基于债券利率周期四阶段模型的“固收+”投资实证研究

文章基于债券利率周期四阶段模型,对“固收+”投资策略进行实证研究。首先,通过对历史债券市场数据的分析建立了债券利率周期四阶段模型,并验证了其在实际市场中的适用性。其次,利用该模型对不同阶段的债券市场特征进行深入探讨,并探究了这些特征对“固收+”投资组合表现的影响。研究结果表明,在不同的债券利率周期阶段,“固收+”投资策略的表现存在显著差异,且该模型能够为投资者提供有效的市场定位和风险管理指导。最后,文章提出了一系列针对不同债券市场阶段的“固收+”投资策略建议,以帮助投资者优化投资组合配置并提升长期投资回报。

浅析“固收+”策略及其对债市的影响

近期,以二级债基、偏债混合型基金为代表的“固收+”产品异军突起,规模增加,反映出资金在利率下行周期中资产配置的新动向。本文对“固收+”产品的定义和类别展开分析,探讨了其资产配置偏好以及受到市场追捧的原因,并展望了发展前景及对债市的影响。

运用债券利率周期四阶段模型进行“固收+”投资的实证分析

债券利率周期四阶段模型在运行逻辑和周期识别方面相较美林投资时钟更适用于中国市场环境,对中国的大类资产配置策略具有指导意义。本文基于债券利率周期四阶段模型,结合马科维茨的均值方差理论,提出“固收+”组合最优资产配置策略建议。

“固收+”投资策略的发展前景及应用规划

近年来,““固收+”这一概念逐渐受到市场关注。在新的市场经济形势下,发展““固收+”权益资产与量化策略的““固收+”业务逐新成为现阶段固定收益投资的一种合理性选择。““固收+”产品主要是以追求绝对收益为目的,以风险较低的债券等固定收益资产为底仓构建底仓收益。同时以严格控制回撤为主要手段,通过配置风险资产和优化投资策略的方式,以达到增厚收益的目标。本文通过阐述““固收+”策略的定义,结合研究““固收+”的发展历程,进而得出如何合理配置资产、合理设定““固收+”投资模式,以此解析出了““固收+”投资模式的策略。

“固收 +”理财产品策略分析——以支付宝稳健策略基金组合为例

随着无风险利率的下行，传统的约定收益型的理财产品收益率持续下降。主要是以债券等未来现金流可期的资产为底仓获取相对稳健的收益，同时配置风险资产及策略增厚收益的“固收+”理财产品受到投资者的热捧。本文以支付宝稳健策略基金组合为例，给出了商业银行“固收 +”理财产品运作策略的建议。

“固收+”基金在赎回潮中的调仓行为——基于仓位测算的向量自回归分析

近年来,债券基金在面临赎回潮时调整仓位,导致不同债券品种间出现了一定的风险传导效应。本文以基金净值及9类资产指数的表现为基础数据,通过二次规划法测算了最近3次赎回潮中“固收+”基金各类资产的仓位,并通过向量自回归(VAR)分析各类资产仓位的关系,进而研究“固收+”基金的调仓行为规律。研究发现,“固收+”基金的调仓行为具有时变性,在2022年赎回潮中的主动调仓行为最为明显;从基金类型来看,混合债券型二级基金的调仓行为与赎回关系较为密切。

可转债与利率久期轮动在“固收+”策略中的运用

可转债是“固收+”策略中一项重要的配置标的,其“进可攻、退可守”的特性受到投资者青睐。本文分别运用量化模型和宏观因子模型构建了偏股型可转债策略、偏债型可转债策略和利率久期轮动策略,并通过回测证实,三类子策略的收益风险表现相较基准指数均有提升。在构建“固收+”策略时,本文通过下行风险平价模型对以上三类子策略进行配置,相较基准指数取得了明显的超额收益,且收益风险比有所提高。

Effects of Y on hot tearing susceptibility of Mg-Zn-Y-Zr alloys

The hot tearing susceptibility of MgZn2.5YxZr0.5 （x=0.5, 1, 2, 4, 6） alloys was evaluated by thermodynamic calculations based on Clyne-Davies model. The microstructure and morphology of hot tearing regions of the alloys were observed by X-ray diffraction and scanning electron microscopy. The solidification temperature and shrinkage stress during the solidification of MgZn2.5YxZr0.5 alloys in the“T”type hot tearing permanent-mold were acquired with the attached computer. The effect factors of hot tearing susceptibility of MgZn2.5YxZr0.5 alloys, such as the solidification temperature interval, the variation of solid fraction in vulnerable region, the residual liquid fraction in the final stage, the type of the second phase of the alloys were discussed based on the above calculation and observation. The results demonstrated that the hot tearing susceptibility in the investigated alloys was found as follows：MgZn2.5Y2Zr0.5＆gt;MgZn2.5Y0.5Zr0.5＆gt;MgZn2.5Y4Zr0.5＆gt;MgZn2.5Y6Zr0.5＆gt;MgZn2.5Y1Zr0.5. The highest hot tearing susceptibility of MgZn2.5Y2Zr0.5 alloy related to the following reasons： the largest freezing range, the biggest changing of the variation of solid fraction in vulnerable region, the least liquid film in the final stage of solidification, the formation of the second phase which worsens the liquid flow and interdendritic feeding after dendrite coherency.

