Report Industry Investment Rating No relevant content provided. Core Viewpoints - As of the end of Q3 2025, the total number of active bond funds increased by 1.4% quarter-on-quarter, while the total fund size decreased by 3.5% quarter-on-quarter. Among them, the scale of hybrid secondary bond funds increased significantly by 61.1% [2][5][6]. - In Q3 2025, the yield of Treasury bonds increased, and the performance of short-term pure bond funds was better than that of medium and long-term pure bond funds. Driven by equity assets, secondary bond funds performed better [2][15][17]. - In terms of positions, medium and long-term pure bond funds, short-term bond funds, and hybrid primary bond funds all reduced leverage and duration. The bond positions of medium and long-term pure bond funds and short-term bond funds decreased, while the convertible bond positions of hybrid primary bond funds increased. Hybrid secondary bond funds increased their stock positions and decreased their bond positions, and increased their positions in sectors such as electronics, power equipment, and media [2]. Summary by Directory 1. Scale and Issuance of Active Bond Funds - **Scale Change**: As of the end of Q3 2025, the number of active bond funds was 3,349 (excluding amortized cost method funds), a quarter-on-quarter increase of 1.4%. The total fund size was 7.68 trillion yuan, a quarter-on-quarter decrease of 3.5%. Among them, the number of medium and long-term pure bond funds, hybrid primary bond funds, and hybrid secondary bond funds increased by 0.8%, 1.7%, and 3.8% respectively quarter-on-quarter, while the number of short-term pure bond funds decreased by 0.3% quarter-on-quarter. The scale of medium and long-term pure bond funds, short-term pure bond funds, and hybrid primary bond funds decreased by 11.1%, 18.0%, and 1.0% respectively, while the scale of hybrid secondary bond funds increased significantly by 61.1% quarter-on-quarter [5][6]. - **Fund Issuance**: In Q3 2025, 75 active bond funds were issued, an increase of 11 from the previous quarter, a growth rate of 17.2%. The total issuance scale was 50.41 billion yuan, a quarter-on-quarter decrease of 39%. Among them, the issuance scale of medium and long-term pure bond funds and short-term pure bond funds decreased compared with the previous quarter, while the issuance scale of hybrid primary bond funds and hybrid secondary bond funds increased by 37.8% and 39.5% respectively quarter-on-quarter [10][12]. 2. Performance of Active Bond Funds - **Treasury Yield Increase**: In Q3 2025, the yields of 1-year, 3-year, 5-year, 7-year, 10-year, and 30-year Treasury bonds increased by 3bp, 12bp, 10bp, 16bp, 22bp, and 39bp respectively. Against the background of rising interest rates, the performance of medium and long-term pure bond funds was poor. The yield of the short-term pure bond fund index was 0.16%, and the yield of the medium and long-term pure bond fund index was -0.37% [15]. - **Better Performance of Equity-Containing Products**: Driven by equity assets in Q3 2025, secondary bond funds performed better. The yield of the hybrid primary bond fund index was 0.64%, with a maximum drawdown of -0.50%; the yield of the hybrid secondary bond fund index was 3.18%, with a maximum drawdown of -0.73% [17]. 3. Position Analysis of Active Bond Funds - **Medium and Long-Term Pure Bond Funds**: Reduced leverage and duration, and bond positions generally decreased. Both closed - end and open - end medium and long-term pure bond funds reduced their positions in interest rate bonds, credit bonds, and financial bonds [20][26][28]. - **Short-Term Bond Funds**: Reduced leverage and duration, and the financial bond position decreased. The bond position and the weighted duration of the top five heavy - held bonds also decreased [35][37][42]. - **Hybrid Primary Bond Funds**: Reduced leverage and duration, and the convertible bond position increased. The leverage ratio and bond position decreased, while the convertible bond position increased [44][46][48]. - **Hybrid Secondary Bond Funds**: - **Asset Allocation**: The bond position decreased, and the stock position increased. The median convertible bond position decreased compared with the end of the previous quarter [56][58]. - **Industry Distribution of Heavy - Held Stocks**: In Q3, sectors such as electronics, power equipment, and media were increased, while sectors such as banks, public utilities, and transportation were reduced [63]. - **Heavy - Held Stocks**: Zijin Mining was the largest heavy - held stock, and the heavy - held scale of the top ten heavy - held stocks increased. Stocks such as CATL and Alibaba - W were increased significantly, while stocks such as Yangtze Power and China Merchants Bank were reduced [67][68].

