收益来源方面，组合票息回升居多，年初配置与交易空间值得关注。二级、城投超长型、二永久期及永续债下沉策略 2026 年年初的票息空间较大，其当前年化票息较 2025 年低点距离均在 30bp 以上，特别是中长端二永债重仓组合节 后有概率继续走修复行情。另外，永续债久期、城投哑铃型策略票息年化在 2.18%-2.19%左右，也有一定配置价值。 二、信用策略超额收益跟踪 近四周，城投哑铃型策略超额收益波动走低。具体来看，二级债下沉、永续债久期及二级债子弹型组合的累计超额收 益分别达到 1.8bp、1.3bp、-0.4bp，其余中长端策略累计超额处于负区间。城投久期、哑铃型组合累计超额收益仍在 -13bp 附近，但随着投资者一致缩短久期，长债从最初的抛售超跌转为企稳，哑铃型策略较子弹型超额收益的波动降 低，这对于超长端而言或许是一个底部信号。 从策略期限来看，金融债重仓策略跑赢中长端基准。短端方面，本周存单策略、城投下沉策略收益均不及基准；中长 端方面，除城投久期、哑铃型及券商债久期策略外，其余组合超额收益回正，其中，二级债子弹型、永续债下沉组合 超额达到 5.6bp、5bp，表现较为亮眼；超长端策略整体超额收益在券 ...

Group 1 - The core view of the report indicates that most simulated portfolio returns have slightly rebounded, with the secondary ultra-long and mixed-dumbbell strategies leading in returns of 0.16% and 0.13% respectively in the interest rate style portfolio, while the secondary ultra-long and mixed-dumbbell strategies in the credit style portfolio achieved returns of 0.28% and 0.18% respectively [3][14][19] - In terms of heavy-weighted bond types, the city investment heavy-weighted strategy showed stronger recovery compared to other portfolios, with the average return of the city investment heavy-weighted portfolio increasing by 3.5 basis points to 0.11% [3][19] - The report notes that the annualized coupon rates for secondary, city investment ultra-long, and perpetual strategies have a high safety margin, with the secondary ultra-long strategy having a space of nearly 50 basis points above its low for the year [4][27] Group 2 - Over the past four weeks, high-volatility portfolios have maintained low excess returns, with cumulative excess returns for city investment short-end sinking, commercial paper bullet-type, and broker debt sinking portfolios at -4.2 basis points, -5.9 basis points, and -7.2 basis points respectively [5][31] - The report highlights that despite some convergence in negative deviations for city investment dumbbell and secondary debt duration strategies, their cumulative excess returns remain low at -34.7 basis points and -21.5 basis points respectively [5][31] - The excess returns for ultra-long strategies have remained high for two consecutive weeks, with city investment, industry, and secondary ultra-long strategies showing readings of 11.9 basis points, 11.1 basis points, and 25.4 basis points respectively [5][35]

量化信用策略 截至 12 月 12 日，控回撤成为近期主要策略目标。具体来看，城投短端下沉、商金债子弹型及券商债下沉组合的累计 超额收益分别达到 5bp、4.4bp、1.5bp，其余中长端策略累计则不足 5bp。近一个月内慢涨快跌的行情下控回撤成为 主要目标，而非基于久期+波段做出超额，毕竟前两个月表现出色的城投哑铃组合，近四周累计超额读数降至-25.7bp 的低位。金融债重仓组合也是如此，下沉策略超出对应久期策略累计收益均值 12bp 之多。 ETF 谋势 上周（12/8-12/12）债券型 ETF 资金净流入 29.5 亿元，信用债 ETF、利率债 ETF、可转债 ETF 分别净流入 53.7 亿元、 净流出 9.6 亿元、净流出 14.6 亿元。业绩表现来看，相较于上周，信用债 ETF、利率债 ETF、可转债 ETF 累计单位净 值周度涨跌幅分别为+0.05%、+0.08%、+0.20%，债券 ETF 净值边际修复。 票息资产热度图谱 截至 2025 年 12 月 15 日，与前一周相比，非金融非地产类产业债收益超过半数上行，不过，除 1 年内民企私募债外， 其余品种收益调整不足 4BP；地产债收益普遍 ...