Microstructure and mechanical properties of Mg-Zn-Y-Zr alloy prepared by solid state recycling

Machined chips of Mg-Zn-Y-Zr alloy were consolidated by cold pressing and then hot extrusion under various processing temperatures and extrusion ratios. The results show that the microstructure of the chip-extruded alloy is marked by a large number of recrystallized grains and some unrecrystallized grains, which results in high strength but low ductility at temperatures below 320 ℃. With increasing processing temperature up to 360 ℃, entirely recrystallized and equiaxed grains are obtained. Mg-Zn-Y-Zr alloy with low strength but high ductility is obtained compared with the alloy processed at low temperature. At 420℃, coarse and equiaxed grains are formed, which results in the drastic decrease of mechanical properties. With increasing extrusion ratio from 8 to 16, the grain refinement is more obvious and the mechanical properties at room temperature are improved effectively. However, the yield strength and ultimate tensile strength are improved a little with further increasing extrusion ratio.

Multiple Node Upset in SEU Hardened Storage Cells

We study the problem of multiple node upset （MNU） using three-dimensional device simulation. The results show the transient floating node and charge lateral diffusion are the key reasons for MNU. We compare the MNU with multiple bit upset （MBU）,and find that their characteristics are different. Methods to avoid MNU are also discussed.

Numerical analysis of crack generation within embankment built on expansive soil foundation

In order to analyze the initial cracking behavior of highway embankment in the regions of expansive soil, the changes in peaks of tensile stress and their location on top of the embankment for a typical highway embankment section were simulated by ABAQUS. The simulation results indicate that the matric suction was a concave distribution on top of the expansive soil foundation and that it induced differential deformation of foundation and embankment. The peaks of tensile stress on top of the embankment are not located at a fixed site, but gradually move towards the shoulder following the evaporation duration. When the evaporation intensity is larger, the peak of tensile stress on top of embankment increases at a faster rate following the evaporation duration,and its location is closer to the shoulder. The thicker expansive soil layer helps the peaks of tensile stress to reach the critical tensile stress quickly, but the embankment cannot crack when the expansive soil layer is no more than 1.5m after 30d soil surface evaporation; the higher the embankment, the smaller the peak of tensile stress occurring on top of the highway embankment, and its location will be further away from the shoulder. Therefore, a higher embankment constructed on a thinner expansive soil layer can reduce the crack generation within the highway embankment.

Design and fabrication of sintered wick for miniature cylindrical heat pipe

Miniature cylindrical metal powder sintered wick heat pipe （sintered heat pipe） is an ideal component with super-high thermal efficiency for high heat flux electronics cooling. The sintering process for sintered wick is important for its quality. The sintering process was optimally designed based on the equation of the heat transfer limit of sintered heat pipe. Four-step sintering process was proposed to fabricate sintered wick. The sintering parameters including sintering temperature, sintering time, sintering atmosphere and sintering position were discussed. The experimental results showed that the proper sintering temperature was 950 ℃ for Cu powder of 159μm and 900 ℃ for Cu powders of 81 and 38 μm, respectively, while the wick thickness was 0.45 mm and sintering time was 3 h. The optimized sintering time was 3 h for 0.45 and 0.6 mm wick thickness and 1 h for 0.75 mm wick thickness, respectively, when copper powder diameter was 159μm and sintering temperature was 950 ℃. Redox reduction reaction between H2 and CuO during sintering could produce segmentation cracks in Cu powders as a second structure. Sintering at vertical position can effectively avoid the generation of gap between wick and the inner wall of pipe.

Lazy loading algorithm for traffic assignment of road networks under fixed charge condition

The measures of path charge are important considerations in traffic assignment of road networks. Factors, such as travel time, fixed charge and traffic congestion which affect road users＇ choices of trip paths, are analyzed. Travelers usually decide their trip paths based on their personal habits, preferences and the information at hand. By considering both deterministic and stochastic factors which affect the value of time （VOT） during the process of path choosing, a variational inequality model is proposed to describe the problem of traffic assignment. A lazy loading algorithm for traffic assignment is designed to solve the proposed model, and the calculation steps are given. Numerical experiment results show that compared with the all-or-nothing assignment, the proposed model and the algorithm can provide more optimal traffic assignments for road networks. The results of this study can be used to optimize traffic planning and management.

