美国债基规模为何持续扩张？

1. Report Industry Investment Rating No information provided regarding the industry investment rating in the report. 2. Core Views - Since the first open - ended fund was launched in the US in 1924, the US public fund industry has evolved over a century. The bond - type funds entered the growth stage in the 1980s and have experienced multiple interest - rate cycles. The long - term low - interest environment from 2011 - 2016 provides a historical model for analyzing China's current bond investment path [3]. - The US low - interest rate evolved in four steps: rapid decline (2011.1 - 2011.9), low - level fluctuation (2011.10 - 2013.6), interest - rate recovery (2013.7 - 2013.12), and return to decline (2014.1 - 2016.9). Each stage had different impacts on bond - type funds' performance, scale, and asset allocation [3]. - The US bond - type funds could continuously expand due to factors such as the relative attractiveness of US interest rates globally, the expansion of the US asset - management industry, the tool - based and passive nature of bond - type funds in a low - interest environment, and investors' "Reaching for Yield" behavior [3]. - US bond - type funds did not continuously increase duration in the low - interest period because the spread was extremely compressed, interest - rate fluctuations were large, and there were more investment tools and a wider investment scope [3]. 3. Summary by Relevant Catalog 3.1 US Bond - type Fund Development History and Classification 3.1.1 US Bond - type Fund Development History - The US fund industry's development can be divided into three stages: traditional mutual - fund development (1924 - 1980) dominated by stock and hybrid funds; the rise of pension - based asset allocation (1980 - 2000) forming the buyer's investment - advisor model; and the shift to passive investment (2000 - present) with fund companies transforming into investment - advisory services [7]. - For bond - type funds, the period from 1980 to the present can be further divided into three stages: a stable growth period (1980 - 2007) when the US interest rate declined for nearly 30 years, and the bond - type fund scale grew from $46.24 billion in 1984 to $1.68 trillion in 2007, also benefiting from the 401(k) plan and product innovation; a rapid development period (2008 - 2020) after the 2008 financial crisis, with bond - type funds rebounding in scale due to Fed's policies and the stock - bond rebalancing strategy; a recovery growth period (2020 - present) with fluctuations caused by the public - health event and Fed's interest - rate hikes [9][12]. 3.1.2 US Bond - type Fund Classification - Classified by tax, US bond - type funds are divided into taxable bond funds and municipal bond funds. If the proportion of municipal bonds in bond assets exceeds 67%, it is defined as a municipal bond fund; otherwise, it is a taxable bond fund. The median remaining term of municipal bond funds from 2010 - 2024 was 15.79 years, with a median credit score of 7.49 (A -) and a median quarterly return of 0.88%. Taxable bond funds, accounting for 84% of the total bond - type funds in 2024, mainly invest in non - municipal bonds and have a more complex composition [14]. - Taxable bond funds can be further divided into investment - grade, high - yield, global, federal - government, and mixed - bond types. Municipal bond funds can be divided into state - and - local - municipal and national - municipal bond types [15]. 3.2 How Did US Bond - type Funds Respond During the Long - term Low - interest Period? 3.2.1 Four - step Deduction of Low Interest Rates - Rapid decline stage (2011.1 - 2011.9): Bond - type fund scale increased, credit grade rose slightly, government - bond fund duration decreased, and high - yield bond funds' returns declined significantly due to the European debt crisis and the US debt - ceiling crisis [23]. - Low - level fluctuation stage (2011.10 - 2013.6): Government - bond fund scale declined after reaching a peak, corporate - bond fund scale growth slowed, credit grades declined, and bond - type fund performance declined after reaching a peak [23]. - Interest - rate recovery stage (2013.7 - 2013.12): Government - bond fund scale declined sharply, investment - grade bond fund scale remained stable, high - yield bond fund scale increased, and bond - type fund performance declined comprehensively [24]. - Return to decline stage (2014.1 - 2016.9): Government - bond and investment - grade bond fund scales increased, high - yield bond fund scale first increased then decreased, credit grades rose, and bond - type fund returns first increased then decreased [24]. 3.2.2 Reasons for the Continuous Expansion of US Bond - type Funds - Globally, US interest rates were still attractive compared to other developed countries from 2011 - 2016 [34]. - Macroeconomically, the US asset - management industry was in an expansion period, benefiting from stock - bond balanced allocation and population aging and pension plans. The stock - bond rebalancing strategy led to the expansion of bond - type funds during the stock - market boom, and pension plans brought continuous capital inflows [34][35]. - In the long - term low - interest environment, bond - type funds became more tool - based and passive. Indexed bond funds had advantages such as low fees, transparent investment strategies, diversified risks, and high liquidity [36]. - In the low - interest environment, US investors' "Reaching for Yield" behavior was more prominent. Bond - type funds used credit - sinking strategies and increased overseas investment to pursue returns and maintain scale expansion [39]. 3.3 US Bond - type Fund Fee Issues - US mutual funds mainly charge operating fees and sales commissions. Currently, commission - free funds are mainstream in the US fund market. Operating fees include fund management fees, 12b - 1 fees, and other operating costs [44]. - The fee rate of bond - type funds is slightly lower than that of stock - type funds. In 2024, the asset - weighted average fee rate of US bond - type funds was 0.38%. The fee rate of bond - type funds has decreased significantly from 1996 - 2024, mainly due to the indexation trend [45]. 3.4 Appendix I: US Bond - type Fund Data Processing - A relatively complete US bond - type fund database was constructed based on the CRSP database combined with other data. The database contains about 550,000 quarterly samples of US bond - type funds since 2000 [50]. - SEC data is authoritative and discloses monthly data. In the first quarter of 2025, the total scale of US bond - type funds (excluding ETFs and closed - end funds) in mutual funds was $5.45 trillion, including $4.63 trillion in taxable bond funds and $0.82 trillion in municipal bond funds [52]. - ICI data has a longer time span and more detailed classification. In 2024, the scale of US bond - type mutual funds was $5.07 trillion according to ICI statistics [58]. - Morningstar classifies US bond - type funds into nearly 50 unique categories, providing more data dimensions that investors are concerned about [59]. 3.5 Appendix II: "Reaching for Yield" Behavior in a Low - interest Environment - In the US fund market, investors generally chase returns, but in China, there is a redemption anomaly where fund performance and capital flow are inversely related, which can be explained by the prospect theory and the disposition effect [63][64]. - In the low - interest era, corporate - bond funds optimize asset allocation and performance through "risk - taking/chasing returns," but the risk - adjusted alpha is not stable, and the tail risk increases [67]. - The "Reaching for Yield" index (RFY) can be decomposed into "credit sinking" (RFR), "lengthening duration" (RFM), and "selecting higher - yield bonds within the same rating and maturity bucket" (RFY_WRM). Higher RFY corresponds to higher nominal returns but no stable alpha after risk adjustment [68]. - Fixed - income funds can use interest - rate derivatives (IRDs) to increase duration exposure, but when interest rates reverse, losses are significantly magnified [70]. - The positive feedback between capital flow and yield strengthens the universality and importance of "Reaching for Yield" in a low - interest environment [74]. - When interest rates decline, capital not only re - distributes within bond funds but also flows to the stock market, especially high - dividend stock funds. In an ultra - long - term low - interest environment, the motivation of bond - type funds to deviate actively decreases [75][77].