Group 1: Report Overview - The report analyzes the impact of the third - stage public offering fund fee reform on the bond market, which aims to guide long - term investment and optimize the fee system [3][18] - The third - stage reform mainly focuses on the sales link, reducing subscription fees and sales service fees while increasing short - term redemption fees, and is expected to save investors about 30 billion yuan annually [3][19] Group 2: Reform Background and Content - The public offering fund fee reform has three stages. The first stage reduced management and custody fees, saving about 14 billion yuan; the second stage cut trading commissions, saving about 6.8 billion yuan; the third stage adjusted sales - related fees, saving about 30 billion yuan [19] - The new rules set clear upper limits for subscription fees of stock, hybrid, and bond funds, and exempt sales service fees for some funds held over one year [26] - The new rules classify and set redemption fees based on fund types and holding periods, with a short - term trading penalty and long - term holding reward mechanism [26] Group 3: Impact on Fund Products - After the new rules, the attractiveness of Class C shares decreases, and the fee advantage of Class A shares relatively increases, as Class C shares' short - term redemption fees are significantly raised [53] - Short - term pure bond funds are more affected, while money market funds, inter - bank certificate of deposit funds, and bond ETFs are expected to benefit, with potential scale expansion [7][58] - The new rules lead to a differentiation in fund yields, with bond funds, especially short - term pure bond funds, having weaker short - term returns after deducting redemption fees [68] Group 4: Impact on Institutional Behavior - Banks may reduce their holdings of short - term bond funds and increase investments in inter - bank certificate of deposit funds, money market funds, and bond ETFs, or turn to customized bond funds or direct bond investment [8][86] - Wealth management companies may redeem short - term bond funds and shift to high - liquidity or medium - long - term funds [8] - Insurance funds, with stable liability ends, are less directly affected by the redemption fee adjustment [8] Group 5: Impact on the Bond Market - In the short term, short - term pure bond funds face redemption pressure, and the demand for secondary - tier perpetual bonds and ultra - long - term interest - rate bonds may shrink [9] - In the long term, it forces investors to extend the holding period of bond funds, injecting stable funds into the bond market and narrowing the interest - rate fluctuation range [9]

Investment Rating - The investment rating for the banking industry is "Positive" (maintained) [1] Core Insights - The banking sector is experiencing a shift in fund investment behavior, with banks redeeming low-yield money market funds and increasing their holdings in credit bond funds to enhance returns [5][57] - The total fund holdings of listed banks reached approximately 6.37 trillion yuan, accounting for 2.03% of total assets as of the end of the first half of 2025 [15][18] - The proportion of fund investments in the fair value through profit or loss (FVTPL) category is 48.5%, with city commercial banks showing even higher ratios [15][22] Summary by Sections 1. Fund Investment Participation and Scale - The self-managed fund holdings of listed banks as of June 2025 were approximately 6.37 trillion yuan, with shareholding banks and city commercial banks having significant investment scales of 2.84 trillion yuan and 1.72 trillion yuan, respectively [15][18] - The investment in money market funds decreased to 9.10%, while the proportion of passive index bond funds increased to 7.90% [23][25] 2. Changes in Fund Investment Behavior - Banks are redeeming money market funds and low-yield rate bond funds while increasing their investment in credit bond funds [5][57] - The redemption pressure for money market funds was primarily concentrated in the first quarter of 2025, driven by liquidity management needs and yield enhancement [49][55] 3. Future Expansion and Impact of Redemption Fee Reform - Smaller banks have greater expansion potential in fund investments, driven by the need for redundant fund screening and tax-exempt income [3][3] - The implementation of redemption fee reforms may catalyze preventive redemptions by banks, leading to a preference for customized bond funds and bond ETFs [3][3]

