2026 年 01 月 14 日 证券分析师 李勇 执业证书：S0600519040001 010-66573671 liyong@dwzq.com.cn 证券研究报告·固定收益·固收深度报告 固收深度报告 20260114 债市逆风中的生存法则：历史调整对当前的 启示 [Table_Summary] 观点 ◼ 债券收益率曲线形态与债基收益率的联系： 证券分析师 徐沐阳 执业证书：S0600523060003 xumy@dwzq.com.cn 相关研究 《周观：股债跷跷板效应凸显，宽松 基调下曲线陡峭》 2026-01-12 《联瑞转债：高端电子材料细分赛道 领跑者 》 2026-01-12 东吴证券研究所 1 / 14 请务必阅读正文之后的免责声明部分 [Table_Tag] ◼ 历史回溯：2016-2018 年的结构性异常 ◼ 收益率走势：2016 年至 2018 年期间，市场曾出现过类似情况。以 2016Q4 为例，货币市场型基金季度回报率达到 2.62%，而短期纯债型基金的季 度回报率为-0.66%，中长期纯债型基金仅有-1.29%。货币市场型基金受 益于当时紧张的资金面，收益率中枢不断抬升，而债券型 ...

文 罗辑 2025年，公募基金行业在市场环境变化和政策引导下，呈现出结构性机遇与深刻转型并存的特征。 在行业发展上，A股走高，公募行业规模快速攀升，指数化投资全面提速。政策层面，《推动公募基金 高质量发展行动方案》的出台成为关键分水岭，推动行业分化出"头部深耕综合能力、中小聚焦特色赛 道"的新生态。 在此背景下，公募机构精耕专研，摆脱"规模至上"旧模式，转向以投资者长期回报为核心。 中国证券投资基金业协会数据显示，截至2025年11月底，公募基金规模为37.02万亿元，已连续数月创 下历史新高。Wind数据显示，截至2025年三季度末，公募基金已为持有人创造超2.7万亿元的收益，同 样创下历史新高。 规模提升vs结构分化 2025年，公募行业规模提升明显加快，总规模连续刷新历史纪录。 中国证券投资基金业协会数据显示，截至2025年11月底，公募基金规模为37.02万亿元。这已是2025年4 月公募基金规模刷新历史纪录、突破33万亿元后，连续7个月再创新高，规模持续稳健增长。 而在此行业机遇下，规模提升之外，2025年权益基金快速增长，同时指数化投资也迎来全面提速。 从投资范畴来看，Wind数据显示，截至202 ...

Core Viewpoint - The money market funds (MMFs), once considered a stable investment tool, are facing challenges due to declining returns, with many funds reporting annual returns below 1% [1][2] Group 1: Current Market Situation - As of December 23, 112 MMFs have annual returns below 1%, with some large-scale funds like Huatai-PB Cash Management Fund C and ICBC Ruyi Money Fund E reporting returns below 0.5% [1] - By December 22, 92 MMFs had a seven-day annualized yield below 1%, indicating a widespread decline in returns [1] - The largest MMF, Tianhong Yu'ebao, reported an annual return of 1.15% and a seven-day annualized yield of 1.032% as of December 22 [1] Group 2: Reasons for Declining Yields - The decline in MMF yields is attributed to three main factors: continued accommodative monetary policy, ample liquidity in the banking system leading to lower interbank deposit rates, and self-regulation of non-bank deposit rates [2] - The current 10-year government bond yield is at 1.83%, reflecting a dual decline in market interest rates and real economy rates, indicating effective market mechanisms [2] Group 3: Investment Strategy and Outlook - Investors are advised to reposition MMFs as tools for daily liquidity management rather than high-yield investment channels, focusing on reasonable fee structures and stable strategies [2] - Industry experts believe that as the market interest rate environment stabilizes, MMFs will continue to play a crucial role in cash management and will maintain their fundamental value in supporting inclusive finance and meeting daily liquidity needs [2]

12月11日，中银基金发布最新公告，自12月10日起，刘信群正式出任公司董事长、法定代表人，执行总裁 张家文停止代行相关职务。 资料显示，中银基金成立于2004年，经过多年发展，公司管理资产规模超过7000亿元。券商中国记者注意到， 今年以来，已有三十余家基金公司官宣新董事长上任，多家头部公募均完成换帅。 中银基金官宣新任董事长 12月11日，中银基金发布公告。自12月10日起，刘信群担任中银基金董事长、法定代表人，执行总裁张家文不 再代为履行董事长、法定代表人职责。 资料显示，刘信群拥有中南财经大学统计学专业博士研究生，于2025年加入中银基金管理有限公司，现任党委 书记、董事。刘信群历任中国银行司库助理总经理，中国银行深圳市分行行长助理、党委委员，中国银行深圳 市分行副行长、党委委员，中国银行（香港）有限公司风险管理部总经理，中国银行司库总经理，中国银行深 圳市分行行长、党委书记，兼任深圳市第七届人大代表、深港金融合作委员会委员。 公开信息显示，中银基金是由中国银行和贝莱德两大全球著名领先金融品牌强强联合组建的中外合资基金管理 公司，公司前身为中银国际基金管理有限公司，于2004年正式开业。2007年，经 ...

