1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report systematically sorts out mainstream fund duration measurement methods, focusing on the supplementary bond method and the net - value regression method. The supplementary bond method can optimize the heavy - position weighted method, but it is difficult to capture the dynamic changes of fund positions and duration. The net - value regression method has advantages in fitting stability and dynamic tracking ability. The measurement results show that since 2025, the duration of bond funds has fluctuated, with the central position remaining at a relatively high level. The duration management ability is an important factor affecting the differentiation of fund performance [5][82]. 3. Summary According to the Directory 3.1 Fund Duration: Significance and Measurement Methods - **Significance of Fund Duration**: Fund duration is an important indicator to measure interest - rate risk and investment style. A longer duration means greater price sensitivity to interest - rate fluctuations. Adjusting the duration reflects investors' risk preferences and operational ideas, and the duration level represents managers' judgments on interest - rate trends [22]. - **Mainstream Measurement Methods and Their Advantages and Disadvantages**: Common measurement methods include the interest - rate sensitivity method, the recursive method, the heavy - position weighted method, the supplementary bond method, and the net - value regression method. Low - frequency methods are simple to calculate and relatively accurate, while high - frequency methods are continuous and suitable for dynamic tracking. In practice, a trade - off is needed between frequency and accuracy, and multiple methods should be used for cross - verification [23][25]. 3.2 Supplementary Bond Method: Constructing a Simulated Portfolio to Optimize the Heavy - Position Weighted Method - **Basic Principle**: The supplementary bond method optimizes the heavy - position weighted method by filling in specific bonds based on the scale information of various bond holdings in the fund's investment portfolio, constructing a new simulated portfolio with the same duration as the fund's real duration [35]. - **Effectiveness and Limitations**: The supplementary bond method can effectively improve the accuracy of the simulated portfolio's duration at the time of the semi - annual disclosure of the fund's real duration. However, during the period without disclosure of heavy - position holdings and real duration, it cannot reflect the dynamic adjustment of the duration center caused by market changes, and its applicability in high - frequency real - time tracking scenarios is limited [39]. 3.3 Net - Value Regression Method: High - Frequency Dynamic Duration Tracking - **Basic Model**: The net - value regression method takes the daily fund return as the explained variable and the index return as the explanatory variable. The regression coefficient reflects the fund's sensitivity and allocation preference for various bond indexes, and the fund's duration is the weighted result of its holdings on different - term bond indexes [44]. - **Problems and Solutions**: The explanatory variables of the model have a multi - collinearity problem. The PLS method is finally adopted to compress multi - dimensional and highly correlated independent variables, avoid problems caused by multi - collinearity, and improve the model's prediction performance [49][53]. - **Duration Results Measured by the Net - Value Regression Method**: The overall fitting effect of the measured duration is good, with about 41% of the samples having a measurement error within 0.5 years. Since 2025, the duration of the entire market's bond funds has been oscillating, and the central position of the duration reached its highest point in July and August, then declined rapidly, and rebounded at the end of September [58]. - **Using the Net - Value Regression Method to Guide Investment**: Two indicators, the correlation coefficient between duration and Treasury bond yield and the timing accuracy rate, are constructed to test the fund's timing ability. The results show that high - performing funds have a higher timing accuracy rate and a stronger negative correlation between duration and interest - rate trends [72][77].

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].