Core Viewpoint - The significant drop in U.S. non-farm employment data in July has led to increased expectations for a Federal Reserve rate cut in September, resulting in a sharp decline in U.S. Treasury yields, which enhances the value of domestic bonds [1] Group 1: Macroeconomic Environment - The 10-year U.S. Treasury yield fell by 17 basis points to 4.22%, while the 10-year domestic government bond yield decreased by 3 basis points to 1.71%, indicating potential for further monetary policy easing [1] - The macroeconomic environment suggests that the value of interest rate bonds is becoming more prominent, especially with the anticipated resumption of the Fed's rate cut cycle [1] Group 2: Ten-Year Treasury ETF (511260) - The Ten-Year Treasury ETF (511260) tracks the Shanghai Stock Exchange 10-year government bond index, with an average duration of 7.6 years [1] - Since its inception, the ETF has consistently achieved new net asset value highs, with a one-year return of 5.88%, a three-year return of 16.13%, a five-year return of 22.41%, and a cumulative return of 36.68% [1] - The ETF has maintained positive annual returns over seven complete calendar years from 2018 to 2024, positioning it as a potential asset allocation tool across market cycles [1] Group 3: Unique Advantages of the Ten-Year Treasury ETF - The ETF offers T+0 trading, allowing investors to buy and sell on the same day, which is advantageous in a low-interest, high-volatility market [2] - It features low trading fees, enhancing capital efficiency for investors [2] - The ETF provides transparency with daily published holdings, allowing investors to track their investments easily [3] - Investors can use the ETF for pledge repurchase, enabling them to access funds for other investment opportunities while retaining the ability to redeem the ETF later [3]

Core Viewpoint - The article highlights the expectation of continued moderate monetary policy, with a likelihood of interest rate cuts in the fourth quarter, potentially by 10 basis points, alongside structural support for the economy [1] Monetary Policy - The central bank is anticipated to maintain a moderately loose monetary policy, with a significant probability of interest rate cuts in Q4 [1] - The 10-year government bond yield has recently increased from 1.65% to 1.75%, indicating a slight recovery in the economic fundamentals [1] Fiscal Policy - There is considerable room for issuing government bonds and ultra-long special government bonds in the second half of the year, with an acceleration in the issuance of local government special bonds focusing on local debt and land acquisition [1] Investment Opportunity - The 10-Year Government Bond ETF (511260) has shown strong historical performance, with a one-year return of 5.88%, a three-year return of 16.13%, a five-year return of 22.41%, and a cumulative return of 36.68% since inception [1] - The ETF has maintained positive returns for each of the seven complete natural years since its establishment, making it a potential asset allocation tool across market cycles [1] Unique Advantages of the ETF - The ETF allows T+0 trading, enabling same-day buying and selling, which is beneficial in a high-volatility market [2] - It features low trading fees, enhancing capital efficiency [3] - The ETF provides transparency with daily published PCF lists [4] - Investors can use the ETF for pledge repurchase, allowing access to funds for other investments while retaining the ability to redeem the ETF later [4]

Core Viewpoint - The Shanghai 10-Year Treasury Bond Index has shown a slight decline over the past month but has increased year-to-date, indicating a mixed performance in the bond market [2]. Group 1: Index Performance - The Shanghai 10-Year Treasury Bond Index reported a decrease of 0.23% over the past month, an increase of 0.24% over the last three months, and a year-to-date increase of 0.89% [2]. - The index is composed of treasury bonds with a remaining maturity of 7 to 10 years that are listed on the Shanghai Stock Exchange, with a base date of December 31, 2008, set at 100.0 points [2]. Group 2: Bond Rating and Adjustments - The index consists entirely of unrated bonds, with a 100.00% holding in non-rated securities [2]. - The sample for the index is adjusted quarterly, with adjustments taking effect on the first trading day after the second Friday of the bond futures delivery month [2]. - New bonds that meet the criteria are added to the index starting from the day after their listing, while bonds that are suspended or delisted are removed in the next scheduled adjustment [2].