Group 1 - The simulated portfolio's returns have continued to rebound, with the exception of some secondary bond-heavy portfolios, while other credit style strategies have not outperformed their corresponding interest rate styles [3][17][22] - In the interest rate style portfolio, the secondary ultra-long and mixed barbell strategies showed significant rebounds, with weekly returns of 0.16% and 0.13% respectively [3][19] - In the credit style portfolio, the secondary ultra-long and mixed barbell strategies led with returns of 0.29% and 0.17% respectively [3][19] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 9.7 basis points to 0.06%, while the cumulative return since the fourth quarter has been lower than the corresponding interest rate style [3][22] - The city investment heavy portfolio's average return rose by 21 basis points to 0.07%, with bullet strategies achieving a return of 0.11%, outperforming short-end and barbell strategies [3][22] - The average return of the secondary capital bond heavy portfolio increased to 0.14%, with rebounds in secondary sinking and mixed barbell strategies at 0.15% and 0.17% respectively, but these rebounds were insufficient to offset previous losses [3][22] Group 3 - The credit style portfolio's coupon rates have shown signs of recovery, particularly in the bank subordinated bond heavy portfolio, which has a competitive yield in absolute terms [4][29] - The annualized yields for the secondary perpetual bond duration strategy are 2.19% and 2.23%, approximately 39 basis points away from the year's low [4][29] - The contribution from coupon income ranges from 20% to 90%, with most of the week's returns coming from capital gains [4][29] Group 4 - In the past four weeks, controlling drawdown has become the main strategy objective, with short-end sinking and commercial bank bond portfolios still showing positive cumulative excess returns [5][33] - The cumulative excess returns for city investment short-end sinking, commercial bank bullet, and broker bond sinking portfolios are 5 basis points, 4.4 basis points, and 1.5 basis points respectively, while other medium to long-term strategies have accumulated less than 5 basis points [5][33] - The city investment barbell strategy, which performed well in the previous two months, has seen its cumulative excess return drop to -25.7 basis points over the past four weeks [5][33] Group 5 - The trading direction for 4 to 5-year long-term credit bonds may show divergence, with some medium to long-term duration strategies lacking excess returns [6][36] - The short-end time deposit strategy's excess return turned negative this week, while the city investment sinking strategy showed a slight positive deviation from the benchmark [6][36] - The excess returns for ultra-long strategies have risen to their highest level since late October, with city investment, industry, and secondary ultra-long strategies recording 9.4 basis points, 11.1 basis points, and 29.7 basis points respectively [6][36]

Group 1 - The simulated portfolio returns have generally rebounded this week, with most credit style portfolios outperforming their corresponding interest rate styles. The weekly returns for secondary capital bonds and long-term strategies were both 0.05%, while the leading credit style strategies, perpetual bond duration and perpetual bond down strategies, achieved returns of 0.13% and 0.12% respectively [2][10][16] - The average weekly return for the credit style certificate of deposit (CD) heavy portfolio increased by 4 basis points to 0.04%, remaining at a relatively low level since October. The city investment heavy portfolio's average weekly return slightly rose to 0.03%, which is still lower than the CD strategy [2][17] - The main source of returns this week was the increase in coupon rates across various strategy portfolios, with investment returns primarily driven by coupon income. The coupon contribution was distributed between 30% to 100%, with the secondary bond bullet strategy contributing 60% of its returns from capital gains [3][26] Group 2 - Over the past four weeks, the duration city investment strategy has outperformed the financial bond heavy strategy. The cumulative excess returns for the city investment strategies were 17.9 basis points for the bullet strategy, 16.8 basis points for the duration strategy, and 3.6 basis points for the broker bond down strategy [4][30] - In terms of strategy duration, the excess returns for the medium to long-term city investment duration strategy have turned negative. The short-term CD strategy has shown negative excess returns, while the city investment down strategy's excess return increased to 2.7 basis points [4][32] - The cumulative comprehensive returns for the main credit style strategies this year have been led by city investment short-term down, city investment duration, and city investment bullet strategies, achieving returns of 1.56%, 1.34%, and 1.3% respectively [10][11]