Eliminating shrinkage defects and improving mechanical performance of large thin-walled ZL205A alloy castings by coupling travelling magnetic fields with sequential solidification

ZL205 A alloys with large thin-walled shape were continuously processed by coupling travelling magnetic fields(TMF)with sequential solidification,to eliminate the shrinkage defects and optimize the mechanical performance.Through experiments and simulations,the parameter optimization of TMF and the influence on feeding behavior,microstructure and properties were systematically studied.The results indicate that the magnetic force maximizes at the excitation current of 20 A and frequency of 200 Hz under the experimental conditions of this study,and increases from center to side-walls,which is more convenient to process thin-walled castings.TMF can break secondary dendritic arm and dendrites overlaps,widen feeding channels,prolong the feeding time,optimize the feeding paths,eliminate shrinkage defects and improve properties.Specifically,for as-cast state,TMF with excitation current of 20 A increases ultimate tensile strength,elongation and micro-hardness from 186 MPa,7.3%and 82.1 kg/mm^(2) to 221 MPa,11.7%and 100.5 kg/mm^(2),decreases porosity from 1.71%to 0.22%,and alters brittle fracture to ductile fracture.

Hot tearing susceptibility of Mg-xZn-2Y alloys

Effects of Zn content (0, 0.5%, 1.5% and 4.5%) on the hot tearing characteristics of Mg?2%Y alloy were studied in aconstrained rod casting (CRC) apparatus attached with a load cell and data acquisition system. The experimental results indicate thatthe hot tearing susceptibility (HTS) is affected by the content of Zn. The Zn-free base alloy shows the lowest HTS. The HTS ofMg?xZn?2Y alloys increases with increasing Zn content, reaches the maximum at 1.5% Zn, and then decreases with further Znaddition. The high HTS observed in the alloy with 1.5% Zn is attributed to its high force release rate and large force drop duringsolidification. The hot cracks of casting are initiated and propagate along the dendritic or grain boundaries. The predictions of HTS ofMg?xZn?2Y alloys using ProCAST software are in good agreement with the results obtained by experimental measurements.

Arsenic in Drinking Water and Its Removal

Superfluous arsenic in drinking water can do harm to human health. In this paper, a broad overview of the available technologies for arsenic removal has been presented on the basis of literature survey. The main treatment methods included coagulation-sedimentation, adsorption separation and ion exchange, membrane technique, which have both advantages and disadvantages. It concluded that the selection of treatment process should be site specific and prevailing conditions and no process can serve the purpose under diverse conditions as each technology has its own limitations. In order to gain good results, some methods should be improved.

Empirical Study on the Effect of Abolishing Agricultural Tax on Farmers' Income

The panel dataset which covered the socio-economic data of 31 provinces （municipalities and autonomous region） in China from 2000-2007 was used to do empirical analysis on the effect of abolishing agricultural taxes on farmers＇ income by referring to the fixed effect estimation method. It found that the abolition of agricultural taxes increased farmer＇s net income per capita by 2%. Combining with the results of empirical analysis, related policy suggestions were put forward to increase farmers＇ income.

“固收+”业务在中国的兴起及具体投资策略分析

近年来,“固收+”这一概念逐渐受到市场关注,在新的市场经济形势下,发展“固收+”权益资产与量化策略的“固收+”业务逐渐成为现阶段固定收益投资的一种合理性选择。“固收+”产品主要是以追求绝对收益为目的、以风险较低的债券等固定收益类资产为底仓构建基础收益,同时以严格控制回撤为主要手段,通过配置风险资产和优化投资策略的方式,以达到增厚收益的目标。本文通过分析产品风险,合理配置资产,合理设定“固收+”投资模式,探讨了如何把握短期“固收+”投资策略。

On Variational Inequality and Fixed Point Problems

In this paper,A strong convergence theorem for a finite family of nonexpansive mappings and relaxed cocoercive mappings based on an iterative method in the framework of Hilbert spaces is established.

Informal Sector Solid Waste Collection and Recycling in Zaria, Nigeria

Management of solid wastes has become a critical issue for almost all the major cities in Nigeria. Although the responsibility for solid waste management remains primarily with the local government councils, several other stakeholders are playing significant roles in the system. In Zaria, the scavengers, waste pickers and collectors eke out a living by collecting waste and selling recyclable materials out of the urban solid wastes. The paper utilized data collected using questionnaire survey, in-depth discussion guides and open-ended interviews to examine the socio-economic characteristics, the functions, aspects of involvement of children, the working conditions and problems of waste collectors and pickers in Zaria. The paper found that the sector is the only means of solid waste collection in several sections of the town and is a source of livelihood for the poor. The activities help in realizing the aim of modern waste management, that is to move up the solid waste management hierarchy by reducing reliance on disposal and increasing recycling. In spite of these important functions, informal waste collection and recycling are associated with problems of unsanitary conditions and health risks to the communities and the waste collectors. Recommendations have been made to integrate the informal sector into the formal waste management by incorporating the employment needs of the urban poor and enhancing the efficiency of government in addressing the main problems.