国泰海通｜固收：“做陡曲线”还是“宏观对冲”，基金参与国债期货的两面

Core Insights - The article highlights a significant divergence between the "steep curve" strategy of medium to long-term pure bond funds and the "macro hedging" strategy of mixed secondary bond funds in the context of government bond futures participation [1] Group 1: Fund Holdings and Market Trends - In Q4 2025, the scale of government bond futures held by public funds showed a contraction, with both long and short positions marginally decreasing [1] - A total of 46 public fund companies managed products holding government bond futures, a decrease of 5 from the previous quarter, with 113 products participating, down by 27 [1] - The total long and short positions amounted to 9,153 contracts, significantly lower than the previous quarter [1] - E Fund led the market with a holding of 2,884 contracts, primarily concentrated in 6 products, indicating a high concentration [1] - Jiashi Fund held 1,346 contracts across 14 products, the highest number of products managed in the market, while Ping An Fund ranked third with 847 contracts [1] Group 2: Investment Strategies by Fund Type - The primary purpose of public funds participating in government bond futures remains hedging, with short positions valued at approximately 6.7 billion yuan and long positions at about 3.4 billion yuan, both significantly reduced compared to Q3 and below levels from the same period in 2024 [1] - The focus of capital speculation shifted towards the ultra-long end in Q4 2025, with short positions in TL contracts rising to 40%, the highest in nearly five quarters, while long positions remained at a high of 14% [2] - In contrast, short positions in T contracts decreased from 27% in Q3 to 20%, while long positions increased from 8% to 11% [2] - Medium to long-term pure bond funds significantly increased their short positions in TL contracts to 2,748 contracts (over 50% increase) while reducing short positions in T contracts, likely to hedge duration risk more effectively [2] - Mixed secondary bond funds closed a significant portion of their TL short positions while nearly doubling their long positions, possibly as a macro hedging strategy [2] - Short-term pure bond funds increased their short positions in T and TF contracts to guard against medium-term volatility, while flexible allocation funds completely liquidated their positions and adopted a wait-and-see approach [2]