二、信用策略超额收益跟踪 近四周，行情从普信债向二永债轮动，二级债久期策略累计超额收益占优。具体来看，二级债久期、券商债下沉及永 续债久期组合的累计超额收益分别达到 8.1bp、4.6bp、3.9bp，其余策略累计收益与基准组合的距离也都在 8bp 以内。 近期市场偏好从普信债轮动至金融债，特别是二永债重仓组合累计超额明显超过城投债组合。 从策略期限来看，中长端城投久期策略超额收益回归正区间。短端方面，本周存单策略继续跑输基准，2025 年 9 月 至今存单下沉策略较子弹型策略胜率较高，城投下沉组合超额收益则回升至去年 11 月下旬以来最高；中长端方面， 除商金债子弹型、券商债久期策略外，其余组合超额收益均回正，值得关注的是，城投久期、哑铃型策略表现在过去 七周内首次超越基准，组合收益底部信号再现，而券商债下沉策略超额达到 9bp，接近去年最高点读数（约 11.5bp）； 超长端策略整体超额收益依旧处于负区间，城投、产业及二级超长型组合读数分别为-5.5bp、-8.9bp 和-9.2bp。 风险提示 一、组合策略收益跟踪 本周信用风格模拟组合收益多数回升，利率风格组合则持续下滑。利率风格组合中，二级债久期、城 ...

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's returns have declined this week, with credit style portfolios experiencing smaller drawdowns compared to interest rate style portfolios. The weekly returns for the industrial ultra-long and municipal short-end sinking strategies were -0.1% and -0.13% respectively [2][14] - In the credit style portfolio, the industrial ultra-long and broker debt sinking strategies were among the few that still had positive returns, recording 0.1% and 0.03% respectively [2][15] - The average weekly return for the credit style time deposit heavy combination fell to -0.01%, with a controllable decline compared to the previous week. The short-duration combinations demonstrated strong volatility resistance [2][17] Group 2 - The coupon income from municipal heavy strategies has dropped to a low point, making it difficult to cover weekly capital gains losses. Most municipal heavy combinations have seen their annualized coupon income fall below 1.9% [3][24] - The coupon contributions from the credit style combinations have generally turned negative, particularly for the municipal dumbbell and secondary debt duration strategies, which fell into the -35% to -30% range [3][24] Group 3 - In the past four weeks, broker debt strategies have gained favor, with cumulative excess returns for broker debt duration, municipal dumbbell, and broker debt sinking strategies at 18.5bp, 15.6bp, and 12.4bp respectively [4][28] - The broker debt duration strategy has achieved a cumulative return of 1.92% since the second quarter, ranking just below the municipal dumbbell strategy, which is around 1.98% [4][28] - Short-duration strategies have outperformed the mid-to-long-term benchmarks, with the municipal short-end sinking strategy exceeding the mid-to-long-term benchmark by the largest margin since May [4][30]

Group 1 - The report indicates a divergence in the performance of simulated portfolios, with most strategies experiencing a decline in returns, while some credit style portfolios saw a rebound [2][14][15] - In the interest rate style portfolios, the city investment ultra-long and city investment barbell strategies achieved returns of 0.22% and 0.17% respectively, while in the credit style portfolios, the city investment ultra-long and city investment barbell strategies had returns of 0.5% and 0.3% respectively [2][15] - The weekly average return of the city investment heavy bond portfolio increased to 0.2%, up by 9.1 basis points from the previous week, with the ultra-long city investment strategy showing significant recovery, achieving a weekly return of 0.5% [2][17] Group 2 - The report highlights that the cumulative excess returns of various credit strategies have shown divergence over the past four weeks, with the city investment barbell, duration, and short-end sinking strategies yielding cumulative excess returns of 23.1 basis points, 14.4 basis points, and -0.2 basis points respectively [4][31] - The financial bond strategies have not shown excess returns in the past month, with the secondary capital bond bullet-type and broker bond duration strategies both deviating negatively from the benchmark by over 10 basis points [4][31] - The ultra-long city investment strategy achieved an excess return of 18.7 basis points, while the industrial ultra-long and secondary ultra-long strategies underperformed their respective benchmarks [4][34]

