信用债ETF双周报（20260302-20260313）：短融ETF交投活跃，持续获资金净流入-20260318

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report The report analyzes the credit bond ETF market from multiple perspectives, including index market trends, ETF market trends, liquidity, scale, and risk - return. It indicates that the bond market is expected to be in a volatile state in March, with inflation expectations dominating bond pricing. It recommends a strategy of medium - short duration and high - coupon protection and suggests focusing on the Haifutong Urban Investment Bond ETF (511220.SH), the Haifutong Short - Term Financing ETF (511360.SH), and the Bosera Convertible Bond ETF (511380.SH) [7][64]. 3. Summary by Relevant Sections Index Market Trends - Bond Index Market Trends: Pure bond indexes rose slightly, and convertible bond indexes fell. The ChinaBond Financial Bond Index had the best performance in the past two weeks, with a 0.20% increase, while the ChinaBond Medium - and High - Grade Corporate Bond Spread Factor Net Price (Total Value) Index had the lowest increase, at 0.04%. Convertible bond indexes fluctuated downward, with the CSI Convertible Bond and Exchangeable Bond Index and the SSE Investment - Grade Convertible Bond and Exchangeable Bond Index falling by 3.07% and 2.67% respectively in the past two weeks [2][12]. - Important Credit Bond Index Spread Situation: The yields of credit bond indexes declined, and the spread trends showed less differentiation. Most credit bond index spreads widened, and credit bonds underperformed interest - rate bonds. The Shanghai Urban Investment Bond Index had the highest estimated yield (1.87%) and the highest spread (28.46bp) on March 13, 2026, while the ChinaBond Financial Bond Index had the lowest spread at 9.50bp [13]. Credit Bond ETF Market Trends - Pure bond ETFs generally rose, and convertible bond ETFs fell. Among the benchmark market - making bond ETFs, the average increase of Shenzhen Market - Making Credit Bonds was higher than that of Shanghai Market - Making Corporate Bonds. Among the science and technology innovation bond ETFs, the Invesco Science and Technology Innovation Bond ETF (159400.SZ) had the highest increase of 0.20%, and the Huaxia Science and Technology Innovation Bond ETF (159112.SZ) had the lowest increase of 0.06%. Among pure bond ETFs, the Dacheng Credit Bond ETF (159395.SZ) had the highest increase of 0.20%. The Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) fell by 3.38% and 2.67% respectively [3][19]. Credit Bond ETF Liquidity - The Haifutong Short - Term Financing ETF (511360.SH) was the most actively traded, with a trading volume of 586.87 billion yuan in the past two weeks, a month - on - month increase of 155.38%, an average daily trading volume of 58.687 billion yuan, and a high turnover rate of 747.23%. The total trading volume of science and technology innovation bond ETFs in the past two weeks was 1205.866 billion yuan, with an average daily trading volume of 120.587 billion yuan and an average turnover rate of 467.30%. The total trading volume of benchmark market - making bond ETFs in the past two weeks was 288.207 billion yuan, with an average daily trading volume of 28.821 billion yuan and an average turnover rate of 254.56%. The total trading volume of convertible bond ETFs in the past two weeks was 157.644 billion yuan, with an average daily trading volume of 15.764 billion yuan and an average turnover rate of 214.11% [4][25]. Credit Bond ETF Scale - The scales of different types of ETFs showed mixed trends. Short - term financing ETFs and urban investment bond ETFs continued to receive net capital inflows, while the scales of science and technology innovation bond ETFs and benchmark market - making bond ETFs continued to decline, and the scale of convertible bond ETFs began to decline. As of March 13, 2026, the scale of the Haifutong Short - Term Financing ETF (511360.SH) was 81.829 billion yuan, a month - on - month increase of 4.604 billion yuan; the scale of the Haifutong Urban Investment Bond ETF (511220.SH) was 33.887 billion yuan, a month - on - month increase of 2.530 billion yuan [4][36]. Credit Bond ETF Risk - Return Analysis - Unit Net Value: The unit net values of pure bond ETFs increased, while those of convertible bond ETFs decreased. By March 13, 2026, the unit net values of benchmark market - making bond ETFs exceeded 101 yuan, and those of science and technology innovation bond ETFs exceeded 100 yuan. The unit net value of the short - term financing ETF continued to rise steadily, exceeding 113 yuan, and the unit net value of the urban investment bond ETF rose slightly to 10.29 yuan. The unit net values of the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) fell to 14.13 yuan and 12.98 yuan respectively in the past two weeks [42]. - Income: The coupon rates of component bonds were concentrated, and the urban