1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Measuring the duration of bond funds helps investors assess risks and estimate risk - return characteristics, including annualized returns and net - value changes during interest - rate fluctuations. In a volatile interest - rate market, long - duration bond funds face greater price - fluctuation risks, while short - duration ones are more stable [2][16]. - Over the past three years, the overall duration of funds has been on an upward trend. In a low - interest - rate environment, fund managers have increased allocations to long - duration interest - rate bonds to lock in higher returns. There is a significant negative correlation between duration changes and the 10 - year Treasury yield [4]. 3. Summary by Relevant Catalogs 3.1. Duration Essence Re - cognition - Duration is an approximate indicator of a bond's sensitivity to interest - rate changes, representing the approximate percentage change in value for a 100 - basis - point interest - rate change, which determines interest - rate risk exposure. It can also be seen as a measure of time, quantifying the sensitivity of bond prices to interest - rate changes by calculating the weighted cash - flow recovery time [1][13]. - Modified duration is the approximate percentage change in bond price for a 100 - basis - point yield change under the assumption of constant expected cash flows [1][13]. 3.2. Bond Fund Duration Calculation Methods - The three mainstream methods for calculating bond fund duration are the top - holding weighted method, the interest - rate sensitivity method, and the asset - portfolio method. In high - frequency calculation scenarios, the asset - portfolio method is the most mainstream and has the best comprehensive performance [16][17]. 3.3. Bond Fund Duration Estimation Steps 3.3.1. Sample Selection - Select mid - long - term and short - term pure - bond funds according to the Wind fund classification standard, excluding funds with less than 1 - year data, amortized - cost - valuation funds, and non - original funds. The observation period is from early 2017 to the present [18][19][20]. 3.3.2. Duration Calculation - Based on top - holdings: Calculate the weighted - average duration using the top five heavy - holding bonds in the fund report, but this method may have large deviations [22][23]. - Based on interest - rate sensitivity: Derive the fund's duration from the interest - rate risk analysis in the fund report, but the data frequency is low [24]. - Asset - portfolio method: Use factor - return regression to estimate the duration of pure - bond funds. Set non - negative constraints and a coefficient - sum constraint to ensure the rationality of the results [28][29][30]. 3.3.3. Model Selection - The least absolute deviation regression (LAD) is chosen as the core regression method for daily duration estimation of bond funds to ensure the robustness and interpretability of the model output [39]. 3.3.4. Factor Processing - Select a factor system covering interest - rate and credit - bond index factors. Use the variance inflation factor (VIF) analysis to screen factors and remove variables with significant multicollinearity [40][42]. 3.4. Bond Fund Duration Calculation and Tracking 3.4.1. Pure - Bond Fund Duration Calculation - The calculated duration is generally consistent with the reported duration. From 2017 to 2025, the average and median durations of pure - bond funds were relatively stable, while the maximum duration increased significantly. The median duration of pure - bond funds and the 10 - year Treasury yield were mostly negatively correlated [45][48][50]. 3.4.2. Mid - Long - Term vs. Short - Term Bond Fund Duration Calculation - The durations of mid - long - term and short - term pure - bond funds generally moved in the same direction, with the former having a larger fluctuation range. The duration of mid - long - term pure - bond funds showed obvious stratification, while that of short - term ones was more concentrated [57][59]. 3.4.3. Interest - Rate Bond vs. Credit - Bond Fund Duration Calculation - The durations of both credit - bond and interest - rate bond funds showed an upward trend, with the latter having a larger increase. Both types of funds' durations were negatively correlated with the 10 - year Treasury yield, and the interest - rate bond funds' duration adjustment was more sensitive [79][81][93]. 3.4.4. Single - Fund Duration Calculation - Taking "Huatai Baoxing Anyue A" as an example, the regression result was basically consistent with the reported data. The fund's duration increased significantly after June 2023 [100].

Core Insights - The article focuses on interest rate bond ETFs, which are favored by conservative investors due to their low credit risk backed by government credit [4][5] - There are currently 16 interest rate bond ETFs in the market, with a total scale exceeding 95.4 billion yuan, primarily consisting of treasury bonds and policy financial bonds [4][6] Summary by Category Interest Rate Bond ETFs - Interest rate bond ETFs are investment products that hold a basket of "interest rate bonds," allowing investors to own multiple bonds through a single ETF [2] - The underlying assets of these ETFs mainly include treasury bonds, local government bonds, and policy financial bonds, which are considered to have low default risk [5] Market Overview - The total scale of interest rate bond ETFs in the market is over 95.4 billion yuan, with treasury bonds and policy financial bonds accounting for approximately 36 billion yuan and 49 billion yuan, respectively [4] - Among the seven treasury bond ETFs, two have scales exceeding 5 billion yuan, tracking the China Bond 30-Year Treasury Wealth Index and the Shanghai 30-Year Treasury Index [4][6] Specific ETFs and Their Characteristics - The largest treasury bond ETF is the 30-Year Treasury ETF, with a fund size of 17.76 billion yuan, tracking the China Bond 30-Year Treasury Wealth Index [6] - The article provides detailed tables of various ETFs, including their securities codes, names, tracking indices, and fund sizes, highlighting the diversity in the market [6][8][11] Duration and Sensitivity - Duration and modified duration are critical metrics for assessing the sensitivity of bond prices to interest rate changes, with longer durations indicating higher sensitivity [12] - The article emphasizes the importance of considering duration-related metrics when selecting interest rate bond ETFs, as they relate to the interest rate risk of the products [12][13]