Group 1: Credit Bond Strategy - The credit bond market is expected to continue in a volatile state, with a focus on interest rate strategies and band trading being more favorable than pure selection of varieties [5][38] - The strategy suggests focusing on short to medium-term credit bonds and high-grade long-term bonds to seek opportunities for interest rate compression [5][38] - The recommendation is to increase allocation in high-grade bonds from local government financing vehicles, real estate, and stable industries during market adjustments [5][38] Group 2: Local Government Financing Bonds - The transformation of local government financing vehicles is entering a complex phase, with potential pricing discrepancies as platforms adapt to new regulations [2][43] - The issuance of local government bonds is expected to remain low due to strict regulatory oversight and the ongoing transition of platforms [2][43] - Focus on short to medium-term bonds from regions with stable cash flows, particularly in Guangdong, Hubei, Jiangsu, and Henan, is recommended [2] Group 3: Financial Bonds and Varieties - High-grade perpetual bonds can be traded in response to interest rate fluctuations, but the trading space is limited and requires high trading standards [3][39] - The strategy includes focusing on high-grade bonds with a maturity of 3-5 years for stable institutions, while actively trading lower-grade bonds during market adjustments [3][39] - The expansion of TLAC non-capital instruments and their comparison with secondary capital bonds is highlighted as an area of interest [3][39] Group 4: Industrial Bonds - Industrial bonds have shown some recovery in profitability, but performance remains varied across sectors, with strong performance in automotive, machinery, and utilities, while real estate and construction sectors lag [4] - The recommendation is to focus on high-quality state-owned enterprises and stable private enterprises for medium-term investments [4] Group 5: Real Estate Bonds - The real estate sector is under pressure, with a recommendation to focus on high-grade bonds from state-owned enterprises while monitoring the recovery of the sector [4] - The potential for policy support in the real estate market could enhance recovery in core cities, but caution is advised for lower-tier cities [4] Group 6: Asset-Backed Securities (ABS) and Public REITs - The market for consumer finance ABS is expanding, with opportunities for variety exploration in a volatile market [3][39] - Public REITs are recommended to balance opportunities in both primary and secondary markets, focusing on stable projects [3][39]

Group 1: Quantitative Credit Strategy - The recent performance of perpetual bonds and broker bonds strategies has shown a high success rate as of May 9 [2] - Short-term strategies yielded limited excess returns, while mid to long-term strategies, excluding city investment duration and barbell strategies, showed positive excess returns [2][12] - Financial bonds and non-financial credit heavy strategies have widened the gap in cumulative excess returns over the past four weeks, particularly with increased yield elasticity in financial bond duration strategies [2][12] Group 2: Duration Tracking of Various Bonds - As of May 9, the weighted average transaction duration for city investment bonds and industrial bonds reached 2.09 years and 2.51 years respectively, both above the 90th percentile since March 2021 [3][15] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 4.19 years, 3.59 years, and 2.30 years respectively [3][15] - Other financial bonds such as securities company bonds and insurance company bonds have varying durations, with some at historically low levels and others at high levels [3][15] Group 3: Yield Heatmap of Credit Assets - As of May 12, the valuation yield and spread of private enterprise real estate bonds are higher than other types of bonds [4][17] - Non-financial, non-real estate industrial bonds saw a yield decline of around 10 basis points, particularly in the one-year category [4][18] - Financial bonds with high valuation yields include leasing company bonds and securities subordinate bonds, with significant yield declines noted in certain categories [4][18] Group 4: Long-term Credit Bond Insights - The market shows weak willingness to increase long-duration credit bonds, despite the approaching low yields of government bonds and short-term assets [5][20] - Transaction volumes for mainstream long-duration industrial bonds have increased but remain below levels seen in late March, indicating insufficient trading sentiment to support long-term bond markets [5][20] - The recent week saw a decline in the transaction share of long-term credit bonds, falling below 70% [5][20] Group 5: Local Government Bond Supply and Trading Insights - The