Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - In June, the bond market generally rose, with ultra-long bonds showing prominent gains. Without considering coupon income, from an industry perspective, bonds in the transportation industry had a relatively high net price increase, with a monthly increase of 0.12%, indicating a certain alpha. In terms of maturity, there was positive alpha in government bonds and local government bonds with a maturity of over 10 years in June. From a subordinated perspective, commercial bank subordinated bonds had obvious alpha in June [1][10]. Summary by Directory 1. Overview of Yields of Various Bond Types - In June, the bond market generally rose. For interest rate bonds, the yields of all interest rate bonds declined. The average yields of government bonds, policy bank bonds, and local government bonds declined by 7BP, 5BP, and 5BP respectively. For credit bonds, the yields of almost all credit bond types declined. Among them, the 20-year urban construction investment bonds with an implied rating of AA+ had the largest decline in yield, with an average decline of 17BP [1][11]. - As of June 30, the historical percentile levels of interest rate bond yields were relatively high, with most interest rate bond types having a three-year historical percentile level of over 6%. The 30-year policy bank bond had the highest three-year historical percentile level of 9.6%. For credit bonds, the historical percentile levels of most credit bond yields were low, below 3%. However, some credit bond types had relatively high historical percentile levels, such as the 7-year AA- second-tier capital bonds and 7-year AA securities company bonds, with historical percentiles of 15.2% and 14.7% respectively [14]. 2. Industry Alpha Tracking - In June, all industry credit bonds rose, with an average net price increase of 0.07%. Among them, bonds in the transportation industry had a relatively high net price increase, with a monthly increase of 0.12%, indicating a certain alpha. Urban construction investment bonds and real estate bonds had an average net price increase of 0.03%, which were relatively small increases [1][15]. - In the real estate bond sector, in June, AAA-rated and public enterprise real estate bonds had obvious positive alpha, while AA+-rated real estate bonds had negative alpha. Specifically, the average net price increase of AAA real estate bonds was 0.04%, significantly higher than other real estate bond types. Public enterprise bonds had an average increase of 0.12%, higher than real estate bonds of other enterprise types. AA+ real estate bonds had an average net price decline of 0.01%, the only declining real estate bond type. In terms of specific bonds, the bonds of Longfor Group had a net price increase of over 2%, while the bond H20 Hejing 6 had a net price decline of 3.79% [19]. - For urban construction investment bonds, in June, different types of urban construction investment bonds had different price movements. Regionally, urban construction investment bonds in Guangxi declined by 0.07% in a single month, the most significant decline, indicating obvious negative alpha. Urban construction investment bonds in Hebei and Xinjiang had relatively high increases, with an average increase of 0.14%. In terms of ratings, AA- urban construction investment bonds had negative alpha, with an average net price decline of 0.13%, significantly lower than other rated urban construction investment bonds [26]. - In the financial bond sector, in June, private enterprise financial bonds had a relatively significant net price decline, with an average monthly decline of 0.03%, the only declining financial bond type, indicating negative alpha. The bonds with relatively high increases in June were 24 Kunpeng Investment MTN003, 25 Kunpeng Investment MTN001B, and 23 CATIC Finance 08, with net price increases of 3.06%, 3.06%, and 2.36% respectively. The bonds with relatively high declines were 21 Shenzhen Jusheng 01 and 20 Shenzhen Jusheng 01, with net price declines of 7.2% and 10.59% respectively [28]. 3. Maturity Alpha Tracking - In June, government bonds and local government bonds with a maturity of over 10 years had positive alpha. Data showed that government bonds with a maturity of over 10 years rose by 1.1% and local government bonds rose by 0.93%, significantly higher than other interest rate bond types. The main reason was that ultra-long interest rate bonds had the advantage of duration leverage, and the decline in yields led to a more significant increase in prices [2][33]. - Among long-term representative bonds, the ultra-long credit bond 24 Chengtong Holdings MTN009B had the highest monthly increase of 3.63% [37]. 4. Subordinated Alpha Tracking - In June, commercial bank subordinated bonds had positive alpha. Data showed that commercial bank subordinated bonds had an average increase of 0.05%, higher than commercial bank ordinary bonds and subordinated bonds. The alpha of commercial bank subordinated bonds mainly came from the significant decline in the yields of 7-year and 10-year commercial bank second-tier capital bonds and perpetual bonds. Although the yields of 20-year and 30-year commercial bank ordinary bonds declined more significantly, due to the small scale of ultra-long commercial bank bonds, the decline in yields had little impact on the overall price movement [2][39]. 5. June Public Bond Fund Ranking - In June, hybrid bond funds of the second category had the highest average increase among public bond funds. The average increase of hybrid bond funds of the second category was 1.04%, followed by hybrid bond funds of the first category with an average increase of 0.57%, medium- and long-term pure bond funds with an average increase of 0.29%, and short-term pure bond funds with an average increase of 0.18% [2][40]. - The top five medium- and long-term pure bond funds in terms of increase in June were Huarun Yuanda Runxiang Three-Month Fixed-Term Open A, Pengyang Chunxi One-Year Fixed-Term Open, Huataibaoxing Zunyi Interest Rate Bond 6-Month Holding A, Pengyang Chunli Regularly Open A, and Minsheng Jiayin Hengyu [46]. - The top five short-term pure bond funds in terms of increase in June were Tianhong Yueyuebao 30-Day Holding A, Baoying Ansheng Medium- and Short-Term Bond A, Zheshang Huijin Shuangyuexin 60-Day Rolling Medium- and Short-Term Bond A, Great Wall Short-Term Bond A, and Zheshang Huijin Yuexiang 30-Day Rolling Holding A [47]. - The top five hybrid bond funds of the first category in terms of increase in June were Great Wall Active Income Enhancement A, Everbright Medium- and High-Grade A, Tianhong Tianli E, Golden Eagle Add Interest Medium- and Long-Term Credit Bond A, and Minsheng Jiayin Xinxiang A [48]. - The top five hybrid bond funds of the second category in terms of increase in June were Golden Eagle Yuanfeng C, Huabao Enhanced Income A, China Merchants Anrui Enterprising C, Caitong Income Enhancement C, and Minsheng Jiayin Enhanced Income A [49].

