Group 1: Report Industry Investment Rating - Not provided Group 2: Core Viewpoints of the Report - After achieving duration neutrality in cross - variety arbitrage, the market aims to earn term spread returns, but the net basis often has a greater impact on the portfolio value. The report tries to help investors solve this problem by finding the net basis rules of different portfolios [3] - The fluctuations of the duration - neutral cross - variety arbitrage portfolio mainly come from term spread and net basis fluctuations. The net basis fluctuation dominates the impact on the overall value. After subtracting the net basis, the portfolio value fluctuation fits the term spread better, indicating that the net basis is the main factor affecting the portfolio's tracking of the term spread [4] - The short - term fluctuations of the portfolio's net basis have weak regularity, but in the long run, it has certain characteristics. It has a fixed historical fluctuation range and mean - reversion characteristics. Curve trading can be considered when the net basis is at a historical high or low to avoid potential impacts [5] Group 3: Summary by Relevant Catalog 1. Cross - Variety Arbitrage's Duration Neutrality 1.1 Portfolio Value Fluctuations Mainly Come from Basis and Term Spread - Since May, the short - end of government bonds has been stable, and the long - end has adjusted significantly, with term spreads widening. Common arbitrage portfolios have significant duration gaps, so a portfolio without a duration gap is considered to track the term spread. When a×D(A)×A = b×D(B)×B, the portfolio's duration is 0 [10][12] - To keep the arbitrage portfolio duration - neutral, the position ratio of the varieties in the portfolio should be adjusted over time, but it is difficult to do so daily in practice [15] - To observe the impact of net basis fluctuations on portfolio value, a duration - neutral arbitrage portfolio is created near the main contract switching date and tracked until the next switch. The portfolio ratio remains unchanged during this period [20] - After achieving duration neutrality, the portfolio's value fluctuations mainly come from tracking term spreads and net basis fluctuations. The net basis causes portfolio value changes. From 2018 to now, except for 2020, the price fluctuations of most arbitrage portfolios in the main contracts within 3 months are usually within 1 yuan, and the net basis fluctuations are usually within 0.6 yuan. The net basis amplitude often reaches 100% - 200% of the portfolio price amplitude, and since the 2412 contract, this proportion has decreased but remains high [22][24] - The correlation between portfolio value and net basis is unstable. Due to net basis disturbances, the arbitrage portfolio often deviates from tracking term spreads, but after subtracting the net basis, the tracking effect is greatly improved [33][37][39] 1.2 What Are the Disturbing Factors of the Net Basis? - In the strategy of rotating every 3 months, the net basis is the main disturbing factor. In 2024, bond market interest rates were positively correlated with the net basis, but since 2025, the trend has diverged. Since May 2025, there has been a certain negative correlation [42] - The net basis of the portfolio is generally positively correlated with the funding rate, but the rule for the T - TL portfolio is unstable, possibly due to the stronger trading nature of the TL contract [42] - Trading activity is positively correlated with the portfolio's net basis in the general trend, and the rule is more obvious when measured by trading volume divided by open interest. The T - TL rule is relatively less obvious [53] - Similar to the net basis of a single variety, the portfolio's net basis has cyclical fluctuations and mean - reversion characteristics. Curve trading can be considered when the net basis reaches a historical high or low [53] 2. Cross - Variety Arbitrage Example - The 30Y - 7Y term spread has widened since early June. A cross - variety arbitrage portfolio was created on May 30 to track it. From May 30 to August 21, the term spread widened by 5.25bp, the futures portfolio value increased by about 0.03 yuan, and the net basis caused a loss of about 0.06 yuan, accounting for 63% of the loss. The net basis on May 30 was not at an extreme value, and interest rate increases during the period led to potential net basis declines and additional losses [62][64]