Group 1 - The report aims to track large purchases and net active purchases through transaction detail data, building relevant indicators [1] - The top five industries for large purchases in the last five trading days are: Banking, Real Estate, Steel, Comprehensive, and Textile & Apparel [2] - The top five industries for net active purchases in the last five trading days are: Banking, Transportation, Pharmaceuticals, Real Estate, and Oil & Petrochemicals [2] Group 2 - The top five ETFs for large purchases in the last five trading days are: Guotai CSI A500 ETF, Guotai SSE 10-Year Treasury ETF, Harvest S&P Oil & Gas Exploration and Production Selected Industry ETF, Southern Growth Enterprise Board AI ETF, and Hai Futong SSE Urban Investment Bond ETF [2] - The top five ETFs for net active purchases in the last five trading days are: Guotai SSE 10-Year Treasury ETF, E Fund CSI 300 Non-Bank ETF, Yinhua SSE Sci-Tech Innovation Board 100 ETF, Huabao CSI Nonferrous Metals ETF, and Penghua CSI Liquor ETF [2]

Core Viewpoint - As of October 28, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 121.01 billion yuan, reflecting an increase of 3.384 billion yuan from the previous trading day [1] Group 1: ETF Financing and Margin Balances - The ETF financing balance stood at 112.807 billion yuan, up by 3.33 billion yuan compared to the previous trading day [1] - The ETF margin short balance was recorded at 8.203 billion yuan, which is an increase of 0.054 billion yuan from the previous trading day [1] Group 2: Net Inflows in ETFs - On October 28, 312 ETFs experienced net financing inflows, with the top net inflow being 1.268 billion yuan for the Fortune China Government Bond 7-10 Year Policy Financial Bond ETF [1] - Other ETFs with significant net inflows included the Hai Fu Tong China Securities Short-term Bond ETF, Bosera China Government Bond 0-3 Year Development Bank ETF, Guotai China Securities 5-Year Government Bond ETF, Guotai China Securities 10-Year Government Bond ETF, Huaan Gold ETF, and E Fund ChiNext ETF [1]

Core Viewpoint - As of October 20, the total margin balance for ETFs in the Shanghai and Shenzhen markets is 115.678 billion yuan, showing a decrease of 0.244 billion yuan from the previous trading day [1] Group 1: ETF Financing and Margin Data - The ETF financing balance stands at 107.929 billion yuan, down by 0.332 billion yuan compared to the previous trading day [1] - The ETF margin short balance is 7.749 billion yuan, which has increased by 0.088 billion yuan from the previous trading day [1] Group 2: Net Buy Data - On October 20, 269 ETFs experienced net financing purchases, with the top net purchase being the Fortune China Government Bond 7-10 Year Policy Financial Bond ETF, which saw a net buy of 0.251 billion yuan [1] - Other ETFs with significant net financing purchases include the Pengyang China Government Bond 30-Year ETF, the E Fund Hong Kong Securities Investment Theme ETF, the Guotai Shanghai 10-Year Government Bond ETF, the Harvest Shanghai STAR Market Chip ETF, the E Fund ChiNext ETF, and the Fortune CSI 1000 ETF [1]

- The report analyzes the investment value of the Guotai SSE 10-Year Treasury Bond ETF, highlighting its advantages in terms of low fee rates, high transparency, and efficient tracking of the SSE 10-Year Treasury Bond Index[4][8][50] - The SSE 10-Year Treasury Bond Index (code: H11077.SH) is a bond index launched by the Shanghai Stock Exchange on March 7, 2013. It is composed of treasury bonds with remaining maturities between 6.5 and 10.25 years, calculated using a market capitalization-weighted method to reflect the overall price trend of treasury bonds in this maturity range[45][46][47] - The Guotai SSE 10-Year Treasury Bond ETF tracks the SSE 10-Year Treasury Bond Index, investing at least 90% of its net assets in the index's constituent bonds and alternative constituent bonds. The ETF aims to replicate the index's performance with minimal tracking error, providing investors with a convenient way to access a basket of high-credit-quality, liquid medium- to long-term treasury bonds[50][51][54] - The ETF demonstrates strong performance metrics: annualized return of 3.81%, annualized volatility of 2.65%, IR of 1.44, monthly win rate of 71.13%, and maximum drawdown of 3.79%. Relative to its benchmark, it achieves an annualized excess return of 2.20%, excess volatility of 0.59%, excess IR of 3.72, excess monthly win rate of 93.81%, and excess maximum drawdown of 0.73%[59][63][62] - The ETF's historical excess performance is consistently positive, with monthly excess win rates of 100% since 2021 and zero monthly excess drawdowns during the same period. For example, in 2021, the excess IR reached 13.42, and in 2023, it further improved to 21.22[63][62][59]

