固收+系列报告之一：国内固收+基金：现状解析与路径演进

Report Industry Investment Rating No relevant content provided. Core View - The "Fixed Income +" strategy combines fixed - income assets with other risk assets to enhance returns. As domestic interest rates decline, investment innovation in "Fixed Income +" funds is expanding, with various attempts in different asset classes [1][2]. Summary According to the Catalog What is "Fixed Income +"? Definition of "Fixed Income +" - "Fixed Income +" refers to an investment portfolio with fixed - income assets like bonds as the main allocation, supplemented by other risk assets for higher returns. Common "+" assets include stocks, convertible bonds, derivatives, and commodities [1][12]. Main Features of the "Fixed Income +" Portfolio - The risk and return of the "Fixed Income +" portfolio lie between pure - bond and stock products. It has relatively small fluctuations and a higher Sharpe ratio, aiming for absolute returns [13]. Performance Review of Fixed Income + Public Offering Funds - In the past decade, the annualized returns of various sub - category Fixed Income + public offering fund indices were 3.71%, 3.57%, 4.40%, 7.08%, 4.07%, and 3.06% respectively, with corresponding Sharpe ratios of 1.13, 0.46, 0.73, 0.47, 0.25, and 0.16. The annualized return of flexible allocation funds was the highest, and the Sharpe ratio of hybrid bond - type primary funds was the highest. From 2004 to now, the best - performing years for Fixed Income + funds were usually A - share bull markets, and the worst - performing years were usually A - share bear markets. As of the end of Q2 2025, the total scale of China's Fixed Income + funds was 2327.6 billion yuan, with an average scale of 1.7 billion yuan. In Q2 2025, bond assets accounted for 88.2%, stock assets 7.9%, and bank deposits 1.4%. Among bonds, convertible bonds accounted for 10.6%, corporate bonds 39%, financial bonds 27.5%, and interest - rate bonds 19.7%. The proportion of stock - related assets (stocks + convertible bonds) in the total scale was as high as 17.3% [14][15][18][28][29]. Performance Attribution of High - Performing Fixed Income + Public Offering Funds Fund A: Forward - Looking Asset Allocation - Fund A, established in 2005, has excellent long - term performance. Since 2012, its annualized return has been 7.77%. It has flexible allocation of convertible bonds, stocks, and bonds. In recent five years, the value factor contributed 34%, the market factor 16.6%, and the remaining characteristics accounted for 58.8% in stock investment. In bond investment, 64% of the return came from interest income and 36% from capital gains. Its stock industry allocation is concentrated with low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio fluctuates between 103% and 140%, with an average of 123%. In 2025, it increased stock positions in the first half of the year to share the A - share market's rise [35][36][43][45][47][54][57][59]. Fund B: High - Position Convertible Bonds + Stock Band - Trading - Fund B, established in 2015, has an annualized return of 6.14% and has achieved positive returns every year. Since 2019, it has increased the allocation of convertible bonds, and since 2021, it has significantly increased its stock position. It uses the characteristics of convertible bonds to enhance returns, with a "dumbbell - shaped" convertible bond position distribution. In recent five years, the value factor contributed 62%, the market factor 12%, and the remaining characteristics accounted for 36% in stock investment. In bond investment, 44% of the return came from interest income and 56% from capital gains. Its stock industry allocation is concentrated with relatively low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio fluctuates between 101% and 140%, with an average of 117%. In 2025, it reduced convertible bond positions in the first half of the year to reduce portfolio risk exposure [60][61][66][72][74][82][85][88]. Fund C: Asset Comparison + Risk Diversification - Fund C, established in 2016, has an annualized return of 4.8% and a Sharpe ratio of 0.78 in the past three years. It has achieved positive returns in most years with small drawdowns. It has reduced convertible bond allocation and increased stock positions in recent years. In recent five years, the value factor contributed 33%, the market factor 17%, and the remaining characteristics accounted for 73% in stock investment. In bond investment, 82% of the return came from interest income and 18% from capital gains. Its stock industry allocation is diversified with low turnover. The price - earnings ratio and price - to - book ratio of its holdings are lower than the industry average. Its leverage ratio has decreased in recent years, with an average of 115% since 2021. In Q2 2025, it reduced convertible bond positions and shared the A - share market's rise through stock selection [91][92][97][99][107][111][114][117]. New Exploration of Fixed Income + Public Offering Funds - As domestic interest rates decline, investment innovation in "Fixed Income +" funds is expanding. As of Q2 2025, 63.5% of funds in the sample pool invested in stocks, 27.3% in Hong Kong stocks, 2.16% in other funds, 5.1% in Treasury bond futures, and 1% in stock index futures. Different products have different asset - investment proportions [118][120][123][125][132].