Core Insights - The report discusses the increasing attention on the "negative duration" strategy in the bond market, particularly in the context of a bearish market trend observed in the second half of the year, where most pure bond funds experienced significant net value declines, while some managed to rise against the trend [5][6][19]. - The report highlights that executing a negative duration strategy can yield positive returns even during periods of rising bond yields, contrasting with traditional long-duration strategies that are prone to losses in a declining market [6][19]. Market Trends - The bond market has shown a clear bearish trend in the second half of the year, characterized by multiple consecutive declines, with the 30-year active treasury futures price dropping from 121 to 114, reflecting a yield increase of nearly 40 basis points [5][13]. - The report notes that the market downturn is not merely a fluctuation but exhibits distinct characteristics of a bear market, influenced by factors such as the "stock-bond seesaw" effect and "anti-involution" policies [5][16]. Strategy Implementation - The negative duration strategy is being executed by brokerage proprietary trading desks, which establish short positions in treasury futures while simultaneously borrowing and selling long-term treasury bonds to capitalize on the price declines during rising interest rates [6][19]. - The report indicates a notable increase in the borrowing balance of 30-year treasury bonds by brokerage firms since mid-November, reflecting the implementation of short-selling strategies [20][21]. Fund Performance - Some public funds have successfully utilized treasury futures to implement a temporary negative duration strategy, resulting in net value increases during a period of rising interest rates, while other similar funds saw significant declines [7][22]. - The report emphasizes that public funds are allowed to participate in treasury futures trading, albeit with restrictions on position sizes and trading volumes, which provides a regulatory framework for executing negative duration strategies [22]. Future Outlook - The report anticipates that the focus on negative duration strategies may increase in a low-interest-rate environment characterized by heightened market volatility, with expectations of wide fluctuations in long-term treasury yields, specifically forecasting the 10-year yield to oscillate between 1.8% and 1.9%, and the 30-year yield between 2.2% and 2.4% [27].