Report Industry Investment Rating - Not provided in the given content Core View - In May, the bond market showed differentiation. Interest rate bonds mostly had rising yields, while credit bonds generally had falling yields. There was no obvious α in the industry dimension of credit bonds, a significant negative α in 10 - year - plus treasury bonds, and a certain α in insurance company bonds. Among public bond funds, hybrid bond - type secondary funds had the leading average increase in May [1][2][10]. Summary by Relevant Catalogs 1. Each Variety Yield Panorama - In May, the bond market performance was differentiated. For interest rate bonds, the yields of treasury bonds and China Development Bank bonds increased by an average of 4BP, and the yields of local government bonds decreased by an average of 1BP. For credit bonds, almost all credit bond varieties had falling yields, with the 7 - year, AA + and below implicit - rated commercial bank ordinary bonds having the largest yield decline of 19BP on average [11]. - As of May 31, the historical percentile levels of interest rate bond yields were relatively high, especially for short - term varieties. Most interest rate bond varieties had a three - year historical percentile level of over 8%, and the 1 - year treasury bond had the highest three - year historical percentile of 20%. For credit bonds, low - grade long - term financial bond varieties had relatively high historical percentile levels of yields, with the 7 - year, 10 - year, and 5 - year AA - bank secondary capital bonds having the top three percentile levels of 18%, 17%, and 15% respectively [13]. 2. Industry Alpha Tracking - In the industry dimension, credit bonds in various industries generally rose in May, with an average net - price change of 0.14%. The increases in each industry were relatively balanced, and there was no obvious α. The mining and financial industries had relatively small increases of 0.09% and 0.07% respectively [17]. - In the real - estate bond sector, AAA - rated and public - enterprise real - estate bonds had obvious positive α in May. The average net - price increase of AAA real - estate bonds was 0.18%, significantly higher than other real - estate bond varieties. Public - enterprise bonds had an average increase of 1.38%, far higher than other enterprise - type real - estate bonds. The top - rising bond was Vanke Bond with a net - price increase of about 4%, while the top - falling bonds were 24 Lianfa MTN004 and 22 Longhu 03, with net - price decreases of 0.56% and 4.48% respectively [21]. - In the urban investment bond sector, all regional urban investment bonds had rising net prices in May, with an overall increase of 0.15%. Hebei and Tianjin had obvious positive α, with average increases of 0.23% and 0.22% respectively. Guangxi had the smallest increase of 0.06%. AA - urban investment bonds had negative α, with an average net - price decrease of 0.02% [28]. - In the financial bond sector, there was little difference in the net - price changes of financial bonds of various ratings and types in May, and no obvious α appeared. The top - rising bonds were 24 Yuandong IV, 24 Yuandong Leasing MTN005, and 25 Ganzhou Leasing 01, with net - price increases of 1.03%, 1.03%, and 0.84% respectively. The top - falling bonds were 21 Shenzhen Jushenghua 02 and 21 Shenzhen Jushenghua 01, with net - price decreases of 6.55% and 6.69% respectively [31]. 3. Term Alpha Tracking - In May, 10 - year - plus treasury bonds had a significant negative α. The change rate of 10 - year - plus treasury bonds in May was - 1.5%, significantly higher than other interest rate bond varieties. The reasons were that the yield increase of ultra - long - term interest rate bonds in May exceeded other term varieties, and the yield increase of ultra - long - term treasury bonds was significantly higher than that of local government bonds [37]. - Among long - term representative bonds, the ultra - long - term credit bond 23 Sanxia K2 led the increase in May, with a monthly increase of 0.49% [42]. 4. Sub - Alpha Tracking - In May, insurance company bonds had a certain α. The average increase of insurance company bonds in May was 0.1%, 0.03% higher than that of commercial bank ordinary bonds and sub - bonds. The α of insurance company bonds mainly came from the fact that the yield decline of insurance capital supplementary bonds within 7 years in May was greater than that of commercial bank bonds and sub - bonds, and the long - term bond scale of these three varieties was relatively small, so short - and medium - term interest rate fluctuations had a more significant impact on the overall price [44]. 5. May Public Bond Fund Ranking - In May, hybrid bond - type secondary funds led other types of public bond funds in average change rate. The average change rate of hybrid bond - type secondary funds was 0.41%, that of hybrid bond - type primary funds was 0.27%, that of short - term pure - bond funds was 0.18%, and that of medium - and long - term pure - bond funds was 0.12% [47].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report focuses on the performance comparison benchmarks of domestic active bond funds. It analyzes the benchmark settings of various sub - types of active bond funds and their deviations in actual operations. After the release of the "Action Plan", some bond funds have adjusted their performance comparison benchmarks. The report also studies the correlation between funds and benchmarks, tracking errors, and excess returns [1][9]. 