Group 1 - The core view of the report indicates a general decline in the simulated portfolio returns for credit styles, while some interest rate style portfolios showed improvement, particularly the urban investment long-term and duration strategies, with weekly returns of 0.19% and 0.18% respectively [2][15] - The average weekly return for credit style time deposit heavy portfolios decreased by 5.2 basis points to 0.06%, while urban investment heavy portfolios fell by 7.4 basis points to 0.1%, lagging behind corresponding interest rate style portfolios by approximately 8 basis points [2][18] - The report highlights that over 60% of the returns from the urban investment long-term bond heavy portfolio came from capital gains, with the annualized returns for urban investment and secondary long-term strategies remaining at relatively high levels of 33.5 basis points and 41.1 basis points respectively [3][27] Group 2 - In the past four weeks, the cumulative returns of urban investment heavy strategies have begun to surpass those of the secondary perpetual bond portfolio, with cumulative excess returns for urban bond duration, perpetual bond duration, and broker bond down strategies reaching 17.9 basis points, 14.9 basis points, and 14.4 basis points respectively [4][32] - The report notes that the urban investment duration strategy has consistently outperformed the barbell strategy, with excess returns around 6.1 basis points, while the excess returns for secondary bond bullet and duration strategies have deviated negatively from the benchmark by 5.9 basis points and 6.1 basis points respectively [4][35] - The report indicates that the urban investment and secondary long-term combinations have seen excess returns drop to -1.6 basis points, -12.9 basis points, and -36.2 basis points respectively [4][35]

Group 1: Portfolio Strategy Performance Tracking - The simulated portfolio yields have generally shown marginal decline this week, with the secondary ultra-long and urban investment ultra-long strategies leading in the interest rate style portfolio, yielding 0.2% and 0.18% respectively. In the credit style portfolio, the secondary ultra-long and urban investment ultra-long strategies achieved yields of 0.36% and 0.26% respectively [2][14][15] - The average yield of the credit style time deposit heavy portfolio decreased by 5.2 basis points to 0.11%, indicating a lack of aggressive attributes in recent weeks. The urban investment heavy portfolio's average yield fell by 3.9 basis points to 0.17%, with the duration strategy being the only one showing continuous improvement, achieving an absolute yield of 0.23% [2][18] - The average yield of the secondary capital bond heavy portfolio decreased by 14.3 basis points to 0.18%, benefiting from the rise in ultra-long bond components. The mixed-dumbbell strategy remains superior to other portfolios, while the secondary bond duration strategy slightly outperformed the corresponding interest rate style portfolio but underperformed compared to the similar duration urban investment heavy portfolio [2][18] Group 2: Sources of Returns - Most ultra-long bond heavy strategies derive over 80% of their returns from capital gains. The simulated portfolio's coupon rates have begun to decline, with the credit style secondary bond and secondary ultra-long strategies experiencing a weekly coupon rate drop of over 0.1%. The annualized returns of the urban investment and secondary ultra-long strategies are still 35.9 basis points and 44.7 basis points away from their lowest points since 2025 [3][27] - The contribution of portfolio coupons is concentrated between 15% to 40%, while over 85% of the returns from the secondary ultra-long strategy come from capital gains, effectively amplifying the yield spread [3][27] Group 3: Credit Strategy Excess Returns Tracking - Over the past four weeks, the secondary perpetual bond duration strategy has significantly outperformed, with cumulative excess returns exceeding the benchmark for most strategies. The cumulative excess returns for the secondary bond duration, perpetual bond duration, and perpetual bond sinking strategies reached 22.7 basis points, 18 basis points, and 16.4 basis points respectively [4][32] - In terms of strategy duration, the excess returns of medium to long-term strategies have been narrowing for two consecutive weeks. In the short term, the time deposit strategy and urban investment sinking strategy outperformed the benchmark, with excess returns widening. However, the medium to long-term strategies' excess returns have gradually shrunk, with most strategies underperforming the benchmark by less than 3 basis points [4][35] - For the ultra-long end, the urban investment, industry, and secondary ultra-long combinations achieved excess returns of 8.9 basis points, 8.6 basis points, and 19.6 basis points respectively, indicating a divergence in performance between non-financial credit and secondary bond heavy portfolios [4][35]

Group 1 - The core view of the report indicates that the credit style simulated portfolio has mostly rebounded, while the interest rate style portfolio continues to decline, with specific strategies showing varying performance [3][15][18] - The weekly return of the credit style portfolio has seen a slight increase in certain strategies, such as the broker debt and secondary debt duration strategies, achieving returns of 0.05% and 0.04% respectively [3][15] - The report highlights that the secondary capital bond heavy strategy has stabilized, with an average weekly return of 0.01%, outperforming the corresponding interest rate style portfolio by approximately 19 basis points [3][18] Group 2 - In terms of return sources, the long-duration portfolio's coupon rates have generally rebounded, indicating the emergence of left-side opportunities, with annualized returns for urban investment and industrial long-duration strategies reaching 2.45% and 2.48% respectively [4][29] - The report notes that the secondary debt duration strategy has shown superior cumulative excess returns over the past four weeks, with returns of 8.1 basis points, outperforming other strategies [5][34] - The short-end configuration value has also increased, with the urban investment short-end sinking strategy recovering nearly 13 basis points from its lowest point in 2025 [4][29]

