Core Insights - The report emphasizes the importance of tracking fund duration as a key indicator of institutional behavior in the bond market, suggesting that it should evolve from merely monitoring total duration to analyzing detailed structures and behaviors [3][4] - It highlights that short-term bond funds have outperformed medium and long-term bond funds this year, with median returns of 1.39% for short-term funds compared to 1.03% for medium and long-term funds [5] - The report indicates that the estimated duration of bond funds has shown a fluctuating trend throughout the year, with a low of 2.39 years and subsequent increases, reflecting market dynamics and fund behaviors [5][6] Fund Duration Tracking Methods - Four methods for tracking fund duration are outlined: 1. Interest rate sensitivity duration calculated from risk sensitivity analysis in fund reports 2. Weighted average duration based on the top five holdings in bond funds 3. Net buying duration based on net buying data of bonds 4. Duration estimation based on fund net value changes against different maturity indices [4][5] Performance Analysis - The report notes that the performance of credit bond funds has been superior to that of interest rate bond funds, indicating a preference shift among investors [5] - It also mentions that the duration of high-performing bond funds has recently increased, with a notable rise in medium and long-term credit bonds contributing significantly to this trend [6][7] - The analysis suggests that there is still room for further increases in fund duration levels, indicating potential trading opportunities in the future [7]

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - The trading sentiment in the bond market this week was cautious. The trading volume of funds in the first half - week was small, and the duration of interest - rate bond funds decreased significantly. The purchasing power of the allocation portfolio remained weak, and the bullish power in the bond market was limited [9]. - The bond market vitality index continued to rise slightly. The index was compiled based on the historical quantile levels of bond market leverage ratio, turnover rate, bond fund duration, and the implied tax rate of China Development Bank bonds since 2022 and their correlation coefficients with the bond market trend [10]. - Most interest - rate bond funds have recorded negative returns in the past three months. Since August, the scale of equity funds has slightly declined, while the scale of bond funds has slightly increased. The issuance of newly established bond funds this week was still at a low level [89]. 3. Summary by Relevant Catalogs 3.1 Overall Sentiment - The bond market vitality index continued to rise slightly. As of September 5, the bond market vitality index increased by 2 pcts to 45% compared with August 29, and the 5D - MA increased by 5 pcts to 41% [10]. - Indicators of rising bond market vitality included the trading volume of the active 10Y China Development Bank bond / the balance of 9 - 10Y China Development Bank bonds (the rolling two - year quantile increased from 41% to 63%) and the turnover rate of 30Y treasury bonds (the rolling two - year quantile increased from 24% to 47%) [12]. - Indicators of falling bond market vitality included the median duration of medium - and long - term pure bond funds (the rolling two - year quantile decreased from 99.5% to 92.7%), the implied tax rate of 10 - year China Development Bank bonds (reverse) (the rolling two - year quantile decreased from 81% to 66%), and the excess level of the inter - bank bond market leverage ratio compared with the average of the past four years (the rolling two - year quantile decreased from 11% to 9%) [13]. 3.2 Institutional Behavior 3.2.1 Buying and Selling Strength and Bond Selection - In the current bond market, the order of net buying strength was funds > other product types > large banks > insurance > others > wealth management > rural financial institutions > foreign - funded banks > money market funds, and the order of net selling strength was joint - stock banks > city commercial banks > securities firms. For ultra - long bonds (bonds with a maturity of over 15 years), the order of net buying strength was insurance > funds > other product types > others > foreign - funded banks, and the order of net selling strength was large banks > joint - stock banks > rural commercial banks > securities firms > city commercial banks > wealth management [20]. - Different institutions had different bond preferences. Large banks mainly focused on 3 - 5Y interest - rate bonds; rural commercial banks, insurance companies, and wealth management products had no obvious main bond types; funds mainly focused on 1 - 3Y and 3 - 5Y interest - rate bonds; other product types mainly focused on 3 - 5Y interest - rate bonds [20][25]. 3.2.2 Trading Portfolio - As of September 5, the mean and median durations of the full - sample medium - and long - term pure bond funds decreased by 0.23 years and 0.31 years respectively compared with August 29, reaching 4.40 years and 4.21 years, and were at the 92.7% rolling two - year quantile [38]. - The median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds decreased by 0.64 years, 0.62 years, and 0.13 years respectively, reaching 5.10 years, 4.84 years, and 3.93 years, and were at the 90.0%, 90.0%, and 94.4% rolling two - year quantiles respectively [38][40]. - The median durations of high - performing interest - rate bond funds and credit bond funds decreased by 0.57 years and 0.09 years respectively, reaching 6.40 years and 4.54 years [40]. 3.2.3 Allocation Portfolio - The primary subscription demand for treasury bonds and policy - financial bonds was differentiated this week, with the demand for ultra - long bonds rising. The weighted average full - market multiples of treasury bonds decreased from 2.69 times to 2.66 times, while those of policy - financial bonds increased from 3.02 times to 3.54 times. For bonds with a maturity of 10Y and above, the weighted average full - market multiples of treasury bonds increased from 2.69 times to 3.02 times, and those of policy - financial bonds increased from 2.77 times to 3.74 times [54]. - Large banks' net buying of 1 - 3Y treasury bonds decreased in August. As of September 5, the cumulative net buying of 1 - 3Y treasury bonds this year was 6206 billion yuan [61]. - Rural commercial banks' cumulative net buying of bonds this year was significantly weaker than in previous years, mainly due to the weak net buying of short - term bonds within 1Y. However, the net buying of 7 - 10Y and over 10Y bonds was significantly higher than in previous years [71]. - Insurance companies' net buying of bonds was significantly higher than in previous years, mainly due to the strong buying of ultra - long bonds over 10Y. As of September 5, the ratio of cumulative net bond buying to cumulative premium income reached 45.95%, exceeding 42.62% at the end of September last year [78]. - Wealth management products' net buying of bonds in the secondary market had a slightly lower duration this week but remained at the highest level since February 23, 2024. As of September 5, the weighted average duration of cumulative net bond buying was 1.75 years, a decrease of 0.02 years compared with August 29 [86]. 3.3 Asset Management Product Tracking - Since August, the scale of equity funds has slightly declined, while the scale of bond funds has slightly increased. In September, the scale of bond funds and equity funds increased by 155 billion yuan and decreased by 305 billion yuan respectively compared with the previous month [89]. - The issuance of newly established bond funds this week was still at a low level, with a scale of only 32 billion yuan, down from 48 billion yuan in the previous week [89]. - This week, the net value increases of various types of bond funds have generally expanded, with credit bond funds performing better. The median annualized returns of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds in the past week were 4.0%, 3.6%, and 3.8% respectively. Most pure interest - rate bond funds and interest - rate bond funds have recorded negative returns in the past three months [89].