固收+系列之四：股债恒定ETF：运作体系、海外经验借鉴与市场影响

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The report focuses on the "Fixed Income +" series, specifically the Stock - Bond Constant ETF. It aims to achieve a balanced risk - return solution through a fixed stock - bond ratio, automated rebalancing, and precise tracking of relevant indices [1][11]. - The product combines the growth potential of stocks and the stability of bonds, with a core goal of balancing risk and return, offering returns better than pure - bond products and lower volatility than pure - stock products [1][12]. - Domestic market conditions, including policy support, improved index supply, and overseas experience, provide a basis for the large - scale development of this product [34][35]. - The Stock - Bond Constant ETF will impact the bond market and the "Fixed Income +" fund industry, promoting a more diversified competition pattern [32][33]. 3. Summary by Directory 3.1 Definition and Objectives - The Stock - Bond Constant ETF is a passive "Fixed Income +" tool that maintains a preset asset allocation ratio through an automated rebalancing mechanism, aiming to achieve risk - return equilibrium and improve the Sharpe ratio [1][12]. 3.2 Asset Composition and Proportion Rules - The underlying assets consist of stock ETFs, bond ETFs, and a small amount of cash - like assets, covering multiple risk levels with preset fixed ratios [1][13]. - The stock - bond allocation ratio is determined by the target index, and currently, the indices are mainly issued by the China Securities Index Company and the Shanghai Stock Exchange [13]. 3.3 Rebalancing Trigger Mechanisms - Regular rebalancing is the most common mechanism, usually carried out quarterly or semi - annually, with a fixed frequency specified in the fund contract [14][15]. - Threshold rebalancing is a more flexible mechanism. When the actual weight of stocks or bonds deviates from the preset ratio by a certain threshold (e.g., ±5%), a temporary rebalancing operation is triggered [15]. 3.4 Reference Index and Market Foundation - The China Securities Index Company has launched 40 stock - bond constant indices since 2012, and the Shanghai Stock Exchange launched 3 such indices in 2024, providing a solid foundation for the development of Stock - Bond Constant ETFs [16]. - The index maintenance adopts a "regular + temporary" dual - track management model, with quarterly rebalancing and emergency adjustments for special events [18][20]. - The index calculation follows the "constant - ratio chained weighting" framework [20]. 3.5 Overseas Experience and Reference 3.5.1 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 - spectrum of risk profiles [21][22]. 3.5.2 Operation Mode - The products use the ETF - FOF model, holding multiple core stock and bond ETFs under BlackRock, enabling global asset allocation [23]. 3.5.3 Performance - The return and volatility characteristics of the four ETFs are determined by their stock - bond ratios. The aggressive ETF with a high stock allocation has the highest long - term return but greater volatility, while the conservative ETF with a high bond allocation has a more stable performance [26]. 3.5.4 Scale Change - Market preferences have 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 balanced and aggressive ETFs rebounded, while the moderate and conservative ETFs declined [27]. 3.6 Market Reshaping by Stock - Bond Constant ETFs 3.6.1 Core Driving Factors - Policy support from the CSRC and the upcoming new public - offering sales fee regulations provide policy and potential capital for the development of Stock - Bond Constant ETFs [31]. - The launch of stock - bond constant indices by the China Securities Index Company provides the underlying targets for product issuance [31]. - The low - level operation of the bond market has created a demand for products that can balance risk and enhance returns, making Stock - Bond Constant ETFs a suitable solution [31]. 3.6.2 Impact on the Bond Market - Stock - Bond Constant ETFs will create a regular allocation demand for specific bond varieties, and may provide temporary price support during the initial construction phase [32]. - The rebalancing mechanism can play a reverse - adjustment role, reducing irrational market fluctuations and acting as a market stabilizer [32]. 3.6.3 Impact on "Fixed Income +" Funds - The substitution effect will divert funds from investors seeking standardized and stable returns, as Stock - Bond Constant ETFs have clear risk - return characteristics and no style - drift risk [33]. - The industry - forcing effect will push active "Fixed Income +" funds to improve their timing, bond - selection, and stock - selection abilities and transform into a more differentiated competition model [33]. 3.7 Summary - Stock - Bond Constant ETFs offer a balanced risk - return solution with clear positioning, standardized operations, and low costs, meeting diverse investment needs [34]. - The domestic market has the basic conditions for large - scale development, and overseas experience provides important references [34][35]. - These ETFs will have a significant impact on the bond market and the "Fixed Income +" fund industry, and are expected to become core tools for asset allocation in the future [35].