大成深证基准做市信用债ETF投资价值分析：兼具流动性与稳健性的配置工具

Quantitative Models and Construction Methods 1. Model Name: Shenzhen Benchmark Market-Making Credit Bond Index - Model Construction Idea: The index is constructed based on the most liquid and highest-rated corporate bonds listed on the Shenzhen Stock Exchange, aiming to provide a representative and investable benchmark for credit bonds[3][20] - Model Construction Process: - Selection Universe: Credit bonds listed and traded on the Shenzhen Stock Exchange[20] - Sample Selection: Bonds included in the Shenzhen Stock Exchange benchmark market-making bond list, requiring AAA credit rating (either issuer or bond rating) and a minimum outstanding size of 10 billion RMB[20] - Weighting: The index adopts a relatively dispersed weighting scheme, with an average weight of 0.47% and a maximum weight of 0.88%, which helps to diversify credit risk[3][23] - Model Evaluation: The index demonstrates strong historical performance, with higher returns and lower drawdowns compared to the Wind Medium- to Long-Term Pure Bond Index. It also exhibits lower annualized volatility and maximum drawdown compared to other credit bond indices, making it a low-risk and stable investment tool[3][24][28] 2. Model Name: Dacheng Shenzhen Benchmark Market-Making Credit Bond ETF - Model Construction Idea: The ETF aims to closely track the Shenzhen Benchmark Market-Making Credit Bond Index, minimizing tracking deviation and tracking error[5][45] - Model Construction Process: - Investment Strategy: The ETF primarily adopts a representative stratified sampling replication strategy, investing in representative index constituent bonds or selecting non-constituent bonds as substitutes to ensure the portfolio's overall characteristics (e.g., duration, maturity distribution, and yield to maturity) align with the index[5][45] - Tracking Objective: The fund strives to achieve an absolute daily tracking deviation of no more than 0.2% and an annualized tracking error of no more than 2%[5][45] - Model Evaluation: The ETF has achieved the highest annualized return (1.9%) and the lowest maximum drawdown (0.75%) among all benchmark market-making credit bond ETFs, demonstrating strong performance and risk control[4][42][44] --- Model Backtesting Results 1. Shenzhen Benchmark Market-Making Credit Bond Index - 2023 Return: 4.11%[25] - 2024 Return: 5.24%[25] - 2025 YTD Return: 0.46%[25] - 2023 Maximum Drawdown: -0.2%[25] - 2024 Maximum Drawdown: -0.42%[25] - 2025 YTD Maximum Drawdown: -0.91%[25] - Annualized Volatility (2022/6/30-2024/12/31): 0.0047[28] - Maximum Drawdown (2022/6/30-2024/12/31): -0.0097[28] - Calmar Ratio (2022/6/30-2024/12/31): 4.32[28] 2. Dacheng Shenzhen Benchmark Market-Making Credit Bond ETF - Annualized Return: 1.9%[44] - Maximum Drawdown: -0.75%[44] - Interval Return (2025/2/1-2025/5/19): 0.61%[44] - Interval Excess Return: 0.10%[44] - Benchmark Interval Return: 0.51%[44] - Benchmark Interval Maximum Drawdown: -0.91%[44]