Group 1: Quantitative Credit Strategy - The urban investment bond duration strategy balances returns and defensiveness well, with cumulative excess returns for perpetual bonds, secondary bonds, and urban investment barbell combinations reaching 18.5bp, 14.7bp, and 5.1bp respectively [2][12] - Most medium to long-term strategies have shown excess returns in the past month, indicating potential profit from recent upward trends, although the likelihood of volatility corrections is higher compared to other strategies [2][12] Group 2: Duration Tracking - As of October 24, 2025, the weighted average transaction durations for urban investment bonds and industrial bonds are 1.98 years and 2.42 years, respectively, returning to over 80% of the high historical percentile since 2021 [3][15] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 4.01 years, 3.46 years, and 1.83 years, with secondary capital bonds showing a relatively high duration percentile [3][15] Group 3: Yield Heatmap - As of October 27, 2025, the valuation yields and spreads of private enterprise industrial bonds and real estate bonds are generally higher than other varieties [4][17] - In the non-financial and non-real estate industrial bonds, yields have generally declined, with the average drop exceeding 6bp for 2-5 year state-owned enterprise private perpetual bonds [4][18] Group 4: Science and Technology Innovation Bonds - The issuance of science and technology innovation bonds reached a year-to-date high, with a total issuance scale of 699.4 billion yuan from October 20 to October 24, 2025, including 421.4 billion yuan from the exchange [5][20] - The subscription enthusiasm for new bonds has increased, with several science and technology bonds being oversubscribed by more than three times, indicating strong institutional demand for quality science and technology bonds [5][20] Group 5: Local Government Bonds - From October 20 to October 24, 2025, local government bonds issued totaled 247.2 billion yuan, including 112.4 billion yuan of new special bonds and 65.1 billion yuan of refinancing special bonds [6][23] - The main investment areas for special bond funds are "special new special bonds" and "ordinary/project income," with 73 billion yuan of special refinancing special bonds issued in October, accounting for 9.3% of the month's local bond issuance [6][23]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - This week, the returns of the simulated portfolios generally declined, with the credit - style portfolio returns mostly higher than the interest - rate style. The investment in Pu - xin bonds (普信债) was advantageous, and the capital gains of the urban investment bond heavy - position strategy contributed significantly to the returns [2][3]. - In the past four weeks, the urban investment bond duration strategy balanced returns and defensiveness well. The excess returns of medium - long - term and ultra - long - term strategies were significantly compressed [4]. 3. Summary by Directory 3.1 Combination Strategy Return Tracking - **Combination Weekly Return Overview**: As of October 24, the cumulative returns of the interest - rate style and credit - style portfolios this year have been continuously lagging behind the same period in the past two years. Among the main credit - style portfolios, the urban investment short - end sinking, urban investment bullet - type, and certificate of deposit bullet - type portfolios had leading cumulative comprehensive returns of 1.26%, 0.86%, and 0.84% respectively. This week, the returns of the simulated portfolios generally declined, with the credit - style portfolio returns mostly higher than the interest - rate style. In the interest - rate style portfolio, the urban investment ultra - long - type and industrial ultra - long - type strategies had smaller drawdowns, with weekly returns of - 0.03% and - 0.04% respectively. In the credit - style portfolio, the urban investment ultra - long - type and industrial ultra - long - type strategies led in returns, reaching 0.41% and 0.4% respectively. The Pu - xin bond heavy - position strategy was advantageous [10][14][15]. - **Combination Weekly Return Source**: The coupon of various strategy portfolios continued to decline, while the capital gains of the urban investment bond heavy - position