【广发金工】美国可转债被动化投资历程与启示

Domestic Convertible Bond ETF Development Status - Two convertible bond ETFs have been issued in China: Bosera CSI Convertible Bond and Exchangeable Bond ETF (as of Q1 2025, size 37.66 billion RMB) and Haifutong SSE Investment Grade Convertible Bond ETF (as of Q1 2025, size 5.78 billion RMB), together accounting for 6.1% of the total market size of convertible bonds [1][6][12] - The management fee rates for these ETFs are lower than those of actively managed convertible bond funds (0.15% and 0.25% respectively) [1][12] - Since 2024, institutional investors have accounted for over 97% of the holdings, indicating a strong demand for ETF allocation to diversify non-systematic risks [1][12] - Performance-wise, the returns for 2024 are 5.87% for Bosera and 8.32% for Haifutong, outperforming the average of actively managed convertible bond funds [1][12][22] U.S. Convertible Bond Market - The U.S. convertible bond market is the largest and most mature globally, with a total outstanding size of 254 billion USD by the end of 2024, covering a wide range of issuers from small to large companies, primarily in TMT, consumer, and healthcare sectors [2][42] - The terms of U.S. convertible bonds are designed to be flexible, with a stable default rate compared to the Chinese market [2][66] U.S. Convertible Bond Index and Index Funds - The U.S. has a well-established convertible bond index system, with various indices compiled by Bloomberg, ICE BofA, and iBoxx, dating back to 1988 [3][70] - The first U.S. convertible bond ETF, SPDR Bloomberg Convertible Securities ETF (CWB), was launched in 2009, with current sizes of 4 billion USD for CWB and 2.6 billion USD for iShares' ICVT [3][77] - Over the past five years, the annualized returns for passive ETFs (10%-11%) have significantly outperformed the average of actively managed funds (7.3%) [3][88] Insights and Recommendations - Suggestions for the development of China's convertible bond market include improving the index system and developing segmented strategy indices [4][89] - Emphasizing low fees as a core competitive advantage for passive products [4][89] - Enhancing liquidity of ETFs and underlying assets to increase trading activity [4][90] - Innovating bond terms to introduce more flexible mechanisms while protecting investors [4][90]