Group 1 - The core viewpoint indicates that May's inflation and export data are weak, leading to a continued loose state of interbank liquidity and a slight decline in government bond yields [1] - The U.S. inflation weakening and cooling employment have expanded expectations for Federal Reserve interest rate cuts, resulting in a significant decline in U.S. Treasury yields [1] - The 10-year Treasury yield is at 1.64%, with a change of -1.1 basis points from the previous week [1] Group 2 - There is an increasing probability of global economic recession risks due to uncertainties in the global macro environment and the Federal Reserve's monetary policy [1] - Domestic monetary policy easing is less than expected, leading to risks of rising funding prices, while the implementation of domestic growth stabilization policies is also below expectations, resulting in declining financing demand [1] - The intensification of overseas geopolitical conflicts contributes to a complex and severe global political situation, with ongoing deterioration and expansion of geopolitical tensions [1] Group 3 - The 10-year Treasury ETF (511260) employs an optimized sampling replication strategy to closely track the Shanghai Stock Exchange 10-year Treasury Index, selecting highly liquid government bonds to construct its portfolio [1] - The current average duration of the portfolio is 7.6 years, and it publishes a daily PCF list, ensuring transparency in holdings, making it suitable for medium to long-term investors seeking stable returns [1]

Quantitative Models and Construction 1. Model Name: Portfolio Optimization with 10-Year Treasury Bonds - **Model Construction Idea**: Incorporating 10-year Treasury bonds into a portfolio to optimize the risk-return profile by leveraging their low correlation with other asset classes and high Sharpe ratio[10][13][14] - **Model Construction Process**: 1. Calculate the correlation matrix between 10-year Treasury bonds and other asset classes such as A-shares, U.S. equities, and gold[13] 2. Evaluate historical performance metrics, including annualized return, volatility, maximum drawdown, Sharpe ratio, and Calmar ratio for each asset[14] 3. Add 10-year Treasury bonds to a portfolio consisting of equities and short-term bonds (e.g., CSI 300, ChiNext, 1-3 year Treasury bonds) 4. Optimize the portfolio's efficient frontier by maximizing the Sharpe ratio[15] - **Model Evaluation**: The inclusion of 10-year Treasury bonds significantly improves the portfolio's efficient frontier, enhancing the risk-return tradeoff[10][15] --- Quantitative Factors and Construction 1. Factor Name: Macro Cycle-Based Bond Performance Factor - **Factor Construction Idea**: Assessing the performance of 10-year Treasury bonds under different macroeconomic cycles to identify favorable investment periods[16][18] - **Factor Construction Process**: 1. Divide the macroeconomic environment into six stages based on monetary, credit, and growth factors[16] 2. Calculate the annualized return of 10-year Treasury bonds in each macroeconomic stage[18] 3. Use a macroeconomic scoring card to evaluate the bond's performance probability in the current stage[18] - **Factor Evaluation**: The factor indicates that 10-year Treasury bonds perform best during the late stages of economic downturns, with a recent macroeconomic probability score of 40%[16][18] --- Backtesting Results of Models and Factors 1. Portfolio Optimization with 10-Year Treasury Bonds - **Annualized Return**: 4.51%[14] - **Annualized Volatility**: 2.31%[14] - **Maximum Drawdown**: 6.86%[14] - **Sharpe Ratio**: 1.95[14] - **Calmar Ratio**: 0.66[14] 2. Macro Cycle-Based Bond Performance Factor - **Recent Macro Probability Score**: 40%[18]

Group 1 - The central bank has conducted a 1 trillion yuan three-month reverse repurchase operation to alleviate pressure on bank liabilities and improve market liquidity [1] - From March, the monthly issuance scale of 1-year, 2-year, and 3-year government bonds has rapidly increased to 170-190 billion yuan, significantly higher than the previous monthly level of about 100 billion yuan, easing the demand for banks to "grab bonds" in the secondary market [1] - The central bank's recent warming attitude, through visible medium to long-term fund injections and stabilizing market fluctuations, is expected to lead major banks to gradually increase short-term bond allocations, promoting interest rate spread recovery [1] Group 2 - The ten-year government bond ETF (511260) has seen significant growth in scale and liquidity, with a net inflow exceeding 2.2 billion yuan for five consecutive days and nearly 5 billion yuan over the past ten days [2] - The ETF tracks the Shanghai Stock Exchange 10-year government bond index (H11077), which reflects the overall performance of China's long-term government bond market, focusing on fixed-rate government bonds with a remaining maturity of 9 to 10.25 years [2] - The index components have high credit ratings and liquidity, providing investors with a benchmark for measuring long-term government bond market yield fluctuations [2]