strategy contributed significantly. Among the mainstream credit - style strategies, the weekly coupon decline of the second - tier bond bullet - type and duration portfolios exceeded 0.13bp, while the annualized coupons of the urban investment bond duration and dumbbell - type strategies remained above 2.19%, exceeding the readings of portfolios such as perpetual bond duration and securities firm bond sinking. This week, the divergence in return sources was relatively large, and the coupon contribution of the credit - style portfolio generally fell within the range of 10% - 70%, with the readings of the urban investment bond heavy - position strategy mostly below 40%, indicating rich capital gains [3][25]. 3.2 Credit Strategy Excess Return Tracking - In the past four weeks, the urban investment bond duration strategy balanced returns and defensiveness well. Except for the commercial financial bond bullet - type portfolio, the other medium - long - term strategies had certain excess returns in the past month. The cumulative excess returns of the perpetual bond duration, second - tier bond duration, and urban investment dumbbell - type portfolios reached 18.5bp, 14.7bp, and 5.1bp respectively. However, the possibility of volatility and correction was greater than that of other strategies. Among the low - volatility portfolios, the urban investment bond duration strategy with leading returns was worth attention [4][29]. - In terms of strategy duration, the excess returns of medium - long - term and ultra - long - term strategies were significantly compressed. In the short - term, the certificate of deposit strategy showed a negative deviation from the benchmark for four consecutive weeks, while the excess return of the urban investment sinking strategy gradually expanded. Except for the securities firm bond sinking, urban investment duration, and dumbbell - type portfolios, the excess returns of the other medium - long - term strategies were negative. The ultra - long - term strategy performance was divergent, with the urban investment and industrial ultra - long - type strategies having small excess returns, while the reading of the second - tier ultra - long - type strategy dropped to - 25.6bp, showing a significant decline compared to the previous period [4][31].

Group 1: Quantitative Credit Strategy - The recent medium to long-term strategies have shown strong cumulative returns, with perpetual bond duration, secondary bond bullet-type, and secondary bond duration strategies achieving cumulative excess returns of 13bp, 11.2bp, and 11.1bp respectively [2][12] - The secondary bond duration strategy has rebounded significantly, but its volatility is much higher than that of the downshift strategy, which has a cumulative return of 9.2bp, demonstrating both low volatility and strong recovery advantages [2][12] Group 2: ETF Trends - From October 13 to October 17, bond ETFs experienced a net outflow of 13.36 billion yuan, with credit bond ETFs, interest rate bond ETFs, and convertible bond ETFs seeing net outflows of 7.46 billion yuan, 4.96 billion yuan, and 0.94 billion yuan respectively [3][16] - In terms of performance, credit bond ETFs, interest rate bond ETFs, and convertible bond ETFs had weekly net value changes of +0.11%, +0.32%, and -1.77% respectively, indicating a significant pullback in convertible bond ETFs while credit and interest rate bond ETFs showed marginal recovery [3][16] Group 3: Yield Heatmap of Coupon Assets - As of October 20, 2025, the yields of non-financial and non-real estate corporate bonds have mostly declined, particularly for public offerings of private enterprises within one year [4][19] - The yields of financial bonds have generally decreased, with bank subordinated bonds performing well, especially the yields of 3-5 year perpetual bonds from state-owned banks and city commercial banks dropping by over 4.5bp [4][19] Group 4: Long-term Credit Bond Tracking - The number of transactions for long-term credit bonds has not increased significantly, with a total of 276 transactions for bonds with a duration of 7 years or more during the week of October 13 to October 17, indicating ongoing concerns about duration risk in the market [5][21] - The improvement in transaction numbers is more concentrated in secondary capital bonds and interest rate bonds, suggesting a cautious market sentiment towards long-term credit bonds [5][21] Group 5: Local Government Bond Supply and Trading - During the week of October 13 to October 17, 7-10 year local government bonds outperformed the same duration national and credit bonds, with indices for these bonds