average coupon rates for 10-year, 20-year, and 30-year local government bonds are 1.79%, 2.07%, and 2.05% respectively, with varying spreads [6][23] - The liquidity in the interbank market remains reasonably ample, with moderate issuance volumes of local bonds, leading to stable supply pressure [6][23] - Long-term spreads continue to widen, but adjustments have led to a more stable outlook [6][23]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Despite the recent market fluctuations caused by quarter - end liquidity, the medium - to long - term allocation value of credit bonds remains intact. High - grade, long - duration credit bonds show strong resilience, and the narrowing decline in wealth management scale indicates stabilizing market sentiment. The supply - demand pattern of the credit bond market is relatively stable, and the yield - mining potential of credit bonds is prominent. The core logic of credit spread compression still holds, and investors are advised to focus on medium - to high - grade urban investment bonds and industrial bonds in stable industries [2][15] Summary by Directory 1. Credit Bond Configuration Value Unchanged by Quarter - End Disturbance - High - grade, long - term credit bond varieties have significant gains. From March 24th to 28th, the total full - price index of national bonds rose 0.25%, outperforming credit bonds (0.11%) and financial bonds (0.09%). Among them, the full - price index of national bonds over 10 years rose 0.72%, and the index of AAA credit bonds over 10 years rose 1.02% [16] - The scale of wealth management products decreased seasonally, but the decline was narrower year - on - year. In the 13th week of 2025, the scale change was - 0.49 trillion yuan, smaller than - 1.41 trillion yuan in 2024 and - 1.10 trillion yuan in 2023 [19] 2. Market Trading Structure and Selling Pressure - At the end of the month, the selling pressure was relieved. The proportion of GVN in interest - rate bonds dropped from 61.35% on March 17th to 32.96% on March 26th, and then rebounded to 48.54% on March 27th. The proportion of GVN in credit bonds was relatively stable, falling from 39.90% on March 17th to 19.20% on March 20th and rising to 31.48% on March 28th [24] 3. Coupon Advantage of Bonds - Brokerage bonds and insurance bonds have relative coupon advantages. This week, short - end bond yields generally declined. For example, the yields of 1 - month urban investment bonds and medium - short - term notes decreased by 3 bp and 1 bp to 1.97% and 2.01% respectively, and the yield of secondary capital bonds decreased significantly by 9 bp to 1.92% [27] 4. Credit Spread Compression Logic - The core logic supporting credit spread compression still holds. Against the backdrop of the "asset shortage", credit bonds are an important choice for capital allocation. The debt resolution work has reduced the credit risk of urban investment platforms. In the second quarter, the supply pressure of credit bonds eases, and the allocation demand is expected to pick up. 3 - year AA+ urban investment bonds are more cost - effective, and for industrial bonds, defensive industries such as public utilities and transportation are recommended [45] 5. Institutional Behavior and Allocation Strategies - Funds and money market funds have continuously increased their holdings in the past two weeks, and insurance companies have allocated long - end local government bonds. Funds have net - bought 305.42 billion yuan in 1 - year credit bonds, 210.95 billion yuan in 3 - year credit bonds, and 143.82 billion yuan in 5 - year credit bonds. Insurance companies have net - bought 275.69 billion yuan in 20 - 30 - year local government bonds and 22.79 billion yuan in 7 - 10 - year credit bonds. Money market funds have net - bought 2470.26 billion yuan in inter - bank certificates of deposit [39] - It is recommended that investors deploy along three main lines: seize the interest - rate elasticity of 3 - year AA+ urban investment bonds, explore mis - valued opportunities in non - bank varieties such as brokerage subordinated bonds and insurance capital bonds, and pay attention to the net - value restoration opportunities of wealth management subsidiaries' products with a low break - even rate. It is necessary to be vigilant about the economic recovery expectation, and the duration strategy should be moderately flexible [9]