sufficiently discounted government bond futures to supplement duration. This approach yielded an excess return of 35 basis points in the second quarter of 2025 through a combination of "9M certificates of deposit + TL contracts" [1]. Group 2: Duration Adjustment Strategies - The article outlines how investors can quickly adjust duration in response to market volatility using a "negative duration" strategy. This allows investors to leverage positions to extend duration during bullish sentiment and establish short positions during market downturns, effectively transforming market declines into investment gains [2]. Group 3: Hedging with Government Bond Futures - The effectiveness of using government bond futures for hedging long-duration credit bonds and local government bonds is discussed. While the hedging effect may be limited, it can smooth net asset value fluctuations, keeping them within a narrow range of -2% to 2%. Additionally, the article notes that exploiting the differing volatility patterns between government bonds and local/credit bonds can capture spread contraction opportunities [3]. Group 4: Arbitrage Opportunities - The article identifies arbitrage opportunities arising from temporary pricing anomalies between cash bonds and futures or across different contract maturities. A positive spread strategy is suggested when the IRR and funding rate spread exceeds 100 basis points, with historical data indicating an average monthly return of 0.3%. Cross-product arbitrage strategies are also mentioned, with potential returns of approximately 0.34% and 0.56% during specific market conditions in 2025 [4].