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]

Summary of China Life Insurance Conference Call Company Overview - **Company**: China Life Insurance - **Industry**: Insurance Key Points and Arguments 2026 Performance Expectations - The 2026 "开门红" (New Year sales) performance exceeded expectations, with rapid growth in the bancassurance channel outpacing individual insurance sales. The proportion of participating products, especially pension annuities, has significantly increased, accounting for approximately 60-70% of sales. The growth rate of 10-year premium payment policies surpassed that of first-year new policies, indicating an improvement in business structure. The value rate has improved due to a reduction in the preset interest rate from the previous year [2][5][11]. Strategic Focus on Bancassurance - The bancassurance channel has been elevated to a strategic development channel, with plans to expand network coverage and enhance existing network productivity. The company aims to strengthen partnerships with major banks and explore potential collaborations with joint-stock banks, primarily focusing on selling participating insurance products [2][8]. Product Management and Profitability - The company maintains strict duration management for participating and traditional insurance products. The effective duration gap has narrowed from two years last year to one year, reflecting a further reduction in overall effective duration. The shift towards participating products is seen as a correct long-term strategy, with regulatory support expected for floating yield products in the future [2][7][10]. New Product Launches - China Life is closely monitoring new regulations for participating health insurance and plans to launch related products in 2026, which is expected to drive sales growth. The anticipated profit margin for participating critical illness insurance is projected to be around 30-40%, with interest spread remaining the primary source of profit, accounting for approximately 80% [2][12][13][14]. Interest Rate and Investment Strategy - It is expected that interest rates will remain low and fluctuate in 2026, with a potential breakthrough in term spreads. The company will continue a neutral and flexible allocation strategy, focusing on high-grade credit bonds while controlling duration. The equity market is anticipated to be volatile, with a focus on cyclical recovery sectors and technology growth sectors, while also accumulating high-dividend stocks [4][19][24]. Regulatory Impact and Taxation - The company has transitioned to new accounting standards and has made arrangements for deferred tax liabilities considering the differences between old and new standards. The impact of these changes on profits is deemed manageable [3][18]. Dividend Policy and Financial Health - The company’s dividend policy is expected to remain robust, with a projected 19% year-on-year increase in mid-year dividends for 2026. The overall profit growth is anticipated to be strong, with no immediate plans for debt issuance due to sufficient capital adequacy and solvency [26]. Market Position and Competitor Analysis - The company views the recent acquisition of insurance stocks by Ping An as a recognition of operational development. Holding peer insurance stocks as part of a high-dividend strategy is common practice, and China Life holds shares in Ping An, reflecting confidence in industry prospects [27]. Additional Important Insights - The company’s demonstration interest rates are positioned at an industry average of 3.0% to 3.5%, aimed at setting reasonable customer expectations without misleading them. The final returns depend on long-term investment capabilities and actual performance levels [15][18]. - The company is considering different guarantee levels for future product designs to enhance customer appeal and investment strategies [16][17]. This summary encapsulates the key insights from the conference call, highlighting the strategic direction, product management, and market positioning of China Life Insurance.

Group 1 - The core viewpoint indicates that the performance of medium- and long-term pure bond funds has shown signs of recovery, aided by a negative duration strategy for risk hedging [1][50] - As of the end of Q4 2025, there are 2,112 medium- and long-term pure bond funds, accounting for 15.5% of the total fund market, with a significant decrease in issuance and scale compared to the previous quarter and the same period last year [9][50] - The total assets and net assets of these funds are reported at 69,425 billion and 58,042 billion respectively, reflecting a decline of 2,038 billion and 1,633 billion from the previous quarter [10][50] Group 2 - The average leverage ratio for medium- and long-term pure bond funds at the end of Q4 2025 is 1.20, remaining stable compared to the previous quarter but down 0.02 from the end of the previous year [14][50] - The average net value growth rate for these funds in Q4 2025 is 0.56%, showing a significant recovery compared to the previous quarter, with 92.1% of the funds reporting positive growth [19][50] Group 3 - In terms of asset allocation, bond assets constitute the highest proportion at 97.1%, with a slight increase from the previous quarter, while bank deposits have increased to 1.2% [24][50] - The main types of bonds held by these funds include interest rate bonds, financial bonds (excluding policy financial bonds), and corporate bonds, which account for 47.0%, 21.4%, and 28.1% of total bond assets respectively [25][50] Group 4 - As of Q4 2025, 39 medium- and long-term pure bond funds hold government bond futures, with a majority focusing on hedging and duration management [37][51] - The negative duration strategy is employed by certain funds, with the 平安惠嘉纯债 fund having an estimated duration of -1.96 years and 嘉实稳华纯债 fund at -0.74 years [48][49][51]

