BlackRock(US:BLK) Guoxin Securities·2025-11-07 03:15Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. Core Viewpoints - The debt - equity constant ETF is a passive "fixed - income +" tool that aims to achieve a risk - return balance, with a clear risk - return profile, standardized operation rules, and low costs, making it suitable for diverse investment needs [1][11]. - Driven by policies, index development, and market demand, the domestic market has the basic conditions for the large - scale development of such products, and overseas experience provides important references [31][35]. - The debt - equity constant ETF will have a dual impact on the bond market and will also cause substitution and forcing effects on "fixed - income +" funds [3][32][33]. Summary by Relevant Catalogs Concept Definition - Definition and Goal: The debt - equity constant ETF is a passive ETF product that maintains a preset asset allocation ratio through an automated rebalancing mechanism to track the "debt - equity constant ratio index", aiming to achieve a risk - return balance and improve the Sharpe ratio [12]. - Asset Composition and Proportion Rules: It belongs to "multi - asset ETF" or "ETF - FOF", with underlying assets including stock ETFs and bond ETFs in preset fixed ratios, covering multiple risk levels. The ratios are specified by the tracked index, and currently, the domestic indexes are mainly issued by China Securities Index Co., Ltd. and the Shanghai Stock Exchange [13]. - Rebalancing Trigger Mechanism: There are two main types: regular rebalancing, usually carried out quarterly or semi - annually; and threshold rebalancing, which is triggered when the actual weight of stocks or bonds deviates from the preset ratio by a certain threshold [14][15]. - Reference Index and Market Foundation: China Securities Index Co., Ltd. has launched 40 debt - equity constant indexes since 2012, and the Shanghai Stock Exchange launched 3 in 2024. The indexes are managed by a "regular + temporary" dual - track system and calculated using the "constant ratio chain - weighted" framework [16][18][20]. Overseas Experience and Reference - Product System: BlackRock's iShares Core Allocation series, launched in 2008, offers four types of products based on risk levels: conservative, moderate, balanced, and aggressive, covering a full risk spectrum [21][22]. - Operation Mode: The products adopt the ETF - FOF model, holding multiple core stock ETFs and bond ETFs under BlackRock, enabling global asset allocation [23]. - Performance: The return and volatility characteristics of the four ETFs are determined by the debt - equity ratio. The aggressive ETF with a high stock ratio has the highest long - term return but greater volatility, while the ETF with a high bond ratio has a more stable performance [26]. - Scale Change: Market preference has led to different trends in the scale of the four ETFs. Initially, the balanced and moderate ETFs had higher growth rates, but after 2023, the scale of the balanced and aggressive ETFs rebounded, while that of the moderate and conservative ETFs declined [27]. Debt - Equity Constant ETF Reshaping the Market Landscape - Core Driving Factors: Policy support from the CSRC and the upcoming new regulations on public fund sales fees provide policy and capital basis; the launch of debt - equity constant indexes by China Securities Index Co., Ltd. provides underlying targets; and the current low - running bond market creates a demand for debt - equity constant ETFs [31]. - Impact on the Bond Market: It creates a regular allocation demand for specific bond varieties, providing price support during the initial establishment phase. The rebalancing mechanism can play a reverse - adjustment role, reducing market irrational fluctuations [32]. - Impact on "Fixed - Income +" Funds: It has a substitution effect by diverting funds seeking standardized and stable returns and a forcing effect by pushing active "fixed - income +" funds to transform into differentiated competition [33]. - Summary: The debt - equity constant ETF has the potential to become a core tool in asset allocation, promoting the development of a differentiated competition pattern in the "fixed - income +" field [34][35].