平安5-10年期国债活跃券ETF投资价值分析：家国同行，共享时代红利

Report Title - The report is titled "Ping An 5 - 10 Year Treasury Active Bond ETF Investment Value Analysis" [1] Report Date - The report was released on March 1, 2026 [4] Analyst Information - The analyst is Xu Liang, with the practice certificate number S0590525110037 and email xliang@glms.com.cn [5] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints of the Report - In 2026, after a large adjustment in bond yields, the allocation value emerged, and the decline in market risk appetite provided a window for bond market recovery. In a "low - interest rate + low - spread + high - volatility" environment, "duration management" becomes more important, and bond index funds have cost advantages [6][9] - 10 - year Treasury bonds are important for balancing risk and return in a low - interest - rate environment, offering capital gains in a rate - cut cycle and stable coupon payments. They have better risk - return characteristics than 30 - year Treasury bonds [14][16] - Bond ETFs are good duration management tools with low fees, and can use repurchase to increase returns. Active bond ETFs have high - liquidity component bonds, which can reduce tracking errors and trading risks [35][37][38] - The Ping An 5 - 10 Year Treasury Active Bond ETF has unique features such as tracking the "Treasury Active Bond Index", using ChinaBond valuation, and having efficient "bond replenishment" capabilities. It has good performance and can be used in various investment scenarios [42][46][58] Summary by Directory 1. Bond Market Continues to Oscillate at a Low Level with High Volatility - In 2025, the bond market entered a "high - volatility" stage under the "low - interest rate, low - spread" environment, showing an "N - shaped" trend. In early 2026, due to the large adjustment in yields, bond market yields declined in the short term. After the Spring Festival, the bond market oscillated due to factors such as the equity market and real - estate policies. In the long - term, "duration management" becomes more important, and bond index funds have cost advantages [9] 2. Paths to Achieve Excess Performance in a Low - Interest - Rate Environment 2.1 Allocation Value of 10 - Year Treasury Bonds - 10 - year Treasury bonds are important for balancing risk and return in a low - interest - rate environment. Their index yield is higher than that of medium - and short - term Treasury bonds, providing capital gains in a rate - cut cycle and stable coupon payments. In a bond bull market, they can capture more capital gains than short - duration bonds. Compared with 30 - year Treasury bonds, they have lower volatility, smaller drawdowns, and better Sharpe and Calmar ratios. They are also more actively traded, and banks are increasing their allocation of 7 - 10 - year Treasury bonds in 2026 [14][16][32] 2.2 Advantages of Bond ETFs - Bond index funds are good duration management tools with stable durations and clear investment strategies. They have lower fees than active bond funds. Investors can use bond ETFs for repurchase to increase returns. ETFs with active component bonds have lower trading costs, can track the index more accurately, and are more liquid in volatile markets. The spread between new and old bonds can provide a reference for trading strategies [35][37][39] 3. Allocation Advantages of Active Treasury Bond ETFs 3.1 Basic Information - The Ping An 5 - 10 Year Treasury Active Bond ETF (511020.OF) is the first Smart - Beta ETF tracking the "Treasury Active Bond Index" and the only Treasury ETF with active component bonds. It tracks the CSI 5 - 10 Year Treasury Active Bond Index, uses ChinaBond valuation, and its manager has bank - to - bank account qualifications, enabling more efficient "bond replenishment" [42][43] 3.2 Performance Attribution - The ETF has achieved good returns in the past few years, with an annualized return of 3.96% in the past five years. Its volatility is below 2% and the maximum drawdown is below 2.2%. Its income mainly comes from coupon income, followed by the Treasury effect and a small amount of bond - selection income. It has a stable income structure [48][52] 3.3 Allocation Advantages - The ETF has strict component - bond screening standards and maintains high liquidity through regular rebalancing. After the adjustment of the bond benchmark market - making variety range, its component bonds have been updated, which is convenient for investors and market - makers to conduct fund subscription and redemption. Compared with financial institution self - operated investors, public funds have tax advantages, and self - operated investors can exchange bonds for ETF shares to increase returns. The ETF has also paid dividends four times since its establishment [55][56] 4. Application Scenarios of Active Treasury Bond ETFs 4.1 Stock - Bond Risk Evaluation Portfolio - The Treasury bond index has a low or negative correlation with assets such as stocks and gold. By using a risk - parity model, the volatility of the portfolio can be effectively reduced, and the portfolio constructed by risk parity has better performance than the traditional 80/20 stock - bond portfolio [58][61] 4.2 Treasury Bond Futures Cash - and - Carry Strategy - Since the active Treasury bond ETF has a high correlation with Treasury bond futures, a paired trading strategy can be constructed. When the Treasury bond futures are at a significant premium to the cash bonds, there may be an opportunity for a cash - and - carry strategy. Using the ETF instead of cash bonds in the strategy can achieve higher returns [64][65]