低利率环境下海外经验系列报告：固收增强收益的国际视野（海外固收+）：从产品设计到负债把控

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - The low - interest environment does not equal low volatility, and the risk - adjusted return of bond assets declines. In the long - term, gaming capital gains in the bond market may be a zero - sum game. [3][8][13][49] - Low - interest environments in the US, Europe, and Japan have led to the development of "Fixed - income +" products. Due to differences in social financing structures, the "+" assets in "Fixed - income +" funds vary. [3][49] - The design of US "Fixed - income +" products first determines the client's risk budget and then the implementation method. [2][52] - When the equity market performs poorly, three methods can be used to manage liabilities: asset allocation, price mechanisms, and product structures. [4][115] - China's "Fixed - income +" public funds have a concentrated stock - bond ratio at both ends, and there is a lack of products with a 20% - 50% stock asset ratio. The FOF products are mainly "Low - volatility Fixed - income +", and there is room for improvement in management fees and product structure. [4][120][136] 3. Summary by Sections 3.1 Overseas "Fixed - income +" Development Background: Low Interest Rates and High Volatility - Low - interest environment does not mean low volatility. The bond market volatility did not decline when the government bond yields of developed economies dropped from 2% to 1%. As interest rates decrease, bond duration lengthens, making bond prices more sensitive to interest rate fluctuations. [8][13][49] - In China, the low - interest environment may persist for a long time. The old - to - new kinetic energy transformation may take a long time, and the economic growth rate may decline. [14][19][49] - After interest rates enter a low level, the contribution of coupon income decreases. Capital gains can increase total returns in the short - to - medium - term, but in the long - term, gaming capital gains may be a zero - sum game. [20][49] - In the low - interest period, mixed - type funds in the US, Europe, and Japan developed well. The US mixed - type funds' share in the total mutual fund scale increased significantly from 5.84% in 2008 to 8.56% in 2016. [28][34] - The social financing structures of the US, Europe, and Japan are different, leading to differences in the "+" assets of "Fixed - income +" funds. The US focuses on direct financing, Europe is between direct and credit financing, and Japan's "Fixed - income +" mainly uses overseas bonds and foreign exchange investment strategies. [38][43][49] 3.2 US "Fixed - income +" Product Design Ideas - US "Fixed - income +" products first determine the client's risk budget (including volatility budget, maximum drawdown, and liquidity) and then the implementation method (including medium - volatility and low - volatility strategies). [52][53][54] - US FOF products' underlying funds can be divided into passive - tracking and active - management models. [55] - Vanguard Life Strategy is a passive - tracking FOF. Its target clients are mainly small - account holders, and it has a low annualized fee rate of 0.11%. It uses a daily threshold - monitoring rebalancing strategy, which performs better than the end - of - month fixed - time rebalancing strategy. The ratios of US stocks to foreign stocks and US bonds to foreign bonds are relatively fixed. [60][66][87] - Fidelity Asset Manager Funds is an active - management FOF. It aims to outperform the benchmark. The top - level fund manager is responsible for asset allocation and risk budgeting, and the underlying Central Fund conducts active stock selection. The performance evaluation of the top - level FOF is related to excess returns, monthly asset timing ability, and the performance of other funds and accounts. [95][96][100] 3.3 How to Stabilize Liabilities When the Equity Market Is Underperforming - Swing Pricing is more commonly used in the European system. It adjusts the net asset value (NAV) of the fund according to the scale of subscriptions and redemptions to transfer the liquidity cost to the trading party. [107] - Buffer ETF uses options to smooth returns, with a buffer for declines and a cap for increases, making it easier for clients to hold during market fluctuations. [108][110] - By increasing the allocation of derivatives, funds can maintain their positions and risk exposure while reserving cash to cope with redemption pressure. [111] 3.4 Areas for China to Learn From - China's "Fixed - income +" public funds have a concentrated stock - bond ratio at both ends, with a lack of products with a 20% - 50% stock asset ratio. The liability side of Chinese public funds is mainly institutional funds, while that of US public funds is mainly individual funds. [120][136] - China's FOF products are mainly "Low - volatility Fixed - income +", which may be to compete with bank wealth management products and attract deposit - moving funds. In the future, it is necessary to meet the individual clients' demand for large - scale asset allocation and develop "Medium - volatility Fixed - income +" products. [121][132][136] - There is room for China's FOF fund management fees to decline. The management fees of most Chinese FOF funds are above 0.6%, while the annualized holding fees of US FOF funds are 0.11% (Vanguard Life Strategy) and 0.63% (Fidelity Asset Manager). [135][136] - Areas for improvement include enriching product structures, adopting a daily threshold - monitoring rebalancing strategy, conducting long - term performance evaluations for active - management FOF fund managers, and introducing options and futures to control drawdowns. [135][136]