rising by 0.32% and 0.58% respectively [6][25] - The performance of bonds with a duration of over 10 years was weaker compared to national bonds, which saw a weekly increase of over 1% [6][25]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - As of October 10, the heavy - position portfolios of medium - to - long - term secondary capital bonds and ultra - long industrial bonds performed better. The average return of the heavy - position portfolio of credit - style secondary capital bonds increased slightly last week, and the bullet - type strategy had an absolute return of around 0.15% with relatively small cumulative drawdown in Q3. The ultra - long bond heavy - position strategy's return rebounded by nearly 25bp, with the industrial ultra - long strategy reaching a relatively high level of 0.2% [2][12]. - The durations of mainstream credit bond varieties continued to shorten. As of October 10, the weighted average trading terms of urban investment bonds and industrial bonds were 1.65 years and 1.88 years respectively. Among commercial bank bonds, the weighted average trading terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 3.79 years, 3.36 years, and 1.69 years respectively, with general commercial financial bonds at a relatively low historical level [3][14]. - As of October 13, 2025, the valuation yields and spreads of private enterprise industrial bonds and real estate bonds in the outstanding credit bonds were generally higher than those of other varieties. Compared with last week, the yields of non - financial and non - real - estate industrial bonds generally declined, with an average decline of 6.4BP for varieties within 1 year [4][16]. - From the perspective of yields, the average return level of exchange - traded science and technology innovation bonds remained stable this week. The return of the relatively active 1 - 3 - year varieties increased by 3bp to 1.93%, while the interest rates of 3 - 5 - year varieties decreased, and the spread with non - science and technology general credit bonds of the same term widened to around 40bp [5][20]. - Affected by the National Day holiday, local government bonds worth 10.3 billion yuan were issued from October 9 to 10, all of which were refinancing general bonds. As of October 10, 2025, no special refinancing special bonds were issued in October. The average issuance interest rate of local government bonds declined marginally, and the spread between the 10 - year local government bond issuance rate and the same - term treasury bond rate was stable at around 25bp [6][22]. Summary by Directory Quantified Credit Strategy - As of October 10, the heavy - position portfolios of medium - to - long - term secondary capital bonds and ultra - long industrial bonds performed better. The average return of the heavy - position portfolio of credit - style secondary capital bonds increased slightly last week. The bullet - type strategy, with its previous declines gradually narrowing, had an absolute return of around 0.15% and relatively small cumulative drawdown in Q3, having both defensive and rebound - betting advantages. The secondary bond duration strategy was also strong. The return of the ultra - long bond heavy - position strategy rebounded by nearly 25bp, and the industrial ultra - long strategy reached a relatively high level of 0.2% [2][12]. Variety Duration Tracking - The durations of mainstream credit bond varieties continued to shorten. As of October 10, the weighted average trading terms of urban investment bonds and industrial bonds were 1.65 years and 1.88 years respectively. Among commercial bank bonds, the weighted average trading terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 3.79 years, 3.36 years, and 1.69 years respectively, with general commercial financial bonds at a relatively low historical level. Among other financial bonds, the durations of securities company bonds, securities sub - bonds, insurance company bonds, and leasing company bonds were 1.37 years, 1.79 years, 3.22 years, and 1.11 years respectively. The durations of securities sub - bonds and leasing company bonds shortened, and securities company bonds were at a relatively low historical percentile [3][14]. Coupon Asset Heat Map - As of October 13, 2025, the valuation yields and spreads of private enterprise industrial bonds and real estate bonds in the outstanding credit bonds were generally higher than those of other varieties. Compared with last week, the yields of non - financial and non - real - estate industrial bonds generally declined, with an average decline of 6.4BP for varieties within 1 year. The interest rate