Core Insights - The bond market is currently in a low-yield, high-volatility state, contrasting with the previous year's high-yield, high-volatility environment. This shift suggests frequent "mispricing" opportunities, prompting investors to adopt a "low position + high win rate" strategy for defensive counterattacks and to capitalize on oversold rebound opportunities [1][10][21]. Group 1: Market Conditions - Since the beginning of 2025, the 10-year government bond yield has shown significant volatility, rising from approximately 1.60% at the start of the year to around 1.78% by August 20, with a peak close to 1.90%. The rolling standard deviation indicates that the yield's volatility has increased, with a median of about 0.03%, higher than the median of 0.028% from 2021 to 2024 [10][11]. - The performance of bond funds has declined in 2025, with the median annualized return for medium to long-term pure bond funds at 0.83%, significantly lower than the 3.98%, 2.36%, 3.47%, and 4.58% returns from 2021 to 2024. Short-term pure bond funds also reflect a similar trend, with a median return of 1.41% [11][12]. Group 2: Fund Evaluation - The Calmar ratio is deemed more reflective of true risk compared to the Sharpe ratio, although both should be used in conjunction. The Sharpe ratio is more suitable for short and pure bond funds with lower volatility and drawdown, while the Calmar ratio is better for long bond funds and secondary bond funds that exhibit higher volatility and deeper drawdowns [2][16]. - In 2025, investors are advised to prioritize the Calmar ratio alongside the Sharpe ratio to better select bond funds, as the low-yield, high-volatility environment increases the demand for fund managers' ability to control drawdowns [19][20]. Group 3: Investment Strategy Adjustments - The bond market is still in a headwind phase, with the trend for bullish positions delayed. Despite rising interest rates and a steepening curve reducing bullish sentiment, the high volatility presents frequent "mispricing" opportunities. Investors are encouraged to maintain a "high-grade, short-duration, high-liquidity" base to better control drawdowns while selectively participating in long and ultra-long bonds after significant declines [3][21][22]. - The strategy should focus on quick trades and timely profit-taking, as the current market conditions do not favor long-term bullish positions. Historical data indicates that after significant declines, the 10-year government bond typically experiences a short-term rebound [22][24].

Core Viewpoint - The industry of interbank certificate of deposit index funds is facing a dual challenge of declining net value and shrinking scale, with average returns significantly lagging behind other low-risk investment products [3][4][5]. Performance Summary - As of July 25, 2023, the average return of 91 interbank certificate of deposit index funds was 0.64%, underperforming compared to traditional money market funds (0.78%) and short-term pure bond funds (0.80%) [3][5]. - The total scale of these funds has decreased from 348.32 billion yuan at inception to 125.17 billion yuan, a decline of 64.06% [3][10]. - The largest fund, Huatai Baichuan Interbank Certificate of Deposit Index, holds approximately 9.39 billion yuan, while the smallest fund has shrunk to about 210 thousand yuan [3]. Reasons for Underperformance - The poor performance of interbank certificate of deposit index funds is attributed to the downward trend in deposit rates, which compresses coupon income and limits the potential for yield enhancement due to a passive management approach [4][5]. - The liquidity constraints imposed by a 7-day holding period further diminish the attractiveness of these funds to investors [4]. Scale Reduction - By the end of Q2 2023, 49.45% of the funds had a scale of less than 200 million yuan, and 26.37% were classified as "mini funds" with less than 50 million yuan [10]. - Only 7 funds experienced growth in scale, indicating that 92.31% of interbank certificate of deposit index funds have seen a reduction in size since their inception [10]. Notable Fund Performances - The only fund to report a loss this year was Dacheng Interbank Certificate of Deposit Index, with a return of -0.11% [7]. - The top-performing fund, Shangzheng Interbank Certificate of Deposit Index, achieved a return of 2.27% as of July 25, 2023 [9]. Investor Composition - The majority of investors in these funds are individual investors, with many funds experiencing significant redemptions as marketing interest waned and returns diminished [15].

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].