（来源：中金量化及ESG） Abstract 摘要 前言：投资风格，业绩归因，能力评价与策略开发 在历史研究中，我们搭建起纯债基金投资研究体系，涵盖投资风格识别，业绩来源归因，投资能力评价 等环节。本篇我们从历史数据经验转而研究未来收益预测，搭建量化视角下的纯债基金策略开发与组合 构建框架。 一、从需求出发：纯债基金在组合中承载怎样的功能？ 从需求出发，纯债基金在组合中所承载的功能主要包括：底仓功能，配置功能，以及现金管理功能。 1）底仓：基金组合相比股票组合的调仓频率往往更低，因此，底仓型纯债基金产品往往充当组合压舱 石作用，通过长期配置即可获得稳定可靠的回报。2）配置：除了纯债基金底仓以外，尤其在债券静态 收益压缩的背景下，我们还会依据市场择时观点，进行短期波段交易操作，从而放大组合回报，具体操 作方式如通过长久期利率债基落地利率择时信号，或通过重仓二永的产品捕捉信用利差机会等。3）现 金管理：债券市场的特性即在于"慢涨急跌"，为了应对负债端赎回、市场系统性回撤等突发事件，组合 往往需要留有一部分仓位配置现金管理类产品，从而避免组合遭遇极端流动性冲击。 二、从逻辑出发：纯债基金应当具备哪些能力或特质？ 底 ...

Core Viewpoint - The article discusses the development of a quantitative framework for pure bond fund strategy and portfolio construction, focusing on future return predictions based on historical data and experience [2]. Group 1: Functions of Pure Bond Funds in Portfolios - Pure bond funds serve three main functions in a portfolio: 1. **Core Holding**: They act as a stabilizing force in the portfolio, providing reliable returns through long-term allocation [4][13]. 2. **Tactical Allocation**: In a context of compressed static yields, short-term trading operations can enhance portfolio returns by capturing timing signals and credit spread opportunities [4][16]. 3. **Cash Management**: A portion of the portfolio is allocated to cash management products to mitigate liquidity risks during market downturns or unexpected redemptions [4][17]. Group 2: Required Capabilities and Characteristics of Pure Bond Funds - **Core Holding Products**: These funds should exhibit strong individual bond selection capabilities, stable long-term holding experiences, and a proven risk-return profile [5][20]. - **Tactical Allocation Products**: They should be identified based on their extreme style attributes and redemption fee structures, focusing on liquidity and tracking capabilities [5][31]. - **Cash Management Products**: The emphasis is on stability and risk control, with a focus on indicators that reflect consistent performance and low liquidity risk [5][34]. Group 3: Indicators for Predicting High-Performing Pure Bond Funds - A factor testing framework is established to validate the predictive power of selected indicators for future performance, including bond selection ability and net asset value evaluation metrics [6][35]. - Key indicators include: 1. **Bond Selection Ability**: Metrics such as the contribution of bond coupon income and the performance of individual bond selection strategies [6][28]. 2. **Performance Metrics**: Historical return comparisons and win rates against benchmarks to assess fund stability and performance [6][29]. 3. **Holding Experience**: Indicators that measure the average returns over different holding periods to gauge the fund's reliability [6][30]. Group 4: Portfolio Construction Insights - The article presents three constructed portfolios based on different strategies: 1. **Individual Bond Selection Portfolio**: Achieved an annualized return of 4.38% with a maximum drawdown of -1.98% over the period from August 2017 to April 2025 [7]. 2. **Holding Experience Portfolio**: Delivered an annualized return of 4.13% with a maximum drawdown of -1.87%, outperforming the benchmark by 44 basis points [7]. 3. **Cash Management Short-Duration Fund Portfolio**: Recorded an annualized return of 2.88% with a maximum drawdown of -0.96%, also outperforming its benchmark [7]. Group 5: Selection of Representative Pure Bond Fund Products - The article concludes with a focus on identifying potential pure bond fund products across various strategies, including individual bond selection, interest rate trading, and scarce investment opportunities, based on the established indicator system [8].