Core Viewpoint - As of September 16, the total margin balance of ETFs in the Shanghai and Shenzhen markets reached 115.76 billion yuan, reflecting an increase of 3.448 billion yuan from the previous trading day [1] Group 1: ETF Financing and Margin Data - The ETF financing balance was 107.794 billion yuan, up by 3.321 billion yuan compared to the previous trading day [1] - The ETF margin short balance stood at 7.966 billion yuan, increasing by 0.127 billion yuan from the previous trading day [1] Group 2: Top Performing ETFs - On September 16, 265 ETFs experienced net financing inflows, with the top performer being the Fortune China Government Bond 7-10 Year Policy Financial Bond ETF, which saw a net inflow of 1.303 billion yuan [1] - Other notable ETFs with significant net financing inflows included the Bosera China Government Bond 0-3 Year Development Bank ETF, Hai Fu Tong CSI Short-term Bond ETF, Guotai CSI 5-Year Government Bond ETF, Pengyang China Government Bond 30-Year ETF, Guotai CSI 10-Year Government Bond ETF, and Huaan Gold ETF [1]

Core Viewpoint - As of August 19, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 106.27 billion yuan, reflecting an increase of 2.914 billion yuan from the previous trading day [1] Group 1: ETF Financing and Margin Balances - The ETF financing balance stood at 99.855 billion yuan, up by 2.877 billion yuan compared to the previous trading day [1] - The ETF margin short-selling balance was recorded at 6.415 billion yuan, which is an increase of 0.037 billion yuan from the previous trading day [1] Group 2: Net Inflows in ETFs - On August 19, a total of 239 ETFs experienced net financing inflows, with the top net inflow being 1.444 billion yuan for the Fortune China Government Bond 7-10 Year Policy Financial Bond ETF [1] - Other ETFs with significant net inflows included the Hai Fu Tong CSI Short-term Bond ETF, Bosera 0-3 Year National Development Bank ETF, Pengyang 30-Year National Bond ETF, Guotai CSI All-Share Securities Company ETF, and Guotai Shanghai Stock Exchange 10-Year National Bond ETF, each with net inflows exceeding 100 million yuan [1]

Core Insights - As of August 18, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 103.356 billion yuan, an increase of 3.208 billion yuan from the previous trading day [1] - The financing balance for ETFs was 96.978 billion yuan, up by 3.07 billion yuan, while the margin short balance was 6.378 billion yuan, increasing by 0.138 billion yuan [1] ETF Financing Activity - On August 18, 259 ETFs experienced net financing inflows, with the top net inflow recorded by the Fuguo Zhongzhai 7-10 Year Policy Financial Bond ETF, which saw a net inflow of 1.077 billion yuan [1] - Other ETFs with significant net inflows included the Guotai Shanghai Stock Exchange 5-Year Government Bond ETF (net inflow of 276 million yuan), Haifutong Zhongzhai Short-term Bond ETF (net inflow of 256 million yuan), and Haifutong Shanghai Stock Exchange Urban Investment Bond ETF (net inflow of 222 million yuan) [1] - Additional ETFs with notable net inflows were the Pengyang Zhongzhai 30-Year Government Bond ETF (net inflow of 166 million yuan), Guotai Shanghai Stock Exchange 10-Year Government Bond ETF (net inflow of 124 million yuan), and Yifangda Zhongzhai Overseas Internet ETF (net inflow of 98 million yuan) [1]

Core Viewpoint - As of August 8, the total margin balance of ETFs in the Shanghai and Shenzhen markets reached 102.3 billion yuan, reflecting a slight increase from the previous trading day [1] Group 1: ETF Financing and Margin Data - The financing balance of ETFs was 95.841 billion yuan, which increased by 0.41 billion yuan compared to the previous trading day [1] - The margin balance for ETF short selling was 6.459 billion yuan, showing a decrease of 0.14 billion yuan from the previous trading day [1] Group 2: Net Inflows in ETFs - On August 8, 190 ETFs experienced net inflows, with the top net inflow being 107 million yuan for the Fortune China Government Bond ETF [1] - Other ETFs with significant net inflows included Hai Fu Tong China Short-term Bond ETF (93.089 million yuan), Guangfa Hong Kong Innovative Drug ETF (81.624 million yuan), and others, with net inflows ranging from 47.856 million yuan to 61.980 million yuan [1]