3. Summary According to the Table of Contents 3.1 Introduction On May 7, 2025, the CSRC issued the "Action Plan for Promoting the High - quality Development of Public Funds", emphasizing the importance of performance comparison benchmarks. The report, as the second in the series, will analyze the benchmark settings and actual operation deviations of domestic active bond funds [9]. 3.2 Active Bond Fund Performance Comparison Benchmark Characteristics - **Generalized Active Bond Fund Sample Selection**: As of May 7, 2025, 4191 generalized active bond funds in existence and with performance comparison benchmarks were selected as samples, with a total scale of 9.05 trillion yuan. The samples include 7 types of funds, and the medium - long - term pure - bond funds have the largest number and scale [9][10][12]. - **Performance Benchmark Composition Method**: The performance comparison benchmarks of active bond funds have various forms, mainly including single bond indexes or weighted composites of different indexes. The component indexes can be classified into 6 major categories, and the bond index can be further divided into 5 sub - types, while the stock index can be divided into 9 sub - types [13]. - **Performance Benchmark Commonly Used Indexes**: The top ten "main benchmark indexes" of medium - long - term pure - bond funds are mainly indexes compiled by ChinaBond. For example, the number of funds with ChinaBond - Composite Full Price (Total Value) Index as the main benchmark index is 964, accounting for 52.56%. The main benchmark indexes of convertible bond funds are mainly convertible bond indexes, with CSI Convertible Bond Index being the most used. The main benchmark indexes of fixed - income enhanced funds are mainly A - share market indexes such as CSI 300 Index [36][41][50]. - **Comparison of Commonly Used Index Clusters**: The ChinaBond index system is compiled by the Central Government Bond Depository Trust & Clearing Co., Ltd., and the CSI index system is compiled by CSI Index Co., Ltd. The component bond listing locations, remaining maturities, and credit ratings of ChinaBond and CSI indexes are different [54][57]. - **Weight Distribution of "Main Benchmark Indexes"**: For most active bond funds, the weights of ChinaBond - Composite Full Price (Total Value) Index and ChinaBond - Composite Wealth (Total Value) Index are mainly in the range of 90 - 100% for medium - long - term pure - bond funds, mixed bond - type first - level funds, and mixed bond - type second - level funds. The weights of equity indexes in the performance comparison benchmarks of mixed bond - type second - level funds, convertible bond - type funds, and partial - debt hybrid funds are relatively concentrated [62][66]. 3.3 Fund Performance and Benchmark Correlation and Other Analyses - **Correlation Analysis between Active Bond Funds and Their Benchmarks**: From 2022 to 2025, convertible bond - type funds, short - term pure - bond funds, medium - short - term pure - bond funds, medium - long - term pure - bond funds, and partial - debt hybrid funds have relatively high correlations with their performance comparison benchmarks, while mixed bond - type first - level funds and mixed bond - type second - level funds have relatively low correlations [72][73]. - **Tracking Error and Excess Return of Funds Relative to the Benchmark**: The average tracking error of pure - bond funds is less than that of products with embedded options. Among fixed - income enhanced bond funds, first - level bond funds have lower tracking errors, second - level bond funds and partial - debt hybrid funds are relatively close, and convertible bond funds have the highest and most volatile tracking errors. Most pure - bond funds can outperform the benchmark in most years, and the average outperformance is within 2%. Among fixed - income enhanced funds, partial - debt hybrid funds have relatively high average excess returns [3][78]. - **Distribution of Fund Types with Significant Underperformance against the Benchmark**: Pure - bond funds have relatively small deviations from the benchmark and a low proportion of significant underperformance. The performance of fixed - income enhanced funds is related to the selected time interval and the performance of the equity market. In the long - term, active bond funds have the ability to obtain positive excess returns relative to the benchmark, but there are significant performance differences within each type of fund [3].

Group 1 - The core viewpoint of the article highlights the strong fundraising capability of bond funds, which have become a key contributor to the scale of new fund issuances in the market [1] - In the week of May 12-18, a total of 23 new funds were established, with a combined issuance of 24.004 billion units [1] - Among these, mid-to-long-term pure bond funds, passive index bond funds, and mixed bond funds performed particularly well, with 5 funds attracting 19.249 billion yuan, accounting for 80.19% of the total issuance [1] - Three of these products achieved maximum fundraising, indicating a strong market preference for low-risk fixed-income assets [1]