信用债ETF可回购质押，成交跃升

Quantitative Models and Construction Methods - Model Name: Absolute Return ETF Simulation Portfolio Model Construction Idea: The model determines the allocation weights of major asset classes based on "momentum + risk budgeting" and enhances returns at the stock industry level by incorporating an industry rotation model and timing views on dividend assets[3][26] Model Construction Process: 1. Risk Budgeting: Assign higher risk budgets to assets with stronger recent trends 2. Industry Rotation: Use a monthly frequency industry rotation model to allocate weights within equity assets 3. Dividend Timing: Incorporate timing views on dividend assets 4. Portfolio Adjustment: Adjust weights periodically, such as removing steel, basic chemicals, non-bank finance, and computers while adding pharmaceuticals, consumer services, and dividend assets in the latest rebalancing[26][29] Model Evaluation: The model effectively balances risk and return, leveraging momentum and industry rotation to enhance performance[26] Model Backtesting Results - Absolute Return ETF Simulation Portfolio: - Annualized Return: 6.45% - Annualized Volatility: 3.85% - Maximum Drawdown: 4.65% - Sharpe Ratio: 1.68 - Calmar Ratio: 1.39 - Year-to-Date Return: 3.94% - Weekly Return: 0.30%[28] Quantitative Factors and Construction Methods - Factor Name: Credit Bond ETF as Collateral for Repurchase Factor Construction Idea: The factor leverages the inclusion of credit bond ETFs in the general collateral pool for repurchase agreements to enhance liquidity and risk diversification in the credit bond market[7][9] Factor Construction Process: 1. Selection Criteria: ETFs tracking benchmark market-making credit bonds with large scale and high credit quality are selected 2. Approval Process: ETFs meeting the criteria apply to China Securities Depository and Clearing Corporation for inclusion as general collateral for repurchase agreements 3. Implementation: The first batch of 9 credit bond ETFs was approved and implemented on June 6, 2025[7][8] Factor Evaluation: This factor improves market liquidity, optimizes market structure, and supports the development of the real economy[9] Factor Backtesting Results - Credit Bond ETF as Collateral for Repurchase: - Example ETFs: - South China Benchmark Market-Making Corporate Bond ETF (Code: 511070.SH): Scale 124.81 billion, Monthly Average Turnover 48.89 billion - Huaxia Benchmark Market-Making Corporate Bond ETF (Code: 511200.SH): Scale 83.09 billion, Monthly Average Turnover 45.89 billion - Ping An ChinaBond High-Grade Corporate Bond Spread Factor ETF (Code: 511030.SH): Scale 170.70 billion, Monthly Average Turnover 17.76 billion[8]