Group 1 - The simulated portfolio returns have generally declined this week, with the interest rate style portfolio showing controlled drawdowns in certain strategies, while some credit style strategies still achieved positive returns [3][16][20] - The average yield of the credit style portfolio has decreased by 6.8 basis points to -0.04%, with the short-end strategies experiencing the smallest drawdown [3][20] - The long-end strategies in the credit style portfolio have seen a significant drop in average returns, with a decrease of 12.5 basis points to -0.17% [3][20] Group 2 - The sources of returns for the portfolio are primarily from coupon recovery, with significant attention on the configuration and trading space at the beginning of the year [4][28] - The annualized coupon space for certain strategies is notably larger compared to the lows of 2025, with expectations for continued recovery in the mid to long-end strategies [4][28] - The annualized coupon yield for perpetual bonds and the city investment hybrid strategies is around 2.18%-2.19%, indicating potential configuration value [4][28] Group 3 - Over the past four weeks, the excess returns of the city investment hybrid strategy have shown volatility, with some strategies achieving positive excess returns while others remain in negative territory [5][34] - The short-end strategies have underperformed against benchmarks, while mid to long-end strategies have shown signs of recovery, particularly the secondary bond bullet and perpetual bond strategies [5][37] - The overall excess returns in the long-end strategies have varied significantly among different bond types, with some strategies showing recovery while others remain underperforming [5][37]

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]

Group 1: Investment Ratings - No information provided on the report's industry investment rating Group 2: Core Views - As of December 12, controlling drawdown is the main strategic goal recently. In a market with slow rises and sharp falls in the past month, the focus is on drawdown control rather than achieving excess returns through duration + band operations [2][12] - Last week (December 8 - December 12), bond - type ETFs had a net inflow of 2.95 billion yuan, with credit - bond ETFs having a net inflow of 5.37 billion yuan, while interest - rate bond ETFs and convertible - bond ETFs had net outflows of 960 million yuan and 1.46 billion yuan respectively. Bond ETF net values are marginally recovering [3][16] - As of December 15, 2025, compared with the previous week, more than half of the non - financial and non - real - estate industrial bonds saw their yields rise, real - estate bond yields generally increased, and financial bond yields showed differentiation among bond types [4][18] - The trading preference for ultra - long - term credit bonds has not improved. The number of transactions of general credit bonds with a maturity of over 7 years remains at a low level, and the lack of spread protection space weakens investors' motivation [5][20] - In terms of the issuance pricing of local government bonds, the average issuance rate of 10 - year local bonds in the latest week was 2.05%, slightly up from the previous week. The average coupon rates of new 20 - year and 30 - year local bonds were above 2.45%, at a relatively high level within the year. The long - end spreads remain high [6][23] Group 3: Summary of Each Section Quantitative Credit Strategy - As of December 12, the cumulative excess returns of the short - end sinking strategy for urban investment bonds, the bullet strategy for commercial financial bonds, and the sinking strategy for securities firm bonds reached 5bp, 4.4bp, and 1.5bp respectively, while those of other medium - and long - term strategies were less than 5bp. The cumulative excess return of the urban investment dumbbell portfolio, which performed well in the previous two months, dropped to a low of - 25.7bp in the past four weeks. The sinking strategy of the financial bond heavy - position portfolio outperformed the corresponding duration strategy by more than 12bp in cumulative returns [2][12] ETF Strategy - Last week (December 8 - December 12), bond - type ETFs had a net inflow of 2.95 billion yuan. Credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs had net inflows of 5.37 billion yuan, net outflows of 960 million yuan, and net outflows of 1.46 billion yuan respectively. Compared with the previous week, their cumulative unit net value weekly growth rates were + 0.05%, + 0.08%, and + 0.20% respectively [3][16] Coupon Asset Heat Map - As of December 15, 2025, compared with the previous week, more than half of the non - financial and non - real - estate industrial bonds saw their yields rise. Except for private - placement bonds of private enterprises within 1 year, the yield adjustments of other varieties were less than 4BP. Real - estate bond yields generally increased, with the yields of non - perpetual bonds within 1 year rising by more than 5BP. Financial bond yields showed differentiation among bond types, with the yields of commercial financial bonds within 3 years mainly rising, bank sub - debt valuations generally recovering, and the performance of securities firm sub - debt being better than that of ordinary bonds [4][18] Ultra - long Credit Bond Tracking - The trading preference for ultra - long - term credit bonds has not improved. This week (December 8 - December 12, 2025), the number of transactions of general credit bonds with a maturity of over 7 years remained at a relatively low level of around 300. The spread between the most actively traded 7 - 10 - year industrial bonds and 20 - 30 - year treasury bonds is only 19.9bp, which further weakens investors' motivation [5][20] Local Government Bond Supply and Trading Tracking - In the latest week, the average issuance rate of 10 - year local bonds was 2.05%, slightly up from the previous week. The average coupon rates of new 20 - year and 30 - year local bonds were above 2.45%, at a relatively high level within the year. The long - end spreads of local government bonds remain high, with the average spread of bonds with a maturity of 10 years and above being higher than 20bp [6][23]

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].