——走在债市曲线之前系列报告（七） 固定收益丨深度报告 [Table_Title] 基金久期测算方法全解 %% %% %% %% research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Summary] 本报告系统梳理了利率敏感性法、递推法、重仓加权法、补券法、净值回归法等基金久期测算 方法。其中，补券法在重仓加权法基础上引入补券，修正样本覆盖偏差、提升组合还原度，但 难以捕捉基金持仓和久期的动态变化。净值回归法以基金收益率对债券指数涨跌幅的回归为基 础，引入 PLS 方法以缓解多重共线性，在拟合稳定性和动态跟踪能力上更具优势。测算结果显 示，2025 年以来债基久期有所震荡，中枢维持偏高水平。考察不同基金的择时表现，绩优基金 的久期调整方向与利率走势具有更高的负相关性，体现出久期管理在投资中的重要作用。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 SAC：S0490524080003 SAC：S0490524120005 SFC：BVN394 SFC：BVZ968 请阅读最后评级说明和重要声明 2 / 20 %% %% %% %% research.95579. ...

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - Based on the optimized recursive method, a six - type financial institution duration measurement system has been constructed. This method is more advantageous than traditional methods in terms of universality, update frequency, and sensitivity, effectively tracking institutional duration changes [5]. - The durations of various institutions are significantly differentiated, with the duration ranking being Insurance > Securities Self - operation > Rural Commercial Banks > Bond Funds > Bank Wealth Management > Money Market Funds. This reflects the significant differences in bond - allocation ideas and styles among institutions [5][10]. - The duration changes of some institutions are closely related to yield trends. The durations of funds and securities self - operation have the strongest correlation with the 10Y Treasury yield two periods in advance, showing certain predictability. A 10Y Treasury timing strategy has been constructed, with a 62.87% winning rate three days after a buy signal is issued [5][12]. 3. Summaries Based on Related Catalogs 3.1 Recursive Method's Advantages over Other Duration Measurement Methods - The recursive method has advantages such as strong universality, high update frequency, sensitivity to marginal duration changes, and no interference from correlations between regression factors. It can accurately track the daily frequency duration of various financial institutions. Adjustment parameters are introduced to optimize the model, and calculations are reset at the time of institutional data disclosure to avoid systematic deviations [9]. - Common duration measurement methods include the top - heavy weighted method and the regression method, both of which have significant drawbacks. The top - heavy weighted method has low timeliness and large errors when the portfolio is diversified. The regression method has insufficient sensitivity to marginal changes and may lead to errors due to the assumption of linear relationships [23]. 3.2 Duration and Position Characteristics of Different Institutions 3.2.1 Public Offering Funds - The duration of public offering funds has marginally recovered, and the position size has steadily increased. From 2021 to 2023, the duration center was about 1.6 years. In 2024, there was an obvious duration - lengthening trend, reaching a historical high of 2.43 years at the end of 2024. In the first quarter of 2025, the duration decreased due to market adjustments and then recovered. As of May 23, 2025, it was 2.22 years, indicating an optimistic attitude towards the bond market [30][31]. - The duration of bond funds is negatively correlated with the 10Y Treasury yield, with a correlation coefficient of - 0.83. The change in bond fund duration is mainly driven by market interest rate trends [34]. 3.2.2 Money Market Funds - The duration of money market funds fluctuates slightly, and the position size generally increases. The duration remains at a low level to meet liquidity requirements. From 2022 to 2024, the duration showed a dynamic balance and a small - amplitude fluctuation trend. The position size generally increased, with significant fluctuations after policy implementation [39]. - In 2024, the position of money market funds showed a "first contraction, then expansion" V - shaped trend. The position of treasury bonds decreased throughout the year, while the positions of policy - based financial bonds and negotiable certificates of deposit (NCDs) first decreased and then increased [44]. 3.2.3 Rural Commercial Banks - The duration of rural commercial banks fluctuates greatly, and the position size continuously increases. From January 2021 to May 23, 2025, the duration fluctuated between 2.35 - 3.94 years, and the position size increased from 3.62 trillion yuan to 6.32 trillion yuan [48]. - The continuous increase in position size and fluctuating duration are due to factors such as compressed credit business, regulatory requirements to control leverage and shorten duration, and flexible bond - allocation strategies [51]. 3.2.4 Securities Self - operation - The duration of securities self - operation shows an upward trend, and the position size decreases and then stabilizes. From 2022 to 2023, the duration fluctuated around 3.0 years and showed an upward trend after 2023. The position size increased from 2022 to 2023, decreased significantly in April 2024, and then stabilized [58]. - The bond positions of securities self - operation are mainly interest - rate bonds, with 1 - 5 - year interest - rate bonds accounting for the majority. The proportion of medium - and long - term bonds increased in 2023 [64]. 3.2.5 Bank Wealth Management - The duration of bank wealth management shows a shortening trend, and the position size stabilizes with fluctuations. From the end of 2021 to May 23, 2025, the duration decreased from 2.30 years to 1.15 years, a 50% decrease. The position size of credit bonds and NCDs showed a trend of stabilizing with fluctuations [67]. - The shortening of the duration is mainly due to the shortening of the credit - bond duration and the increase in the proportion of NCDs [71]. 3.2.6 Insurance Institutions - The duration of insurance institutions fluctuates upward, locking in long - term returns to cope with interest - rate fluctuations. From June 2019 to January 2024, there was a large duration gap between the liability and asset sides. To reduce the gap, insurance institutions tend to lengthen the asset duration [73]. - From May 2022 to May 23, 2025, the duration increased from 6.4 years to nearly 6.8 years, and the interest - rate bond position increased from 10 trillion yuan to 18 trillion yuan, reflecting a defensive layout in the low - interest - rate cycle [77]. 3.3 Duration Strategy Changes in 2025 - In the first four months of 2025, insurance institutions continuously lengthened their duration, bank wealth management continued to shorten its duration, the duration of funds first decreased and then increased, the duration of rural commercial banks first increased and then decreased, and the durations of money market funds and securities self - operation changed little [11][87]. - Insurance institutions lengthened their duration to obtain term premiums and reduce the duration gap. Rural commercial banks' duration increased by 25% in the first quarter, driven by factors such as bond - market adjustments and weakening credit demand for urban investment. The decrease in bond - fund duration was due to market fluctuations in the first quarter, and the shortening of bank wealth management duration was due to short - term liabilities and risk - control requirements [87]. 3.4 Funds and Securities Self - operation as Leading Indicators of Yield Decline - The durations of public offering funds and securities self - operation have the strongest negative correlation with the 10Y Treasury yield two periods in advance, showing certain predictability [12][92]. - A 10Y Treasury timing strategy has been constructed using the duration increase of funds and securities self - operation as a buy signal. The back - testing results from 2023 to April 2025 show a 62.87% winning rate three days after a buy signal is issued, indicating that the duration increase can be a signal of a decline in the 10Y Treasury yield [12][99].