Report Industry Investment Rating No information provided. Core Viewpoints of the Report - The bond bull market is not over yet as the economic recovery pace is slowing down, inflation has limited upward elasticity, and the growth of social financing is weakening in the second half of 2025 [1][15]. - In the context of a long - term low - interest - rate environment and low credit spreads in China, the duration strategy becomes crucial in bond investment, and 10 - year treasury bonds are a relatively balanced choice [2]. - It is advisable to invest in long - duration treasury bond ETFs. Bond - type passive products are in the fast lane of development, and the 10 - year treasury bond ETF is a powerful tool for investors [3]. Summary by Relevant Catalogs 1. Observing the Situation: Economic Recovery Pace Slows Down, Bond Bull Market Continues - **2025 H1 Bond Market Performance**: The bond market first declined and then rose, with the turning point in March. From the beginning of the year to mid - March, it adjusted significantly due to exchange - rate stabilization and tight funds. In late March, it recovered due to tariff frictions. In April and May, it was affected by the central bank's double cuts and the Geneva talks, showing an overall oscillatory upward trend. In June, it oscillated downward and strengthened slightly with the central bank's signal of liquidity support [1][12][13]. - **2025 H2 Economic Outlook**: The economic recovery slope is likely to slow down, mainly because the "export rush" in H1 may lead to an overdraft effect on H2 exports, consumption may lose policy support, and the real - estate investment has not shown significant improvement. Prices are at the bottom with limited upward elasticity, and the social financing stock growth rate is likely to decline in Q3 and Q4 [15][21][22]. 2. Trend: Low - Interest - Rate Environment, Duration is King - **Long - Term Low - Interest - Rate Environment**: China's economic transformation and demographic changes are likely to lead to a long - term low - interest - rate environment. The decline in the traditional economic driving forces and the imbalance between capital supply and demand caused by population aging are the main reasons [28]. - **Importance of Duration Strategy**: In a low - interest - rate environment, adding long - duration bonds is the core to obtain term premiums. Compared with short - term and ultra - long - term treasury bonds, 10 - year treasury bonds have relatively balanced performance in terms of return and risk. Among different bond types, treasury bonds have advantages in terms of tax and liquidity [2][31][40]. 3. Seizing the Opportunity: Allocating Long - Duration Treasury Bond ETFs - **Development of Bond ETFs**: The performance gap between active and passive bond products is narrowing, and the bond - type passive products are in a golden development period. The scale of bond ETFs has reached new highs this year. Compared with overseas markets, domestic bond ETFs have broad development space [3][44][45]. - **Advantages of Bond ETFs**: Bond ETFs have lower fees, higher transparency, and more flexible trading mechanisms. They support T + 0 trading, can be leveraged through pledge, and have lower management and custody fees [3][50]. - **10 - Year Treasury Bond ETF**: It is the only 10 - year treasury bond ETF in the domestic market, providing a powerful tool for investors to invest in 10 - year treasury bonds. Managed by Wang Yu and Wang Zhenyang, it has excellent historical performance and good liquidity [3][57][60]. - **Cathay Fund**: As an ETF pioneer, Cathay Fund has a rich variety of ETF products, covering different asset classes. As of July 18, 2025, it has 69 ETFs with a total scale of 186.626 billion yuan, providing investors with a wide range of choices [66].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The bond market is still in a long - position channel in the second half of 2025. The exchange - rate constraint has weakened significantly. With the coordinated efforts of monetary and fiscal policies, liquidity is expected to remain loose. The decline in institutional liability costs is expected to bring incremental funds to the bond market. The weak economic fundamentals suggest a low possibility of short - term fiscal policy intensification, and inflation improvement may occur in the fourth quarter [1]. - The allocation value of 10 - year treasury bonds is prominent. They are suitable for asset allocation, with better market depth and breadth. Compared with medium - short - term and ultra - long - term treasury bonds, they have advantages in duration and risk - return ratio [1]. - The Shanghai Stock Exchange 10 - year Treasury Bond Index can connect treasury bond futures and spot markets. It has high return stability, low volatility, and low risk [1]. - The Guotai Shanghai Stock Exchange 10 - year Treasury Bond ETF has investment value, including low fees, good tracking effect, scarcity, diverse trading mechanisms, and excellent investment performance [1]. 3. Summary by Directory 3.1 Bond Market Review and Future Outlook 3.1.1 Review of the Interest - Rate Bond Market in the First Half of 2025 - The yield curve of treasury bonds first experienced a "bear - flat" and then a "bull - flat" trend. In Q1 2025, long - term bonds corrected due to tightened funds and bank liability pressure. In April 2025, the bond market quickly turned bullish. From May to June 2025, after the yield declined to a low level, the focus was on exploring spreads [7]. - The bond market in 2025 has three new features: the central bank's policy rate is the bottom of the money market; short - term bonds perform weakly, and long - term bonds are difficult to trade; the overall fundamentals are stable, but tariff pulses have a large impact [13]. 