investment ETF had the greatest coupon rate advantage. Most credit bond ETFs saw a decline in the weighted coupon rate of component bonds at the end of the period compared to the beginning. Convertible bond ETFs had the lowest coupon rates, with the weighted coupon rates of the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) at 0.24% and 0.23% respectively. The Haifutong Short - Term Financing ETF (511360.SH) had a weighted coupon rate of 1.63%. The weighted coupon rate of benchmark market - making bond ETFs was higher than that of science and technology innovation bond ETFs. The Dacheng Credit Bond ETF (159395.SZ) in benchmark market - making credit bonds had the highest weighted coupon rate of 2.69%, and the Winwin Science and Technology Innovation Bond ETF (511150.SH) in science and technology innovation bond ETFs had the highest weighted coupon rate of 2.29%. The Haifutong Urban Investment Bond ETF (511220.SH) had the highest weighted coupon rate of 3.27%. In terms of capital gains, the weighted yields of pure bond ETFs increased at the end of the period compared to the beginning, and the capital gain income was positive [45]. - Weighted Duration and Convexity: Most credit bond ETFs reduced their durations, and the weighted durations of science and technology innovation bond ETFs were differentiated. Affected by inflation expectations, most credit bond ETFs reduced their durations. The China Merchants Science and Technology Innovation Bond ETF (551900.SH) had the longest weighted duration of 3.86, and the Haifutong Short - Term Financing ETF (511360.SH) had the shortest duration of 0.30. The Bosera Credit Bond ETF (159396.SH), the Haifutong Credit Bond ETF (511190.SH), the Southern Credit Bond ETF (511070.SH), and the Winwin Science and Technology Innovation Bond ETF (511150.SH) had significantly higher convexity than other ETFs, mainly due to their allocation of perpetual bonds, which increased the overall convexity. Considering both duration and convexity, the Haifutong Credit Bond ETF (511190.SH) and the Winwin Science and Technology Innovation Bond ETF (511150.SH) had strong anti - decline capabilities [50][51]. - Credit Risk: The overall credit risk of credit bond ETFs was low. The component bonds of science and technology innovation bond ETFs, benchmark market - making bond ETFs, the Haifutong Short - Term Financing ETF, and corporate bond ETFs were all rated AAA. On March 13, 2026, in the Haifutong Urban Investment Bond ETF, AAA - rated component bonds accounted for 40.50%, AA + - rated component bonds accounted for 42.70%, and AA - rated component bonds accounted for 16.80%. In the Bosera Convertible Bond ETF (511380.SH), component bonds rated AA - and below accounted for 58.38%, and in the Haifutong Convertible Bond ETF (511180.SH), AA - rated component bonds accounted for 64.04%. Although convertible bonds had low credit ratings, they had conversion options, so the default risk was still low [55]. - Cost - Effectiveness: The corporate bond ETF and the Haifutong Short - Term Financing ETF had the highest risk - return ratios. In terms of returns, the Invesco Science and Technology Innovation Bond ETF (159400.SZ) had the highest annualized interval return of 4.12%, and the Bosera Convertible Bond ETF (511380.SH) had the lowest annualized interval return of - 60.52%. In terms of drawdowns, the Bosera Convertible Bond ETF (511380.SH) and the Haifutong Convertible Bond ETF (511180.SH) had higher maximum drawdowns than pure credit bond ETFs due to the fluctuations in the returns of their underlying stocks. Among pure bond ETFs, the Bank of China Science and Technology Innovation Bond ETF (551060.SH) had the largest drawdown, but the overall drawdowns of pure bond ETFs were small. In terms of risk - return ratios, the Haifutong Short - Term Financing ETF (511220.SH) and the corporate bond ETF (511030.SH) had the highest cost - effectiveness in the past two weeks, with Sharpe ratios of 0.91 and 0.87 respectively and Calmar ratios of 0 and 497.88 respectively [58]. Investment Recommendations - Based on the economic fundamentals in February, which showed characteristics of contraction in manufacturing and non - manufacturing, rising inflation, stable social financing growth, and continued rebound and repair of industrial profits, and the tight balance of the capital market, it is expected that the bond market will be in a volatile state in March, with inflation expectations dominating bond pricing. It is recommended to adopt a strategy of medium - short duration and high - coupon protection in March. After comprehensively comparing the durations, convexities, and risk - return ratios of bond indexes and credit bond ETFs, it is recommended to focus on the Haifutong Urban Investment Bond ETF (511220.SH), the Haifutong Short - Term Financing ETF (511360.SH), and the Bosera Convertible Bond ETF (511380.SH) [64].