declines of general commercial financial bonds were basically around 5BP. Among the second - tier perpetual bonds, the 2 - 5 - year varieties performed better, and the yield of 2 - 3 - year state - owned large - bank secondary capital bonds declined by more than 10BP. In addition, the yield of publicly - offered non - perpetual securities company bonds and sub - bonds within 1 year declined by 7.0BP [4][16][18]. Science and Technology Innovation Bond Prism - From the perspective of yields, the average return level of exchange - traded science and technology innovation bonds remained stable this week. The return of the relatively active 1 - 3 - year varieties increased by 3bp to 1.93%, while the interest rates of 3 - 5 - year varieties decreased, and the spread with non - science and technology general credit bonds of the same term widened to around 40bp. After the holiday, the absolute value of the low - valuation deviation of 3 - 5 - year exchange - traded science and technology innovation bonds was also higher than that of science and technology innovation bonds of other terms or general credit bonds of the same term, indicating that investors' preference for science and technology innovation bonds of this term recovered relatively quickly [5][20]. Local Bond Perspective - Affected by the National Day holiday, local government bonds worth 10.3 billion yuan were issued from October 9 to 10, all of which were refinancing general bonds. As of October 10, 2025, no special refinancing special bonds were issued in October. The average issuance interest rate of local government bonds declined marginally, and the spread between the 10 - year local government bond issuance rate and the same - term treasury bond rate was stable at around 25bp [6][22].

Group 1: Quantitative Credit Strategy - The duration strategy has continued to perform poorly as of September 30, with the cumulative excess return of the AA+ city investment bonds in a barbell strategy dropping to around -34 basis points [2][12] - The duration strategy for perpetual bonds has shown significant volatility, with cumulative excess returns remaining low at -18 basis points and -30 basis points despite a larger recovery after declines in September [2][12] - In contrast, short-end city investment bonds and bullet-type commercial bank bonds have shown relatively better excess returns [2][12] Group 2: Duration Tracking of Various Bonds - As of September 30, the weighted average transaction durations for city investment bonds and industrial bonds are 1.76 years and 2.22 years, respectively, indicating a defensive characteristic and falling within the 65%-80% historical percentile range since 2021 [3][16] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 3.67 years, 3.70 years, and 1.92 years, respectively, showing a notable decline in their percentile levels [3][16] - Other financial bonds, such as securities company bonds and insurance company bonds, have also shown low historical duration percentiles, with durations of 1.51 years, 1.73 years, 4.11 years, and 1.23 years [3][16] Group 3: Yield Heatmap of Coupon Assets - As of September 29, 2025, yields for non-financial and non-real estate industrial bonds have generally increased, with significant rises exceeding 9.5 basis points for certain private non-perpetual bonds and state-owned enterprise perpetual bonds [4][20] - The yields for financial bonds have also risen, particularly for mid-to-long-term secondary capital bonds and state-owned bank perpetual bonds, which have increased by over 12 basis points [4][20] - Some short-end products have stabilized, with yields for certain city and rural commercial bank bonds showing minimal changes [4][20] Group 4: Long-term Credit Bond Analysis - The spread between active long-term credit bonds and comparable government bonds has reached a 24-year high, with the spread for 10-year bonds widening to a new annual high [5][22] - Despite the apparent advantages of long-term credit bonds post-adjustment, the lack of incremental funding support suggests that duration strategies should remain cautious until market sentiment improves [5][22] Group 5: Local Government Bond Supply and Trading - The latest week has seen a weak sentiment in the bond market, with the average issuance rates for local government bonds continuing to rise, reaching new highs for bonds with maturities of 20 years and above [6][27] - The issuance rates for local government bonds with maturities of 10 years and above have widened to over 20 basis points compared to similar maturity government bonds, indicating a higher percentile reading for the year [6][27]