1. Report Industry Investment Rating No information provided in the given content. 2. Core View of the Report - In the low - interest - rate era, "extending duration" and "controlling costs" are two key strategies for bond investment. The public - offering bond funds are shifting from "credit downgrading" to "duration management", and the low - cost advantage of bond - fund indexation is prominent [1][2]. - Long - duration index bond funds are the best combination of "high duration" and "low cost". Different types of long - duration index bond funds have different risk - return characteristics, and investors can choose according to their needs [3]. - Ten - year Treasury bond ETFs are effective "offensive - and - defensive" tools for enhancing portfolio returns, and are also suitable for short - term trading and rotation strategies [7]. 3. Summary According to the Directory 3.1 Low - Interest - Rate Era: "Extending Duration" and "Controlling Costs" as Two Key Strategies - Since early 2014, domestic interest rates have been in a downward cycle, and the upward elasticity of interest rates has weakened. From 2015 to 2025, the market has experienced five rounds of local government debt resolution, gradually flattening the credit spread [1][12][13]. - Facing the "low - interest - rate + low - spread" environment, public - offering bond funds are shifting from "credit downgrading" to "duration management". The average allocation ratio of medium - and long - term bond funds to credit bonds has dropped from 41% in 2020 to 30% at the end of Q1 2025, while the acceptance of portfolio duration is increasing [1][20][21]. - Referring to overseas experience, in a low - interest - rate environment, Japanese public - offering bond funds have increased their allocation to long - term bonds. In terms of risk - return ratio, the cost - effectiveness of long - duration strategies has become prominent since 2021 [27][32]. - Passive index - type bond funds have a cost - saving advantage of about 11 - 15bp per year compared with actively managed products, which is a relatively certain "hidden alpha" for investors [2][33]. 3.2 Long - Duration Index Bond Funds: The Best Combination of "High Duration" and "Low Cost" 3.2.1 Choices of Long - Duration Index Tools - Mainstream long - duration index bond funds are divided into three categories: local government bonds, Treasury bonds, and policy - financial bonds, and can be further divided into "long - term tools" (7 - 10 years and 10 years) and "ultra - long - term tools" (30 years) [3][48]. - Among them, the 10 - year index - type bond funds mainly hold bonds with a remaining term of 7 - 10 years, similar to 7 - 10 - year products. The 7 - 10 - year policy - financial bond index funds are the most popular, while the local bond index funds are scarce [48][49]. 3.2.2 Differences in the Long - Duration Index Toolbox - From the duration dimension, the 10 - year and 30 - year Treasury bonds have significant differences in risk - return characteristics, corresponding to the "ballast" and "offensive spear" roles respectively. The 10 - year Treasury bond is suitable for stable long - term investment, while the 30 - year Treasury bond is suitable for aggressive investors [54]. - From the bond type dimension, 7 - 10 - year policy - financial bonds are similar to Treasury bonds, while local bonds have unique characteristics. Although the long - term performance of 7 - 10 - year local bonds is good, investors may need more patience. The investment value of Treasury bonds and policy - financial bonds is converging [55][56][61]. 3.3 Investment Strategies for Long - Duration Index Bond Funds 3.3.1 Allocation: Enhancing Portfolio Returns, "Offensive and Defensive" - Ten - year Treasury bond ETFs are effective "offensive - and - defensive" tools for enhancing portfolio returns. In the interest - rate downward cycle, they have excellent return - capturing ability, such as the 9.02% annual return of Cathay Shanghai Stock Exchange 10 - Year Treasury Bond ETF in 2024 [7][65]. 3.3.2 Trading: Capturing Band - Trading Returns from "Point - Type Market Conditions" - Long - duration index products represented by ten - year Treasury bond ETFs have high liquidity and trading convenience, and are suitable for capturing band - trading returns from "point - type market conditions" in the bond market, such as the rapid decline and rebound of the 10 - year Treasury bond yield from November 2024 to January 2025 [7]. 3.3.3 Important Tools in Rotation Strategies - A "core - satellite" strategy is proposed, using long - duration interest - rate bond ETFs as the core "base" for pure - bond rotation, and tactically adjusting the satellite positions according to short - term market conditions. Back - testing shows that the improved rotation strategy can enhance returns and has better risk - adjusted returns [7][77][80].

