信用债投资策略组合

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量化信用策略:超长信用债胜率持续性?
SINOLINK SECURITIES· 2025-07-20 13:37
Group 1 - The simulated portfolio returns have turned upward, with credit style portfolios significantly outperforming interest rate style portfolios. The weekly returns for the industrial ultra-long and urban investment ultra-long strategies were 0.32% and 0.26% respectively [2][14][15] - The industrial ultra-long bond heavy strategy has maintained positive returns for nine consecutive weeks, with an average weekly return increase of 34.7 basis points since mid-May [2][18] - The urban investment heavy portfolio's weekly return increased by over 20 basis points, benefiting from strong performance at the ultra-long end, achieving a weekly return of 0.18% [2][18] Group 2 - The coupon income from various strategy portfolios has slightly rebounded, while volatility remains low compared to the past year. The coupon contribution for credit style portfolios generally fell within the 10% to 40% range [3][26] - The secondary bond bullet strategy's coupon increased by nearly 0.08 basis points compared to the previous week, although most secondary capital bond heavy portfolios remain below an annualized 1.9% [3][26] Group 3 - In the past four weeks, financial bond duration strategies have lagged behind downshift strategies, with cumulative excess returns for broker bonds downshift, urban investment duration, and bullet strategies falling to 2.7 basis points, 0.9 basis points, and -3.7 basis points respectively [4][31] - The excess returns are concentrated in the non-financial credit ultra-long end, with the ultra-long industrial strategy achieving excess returns of over 16 basis points for three consecutive weeks, outperforming urban investment ultra-long and secondary ultra-long strategies [4][34]