债券策略报告：一致加久期的脆弱-240616-国投证券-14页_982kb

Despite frequent cautions from the press and central banks regarding bond market risks, investors have inadvertently shifted their portfolios towards strategies combining duration and coupon income, following market "learning effects." The simulation results clearly show that, when credit bonds allocation is increased, duration strategies in local government bonds are poised to yield returns exceeding 46% and remain relatively stable.

Notably, city commercial and rural commercial bank perpetual bonds at 4-5-year maturities have recorded approximately 14bp higher returns compared to national corporate perpetual bonds, showcasing compelling additions to portfolio income. Conversely, ultra-long industrial bonds, despite being less liquid, demonstrate sustained low valuation, benefiting their net price appreciation.

For strategic recommendations: (1) Focus on AA(2) rated SOE bonds maturing around 4 years; (2) Consider 4-5 year-tiered capital bonds for their yield enhancement potential; (3) Lower conviction in longer-term CCB perpetual bonds which have seen yield compression; (4) Ultra-long industrial bonds should be prudent given market valuation dispersion and correlation risks.