3.1.2 The Bond Market Remains in a Long - Position Channel in the Second Half of 2025 - Liquidity is expected to remain loose in July. The decline in institutional liability costs will bring incremental funds to the bond market, including the reset of bank time deposits and the potential reduction of insurance product preset interest rates [17][21]. - The weak economic fundamentals suggest a low possibility of short - term fiscal policy intensification. Inflation may bottom out in the third quarter, and improvement may occur in the fourth quarter. The bond market is still in a long - position window, but the odds are limited, and the current trading logic may continue to focus on exploring spreads [1][29]. 3.1.3 The Allocation Value of 10 - Year Treasury Bonds is Prominent - 10 - year treasury bonds are suitable for asset allocation as their pricing is based on fundamentals, and their pricing logic is different from that of stocks and commodities [37]. - The 10 - year treasury bond market has better depth and breadth, with large scale, wide participation, high trading activity, and a good futures - spot linkage effect. Its market position may be further consolidated in the future [45]. - Compared with medium - short - term treasury bonds, 10 - year treasury bonds have duration offensive advantages and a coupon safety cushion. Compared with ultra - long - term treasury bonds, they have a better risk - return ratio [49][57]. 3.2 Shanghai Stock Exchange 10 - Year Treasury Bond Index: A Bridge Connecting Treasury Bond Futures and Spot Markets 3.2.1 Index Compilation Scheme - The index was launched on March 7, 2013. Its sample bonds are treasury bonds listed on the Shanghai Stock Exchange with a remaining maturity between 6.5 and 10.25 years. It uses market - value weighting to reflect the overall performance of treasury bonds in the corresponding maturity range in the Shanghai market [64]. - The specific compilation scheme includes sample bond selection, index calculation, and sample adjustment (regular and temporary adjustments) [67]. 3.2.2 Basic Index Features - The index has high return stability, low volatility, and low risk. Since the base period, its cumulative return has reached 85.76%, with an annualized return of 4.82%, a maximum drawdown of - 6.86%, and an annualized volatility of 2.87% [71]. - All sample bonds are deliverable bonds for T contracts. The index has high concentration, and its duration is generally between 7 and 7.4 years, currently at 7.61 years [74][78]. 3.3 Guotai Shanghai Stock Exchange 10 - Year Treasury Bond ETF 3.3.1 Basic Information - The fund was established on August 4, 2017, by Guotai Fund, with Wang Yu and Wang Zhenyang as fund managers. As of July 18, 2025, its scale is 15.547 billion yuan. The management fee and custody fee are 0.15% and 0.05% respectively [80]. - It is one of the bond funds with the lowest fees, and as an on - exchange product, it does not charge subscription or redemption fees [83]. 3.3.2 Investment Method - The fund mainly invests in the constituent treasury bonds and alternative constituent treasury bonds of the target index (with a proportion of not less than 90% of the fund's net asset value). It uses an optimized sampling replication method to track the target index, aiming for an annualized tracking error of no more than 2%. Since its establishment, the annualized tracking error has been 1.43% [84][87]. 3.3.3 The Only Product Tracking the Shanghai Stock Exchange 10 - Year Treasury Bond Index in the Market - Currently, most domestic interest - rate bond index funds cover policy - financial bond indices, and long - duration interest - rate bond indices and treasury bond indices are relatively scarce. The Guotai Shanghai Stock Exchange 10 - Year Treasury Bond ETF is the only product tracking the Shanghai Stock Exchange 10 - year Treasury Bond Index, with scarcity [91]. 3.3.4 Trading Mechanism - The fund can be traded on the secondary market, and its IOPV is publicly announced, supporting T + 0 trading. It has sufficient liquidity, and the deviation between IOPV and trading price is low [97]. - The fund also supports physical redemption and has a pledge - repurchase business, with a current conversion ratio of about 94.48%, which meets the refinancing needs of investors [102]. 3.3.5 Investment Performance - Since its establishment, the fund has an annualized return of 4.01%, a maximum drawdown of - 4.56%, an annualized volatility of 2.45%, a Calmar ratio of 0.88, and a Sharpe ratio of 1.03. It has achieved positive returns for six consecutive years, and its maximum annual drawdown is generally no more than 3% [103]. - In the past three years, its return has led 92.30% of interest - rate bond index funds [107]. 3.4 Fund Manager Information 3.4.1 Fund Manager Introduction - Guotai Fund was established in March 1998, one of the first batch of standardized fund management companies in China. It has a complete product line and various business qualifications, with a total asset management scale of 114.34 billion yuan [111]. 3.4.2 Fund Manager Introduction - Wang Yu has a master's degree, joined Guotai Fund in January 2016, and currently manages 10 products with a total scale of 23.148 billion yuan [112]. - Wang Zhenyang has a master's degree, joined Guotai Fund in December 2024, and currently manages 4 products with a total scale of 23.302 billion yuan [115].