交投旺盛，科创债ETF迎来发展机遇

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - In 2025, driven by policy focus, the "science - technology board" of the bond market has accelerated its progress. On July 17, the first batch of Science - Innovation Bond ETFs were listed collectively. These ETFs have investment value due to factors such as high - quality index components, better performance in bull and bear markets, potential for spread compression, and suitability for certain types of investors [1][8][9]. - Science - Innovation Bond ETFs have differences from other mainstream ETFs in terms of sample scope, sample rating, and sample remaining maturity. The tracking index of Science - Innovation Bond ETFs has the characteristics of high return, low volatility, and low drawdown [4][30]. - The Guangfa Shanghai Stock Exchange AAA Science - Innovation Corporate Bond ETF has features such as low credit risk, stable coupon income, and suitability for both conservative allocation investors and stock - bond rotation strategies [5][55]. 3. Summary According to the Directory 3.1 How to Evaluate the Investment Value of Science - Innovation Bond ETFs? 3.1.1 Index Component Structure - Among the 10 Science - Innovation Bond ETF products, 6 track the CSI AAA Science - Innovation Bond Index, 3 track the Shanghai AAA Science - Innovation Bond Index, and 1 tracks the Shenzhen AAA Science - Innovation Bond Index. The Shanghai AAA Science - Innovation Bond Index has advantages such as better sample subject quality, relatively larger sample size, and physical redemption [11]. - The industry distributions of the CSI AAA, Shanghai AAA, and Shenzhen AAA Science - Innovation Bond Indexes are similar with high concentration. The top four industries of the first two are industry, public utilities, energy, and materials, accounting for 90% of the total scale; for the Shenzhen AAA index, they are industry, materials, public utilities, and information technology, accounting for 85% of the total scale [13]. 3.1.2 Policy Attributes: Better Returns in Bull Markets and More Resilience in Bear Markets - Since 2025, Science - Innovation Bonds have shown more resilience in bear markets (yield up 3BP less than medium - term notes and short - term commercial paper) and better return elasticity in bull markets (yield down 6BP more than medium - term notes and short - term commercial paper). Their policy attributes support their performance in bull - bear cycles [2][18]. 3.1.3 Allocation Demand: Room for Spread Compression - Currently, the 10 - year Treasury yield has been fluctuating in the range of 1.63% - 1.73% for over two months. The 3 - year and 5 - year AAA - rated Science - Innovation Bonds still have an excess spread of 29BP and 5BP respectively compared with medium - term notes of the same term and rating, indicating attractive yield levels [2][22]. 3.1.4 High Correlation between Science - Innovation Bond Index and Dividend Index, Suitable for Conservative Allocation Investors - The Shanghai AAA Science - Innovation Bond Index has a strong positive correlation (correlation coefficient of 0.56) with the Shanghai Dividend Index, and a low correlation (correlation coefficient of 0.16) with the Shanghai Composite Index. Science - Innovation Bond ETFs are suitable for conservative allocation investors and those who prefer stable high - coupon income [25][28]. 3.2 Comparison between Science - Innovation Bond ETFs and Other ETFs 3.2.1 Comparison of Indexes Tracked by Mainstream ETFs - Science - Innovation Bond ETFs, as a new category, differ from other mainstream bond ETFs (such as Policy - Financial Bond ETFs, Treasury Bond ETFs, and Credit Bond ETFs) in sample scope, sample rating, and sample remaining maturity. For example, the Shanghai AAA Science - Innovation Bond Index requires high - credit - rated bonds and has no restriction on the remaining maturity [30][31]. 3.2.2 The Index Tracked by Science - Innovation Bond ETFs has High Return, Low Volatility, and Low Drawdown - From 2023 to July 2025, the Shanghai AAA Science - Innovation Bond Index had the highest annualized return (5.41%) among the four compared indexes, relatively low annualized volatility (1.02%), and relatively low maximum drawdown (- 1.42%) [38][39]. 3.3 Introduction to Science - Innovation Bond ETF Products 3.3.1 Product Information of Guangfa Science - Innovation Bond ETF - The Guangfa Shanghai Stock Exchange AAA Science - Innovation Corporate Bond ETF (fund code: 511120.SH) is a contract - type open - ended index fund tracking the Shanghai AAA Science - Innovation Bond Index. As of July 17, 2025, its floating scale was 5.172 billion yuan [5][43]. 3.3.2 Trading Mechanism: On - exchange Trading with "T + 0" Real - time Trading for Convenient Operation - The ETF supports on - exchange continuous trading without subscription and redemption limits and "T + 0" real - time trading, which improves capital turnover efficiency and provides flexible trading space. The cash - dividend mechanism provides investors with a predictable cash source [47]. 3.3.3 The Index Tracked by the ETF has Medium - to - Short Duration, High Credit Rating, High Industry Concentration, and Many Leading Enterprises - The Shanghai AAA Science - Innovation Bond Index has a medium - to - short duration (bonds with a maturity of less than 5 years account for 80% of the total scale, and the weighted average duration is 4.40 years), high - credit - rated components (bonds with an implied rating above AAA - account for nearly 70% of the total scale), and high industry concentration with leading enterprises in the top four industries accounting for over 90% of the total scale [48][50][51]. 3.3.4 Good Liquidity and Low Correlation with Stocks Make it Suitable for Stock - Bond Rotation Strategies - The Guangfa Shanghai Stock Exchange AAA Science - Innovation Corporate Bond ETF is suitable for conservative allocation investors. Its low correlation with the Shanghai Composite Index and good secondary - market liquidity support stock - bond rotation strategies, enabling risk control during stock market downturns and efficient asset switching [55].