Core Viewpoint - The current complex overseas situation has impacted the domestic stock and bond markets, leading to a potential short-term adjustment in bond yields, although a long-term downward trend in yields is expected due to policies aimed at reducing overall financing costs [1][2]. Group 1: Market Analysis - The bond yields have recently declined to previous low levels after short-term risk release, indicating a potential for market fluctuations in the near term [1]. - The bond market is expected to benefit from coordinated fiscal and monetary policies aimed at stabilizing economic growth, with short-term instruments showing more certainty in allocation [2]. - The influence of fundamental factors on bond pricing is anticipated to increase, with expectations of adjustments in market perceptions regarding deflation and interest rate cuts [2]. Group 2: Investment Strategy - The current market environment is characterized by increased trading activity, with a focus on capturing excess returns through duration management and individual bond selection rather than leveraging strategies [3]. - The strategy of left-side trading is deemed more effective in capturing excess returns, with adjustments in positions based on market fluctuations [3]. - A new bond fund managed by the company is set to launch, emphasizing the importance of stability in the liability side of the portfolio and the potential for enhancing returns through individual bond selection [4].

Core Viewpoint - The article emphasizes the importance of refined management and diversified asset allocation strategies for wealth management companies in the second quarter, particularly in response to increasing external uncertainties. Companies will focus on high-grade credit bonds, duration management, and credit risk management to stabilize net value and enhance returns [1][2]. Group 1: Investment Strategies - Wealth management companies will implement refined management and diversified asset allocation to balance net value stability and return enhancement [1]. - Companies are expected to prioritize high-grade credit bonds, complemented by interest rate bonds and convertible bonds, while optimizing duration management based on macroeconomic and market changes [2][3]. - The focus will be on managing credit risk by primarily investing in medium to high-grade credit bonds and diversifying across industries and regions to mitigate risks [2][3]. Group 2: Market Conditions and Challenges - The bond market has faced a pullback in the first quarter, leading to net value pressure on bank wealth management products, prompting companies to optimize withdrawal management strategies [2]. - External uncertainties, such as U.S. tariff policies and geopolitical conflicts, may cause significant fluctuations in global asset prices, impacting domestic equity markets negatively [3][5]. - The current low-interest-rate environment necessitates adjustments in investment strategies, with a focus on "fixed income plus" strategies and exploring diverse asset classes to enhance returns [6][7]. Group 3: Asset Allocation and Risk Management - Companies will explore multi-asset and multi-strategy combinations to effectively increase product returns while managing risks associated with market volatility [4][7]. - Emphasis will be placed on liquidity management by allocating a portion of high-liquidity bond assets to meet client redemption needs while seizing market opportunities [2][3]. - The overall asset allocation strategy will align with national strategic directions and industry development trends to improve the quality and efficiency of credit bond investments [7].