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TL合约基差指标回测年收益率对比(中债-30年国债指数)
TL合约基差指标回测年收益率对比(中债-30年国债指数)
行业数据
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图片格式:PNG
图片大小:113KB
图片尺寸:2244*1043
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所属报告:
【广发期货】国债期货基差系列三:TL合约多头替代前景探讨-251223(21页).pdf
打包全文图表
相关数据
图17:.肯尼亚国债收益率曲线 (百分比)
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行业数据
2026-07-21
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当周,美、英、德10Y国债收益率走势
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行业数据
2026-07-21
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当周,新兴市场10Y国债收益率悉数上涨
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行业数据
2026-07-21
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当周,发达国家10Y国债收益率多数上涨
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行业数据
2026-07-21
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图表5银行在国债收益率曲线的形成与传导中发挥决定性作用
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2026-07-20
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图表3近年来,央行屡次提及国债收益率曲线的金融市场定价基准作用
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ICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgICAgIHwKCui1hOaWmeadpea6kO+8mndpbmTvvIzljY7liJvor4HliLg=
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2026-07-20
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图表30美国国债收益率显著上行
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2026-07-14
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十年期国债收益率走势
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2026-07-10
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30年国债收益率走势
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2026-07-10
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MSCI综合亞太(除日本)指数的年内降幅與磨年回報情况
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行业数据
2026-07-06
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行业数据
2026-07-06
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(2)基差 信号组合为基差信号 1、基差信号 2 与叠加信号。以 TL 合约为期货标的,中债-30 年国债指数为现货标的,分别对三个信号进行回测。收益端,信号 1 和叠加信号的回测区间总收益率与年化收益率略高于持有指数,年化收益率为 11.94%,较持有中债指数高 0.30%,而信号 2 的年化收益率要显著低于持有指数,仅为 10.34%。风险控制上,信号 2 的年化波动率和最大回撤均略低于单纯持有指数。风险收益比方面,信号 1 和叠加信号的夏普比率、卡玛比率和索提诺比率指标均优于持有指数。
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【广发期货】国债期货基差系列三:TL合约多头替代前景探讨-251223(21页).pdf
期现货多头回测绩效
TL合约隐含利差指标回测绩效表(中债-30年国债指数)
TL合约隐含利差指标回测绩效表(30年国债活跃券)
TL合约隐含利差指标回测绩效表(30年国债ETF)
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