证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 08 月 22 日 基于卡玛比率的低收益高波动下债市应对策略 ——债市策略思考 核心观点 债市仍偏逆风，但低收益高波动的另一面是"错误定价"频现，建议投资者"低仓位 +高胜率"做好防守反攻，快进快出博弈超跌反弹机会。 ❑ 2025 年以来债市处于低收益、高波动状态 不同于过去一年债市的高收益、高波动状态，2025 年以来债市已进入低收益、高 波动状态：一方面，2025 年以来 10 年国债收益率波动明显加大；另一方面，从 基金业绩表现来看，2025 年以来基金回报率较往年有所下降。 ❑ 如何评价基金投资的性价比？ 分析师：郑莎 执业证书号：S1230524080012 zhengsha@stocke.com.cn 相关报告 1 《赎回潮行情何时至右侧？》 2025.08.20 2 《探析"反内卷"行情对利率 中枢的影响》 2025.08.18 3 《转债延续上涨，关注产业趋 势》 2025.08.17 （1）卡玛比率比夏普比率更能反映真实风险，但二者需结合使用。夏普比率更适 用于中短债及纯债类波动小，回撤较低的基金，而 ...

Core Insights - The performance of ordinary equity funds in the first half of 2025 shows significant differentiation, with pharmaceutical-themed funds demonstrating a comparative advantage in both returns and risk control [1][2] - The Calmar Ratio indicates a stark contrast in investor experience, with pharmaceutical funds dominating the top rankings [1][2] Performance of Pharmaceutical Funds - The top 10 pharmaceutical funds achieved an average return of 52.75%, with Huaan Pharmaceutical Biotechnology A leading at 65.03% [2] - These funds exhibited effective drawdown control, with maximum drawdowns ranging from -9.90% to -15.82%, outperforming the industry average [2] - Huaan Pharmaceutical Biotechnology A has a Calmar Ratio of 14.60, indicating a significant risk-return advantage, while Zhongyin Health A and Fuguo Pharmaceutical Innovation A also showed strong performance with Calmar Ratios of 13.38 and 11.08, respectively [2][4] Underperformance of Technology and Low-Carbon Funds - Funds focused on technology and low-carbon themes displayed a mismatch between returns and risks, characterized by low returns and high drawdowns [2][4] - The bottom 10 funds had an average return of only 3.04% with maximum drawdowns reaching -30.77% [2][3] Comparison of Fund Performance - The worst-performing fund, Invesco Great Wall Quality Growth A, had a Calmar Ratio of 0.22, with a maximum drawdown of -30.77% for a mere 3.21% return [3][4] - The average Calmar Ratio of the bottom three funds was 0.24, indicating significant risk control shortcomings [4] Defensive Characteristics of Pharmaceutical Sector - The defensive nature of the pharmaceutical sector, supported by essential consumption and policy backing, provides a natural buffer against market volatility [4] - High Calmar Ratio pharmaceutical funds tend to have smaller asset sizes (1-10 billion), allowing for more flexible adjustments, while larger funds like Invesco Great Wall Research Select A (31.77 billion) face strategic implementation constraints [4] Importance of Risk-Adjusted Metrics - The data from the first half of 2025 emphasizes that solely pursuing high returns may obscure potential risks [5] - Investors are advised to focus on risk-adjusted return metrics like the Calmar Ratio, particularly for funds with returns below 5% but drawdowns exceeding 20% [5]

扫码进入基本功专栏 用卡玛比率比较 固收+产品,要注意啥? 卡玛比率是年化收益率与 最大回撤的比率。 通常指标越高,表明产品在控制最大回撤提前下, 有更好的收益,适用于既看收益、又对回撤敏感的 产品,如固收+。使用需注意: 基本功的基,就是基金的基。 做好投资、买对基金, 从夯实投资基金的基本功开始。 1分钟GET一个知识点, 起步更轻松。 宠粉节超宠你！ 持有人来就能抽奖，100%有礼！ 大疆口袋相机、金元宝、Labubu 盲盒 库存充裕！！ 本材料不构成投资建议，观点具有时效性。本公司承诺以诚实信用、勤勉尽责的原则管理和运用基金资产，但不 保证基金一定盈利，也不保证最低收益。投资有风险，基金过往业绩不代表其未来表现。基金管理人管理的基金 的业绩不构成对其他基金业绩表现的保证。投资者投资基金时应认真阅读基金的基金合同、招募说明书、基金产 品资料概要等法律文件。基金管理人提醒投资者基金投资的"买者自负"原则，请投资者根据自身的风险承受能力 选择适合自己的基金产品。基金有风险，投资须谨慎。 ...

Core Viewpoint - Enhancing investor experience in fund investments is a core task for fund investors and managers, increasingly emphasized by regulators [2] Summary by Relevant Sections Investment Performance - Focusing solely on performance results is insufficient; absolute returns significantly impact investor experience, while relative returns are less critical in a positive return environment [4] - Historical performance can obscure the volatility experienced during the investment period, making the timing of investment crucial for the overall experience [4] Risk Assessment - Various risk indicators exist, such as volatility and maximum drawdown, which reflect the fluctuations in net value; different investors perceive risk differently [7] - For investors focused on retirement products, evaluating funds based on cost-effectiveness from a risk-return perspective is recommended [7] Dimensions Affecting Investor Experience - The overall investor experience, particularly for conservative investors, should encompass several dimensions, including: - **Return Dimension**: Performance over different time frames (1 year, 2 years, etc.) - **Risk Dimension**: Volatility, correlation with the market (Beta), maximum drawdown, recovery time from maximum drawdown, daily positive return rate - **Risk-Adjusted Return Dimension**: Sharpe ratio, Calmar ratio, information ratio - **Fund Manager Capability Dimension**: Strategic allocation, industry allocation, timing ability, security selection ability - **Manager Investment Service Dimension**: Responsiveness, coverage, satisfaction, companionship [9][10] Case Study: Focus on Investor Experience in Retirement FOF - The "Zhongtai Furu Stable Retirement One-Year Holding FOF" was analyzed to illustrate how a retirement-targeted FOF can prioritize investor experience while achieving investment results [12] - As of April 30, 2025, the fund's net value growth rate was 5.08%, outperforming its benchmark growth rate of 4.80% and the Wande Bond Mixed FOF Index return of 4.36% [13] - The fund's daily positive return probability was 64.04%, significantly higher than the average of 51.92% for similar products, enhancing investor experience [13][14] - The fund's maximum drawdown was -1.96%, compared to -2.91% for the Wande Bond Mixed FOF Index, indicating better risk management [13][14] - The Calmar ratio for the fund was 2.49, higher than the Wande Bond Mixed FOF Index's 1.36 and the CSI 300's 0.40, demonstrating superior returns per unit of drawdown risk [14]