20231022-东证期货-国债期货研究框架（五）_信用债久期轮动中性策略_14页_1mb

Summary

The report focuses on constructing a国债期货对冲压力指数 (Bond Futures Hedging Pressure Index) to gauge hedging demand in the bond market, using factors like funding costs, implied repo rates, and bond lending costs. This index serves as a reverse sentiment indicator. The core strategy is a信用债久期轮动中性策略 (Credit Bond Duration Rotation Neutral Strategy), combining duration adjustments of credit bonds with国债期货 hedging to mitigate interest rate risk and leverage high yield from credit spreads. Performance metrics from 2015 to 2023 show an annualized return of 455% with a maximum drawdown of 128%, significantly outperforming benchmarks like the 中债高等级信用债3-5Y指数 (yielding 50% annually with 44% drawdown). The strategy enhances risk-adjusted returns through optimized hedging but faces risks from model reliance on historical data and incomplete credit spread hedging, leading to potential high losses in market downturns. Different sub-strategies (e.g., based on credit spread decomposition or duration adjustment models) were tested to improve performance, with models incorporating market regimes (bull/bear) yielding better results. Overall, the approach offers high returns for risk-tolerant investors but underscores the need for model monitoring and credit risk management.

• Main Purpose: To develop a国债期货对冲压力指数 for measuring hedging demand and apply it in a信用债久期轮动中性策略.
• Strategy Components: Uses duration rotation of credit bonds and国债期货 short straddle to balance high yield from credit spreads with interest rate protection.
• Performance: Achieved 455% annualized return and 128% drawdown compared to benchmarks; specification improvements reduced drawdown from initial levels.
• Key Risks: Quantitative models based on historical data may lose effectiveness; credit spread fluctuations cause imperfect hedging, amplifying losses in bear markets.
• Effectiveness Measures: Tested various hedging models (e.g., credit spread adjustment, duration switching) to optimize drawdown control, with best results in bear regimes.
• Outcomes: Strategy delivers high returns with risk management, suitable for理财产品 by keeping drawdown below 24% in optimized versions.