Core Viewpoint - Western Asset Management has recently been embroiled in controversy due to a court ruling that lists the company as a defendant with an execution amount of 291 million yuan, which is 575% of its projected net profit for 2024 and exceeds its total net profit over the past five years [4][6]. Financial Impact - The execution amount of 291 million yuan represents 76% of the company's projected revenue for 2024, which is 384 million yuan, and is 5.75 times its expected net profit of 51 million yuan for the same year [6]. - Western Asset Management was established in July 2010 and has a registered capital of 370 million yuan, with a typical "brokerage system" background [6]. Legal Context - The company asserts that the issue pertains to a specific asset management product and will not affect its overall operations. The legal framework indicates that the asset management plan's debts are to be borne by the plan's assets, not the fund company itself [4][6]. Recent Developments - The company has faced additional challenges, including the administrative detention of a fund manager due to gambling, which led to his dismissal and subsequent management changes within the company [11][12]. - The company has seen significant growth in its assets under management, surpassing 100 billion yuan for the first time in 2024, with a total of 1136.68 billion yuan as of November 17, 2025, ranking 69th among 185 public fund institutions [13]. Strategic Focus - Western Asset Management has adopted a strategy focused on strengthening fixed-income products, which now account for over 83% of its total assets under management, with bond products alone making up 63% [13]. - However, reliance on low-volatility, low-yield fixed-income products may limit the company's performance in equity markets, especially in a competitive environment where management fees for fixed-income products are lower than those for equity products [14].

Core Insights - The public fund industry is witnessing a significant reduction in subscription thresholds, with institutions like Tianhong Fund and Vanguard Fund lowering their minimum investment amounts to attract a broader range of investors [1][2][3][4] Group 1: Subscription Threshold Adjustments - Tianhong Fund has unified the subscription threshold for 56 of its products to 0.1 yuan, while Vanguard Fund has reduced the minimum investment for its Vanguard Day Add Benefit B from 5 million yuan to 0.01 yuan [1][2] - Other funds, including E-Fonda Fund, Debang Fund, and Dachen Fund, have also followed suit, indicating a trend towards "fractional" investment thresholds [1][3] - The adjustments are seen as a response to the evolving needs of different investor types and the push for inclusive finance [1][2][4] Group 2: Channel Strategies - The adjustments in subscription thresholds are characterized by a "multi-channel, multi-category" approach, with both distribution and direct sales channels actively participating [2] - For instance, on November 14, Galaxy Fund announced that some of its funds would have a minimum investment of just 0.01 yuan through Minsheng Securities [2] - Direct sales channels have also seen significant changes, with Tianhong Fund lowering minimum subscription amounts across various fund types to 0.1 yuan [2] Group 3: Market Trends and Implications - The trend of lowering subscription thresholds is not isolated, as other funds like Debang Fund and Guotou Ruijin Fund have also set minimums as low as 0.01 yuan for certain products [3] - The push for lower thresholds is driven by the need to adapt to channel changes and business innovations, particularly through internet distribution channels [4] - The concept of inclusive finance is reinforced by these changes, allowing more investors to participate in the market with lower entry costs [4] Group 4: Investor Considerations - While lower thresholds reduce participation costs, investors are advised to focus on the fundamental aspects of the funds, such as scale, historical performance, and management capabilities [4] - Industry experts emphasize that the true competitive advantage lies in long-term performance and service quality, rather than just low entry barriers [4] - The ongoing evolution of the fund market towards lower thresholds is expected to enhance both scale and quality in the industry [4]

Fund Size - The total public fund size reached 35.4 trillion yuan, with a quarter-on-quarter increase of 6.04% or approximately 2.02 trillion yuan [6][11] - The bond fund size decreased by 0.25 trillion yuan to 10.56 trillion yuan, accounting for a reduction of 2.57% [6][11] - The stock fund size expanded significantly, increasing by 1.03 trillion yuan to 5.26 trillion yuan, while other fund types also saw slight growth [6][11] Pure Bond Fund Performance - The total size of pure bond funds decreased by 0.75 trillion yuan, with bond positions dropping by 0.7-2.3 percentage points [22][23] - The average yield of pure bond funds fell to 0.52%, down from 1.05%, indicating a significant decline in performance [42][43] - The maximum drawdown for bond funds increased from -0.15% to -0.54%, reflecting heightened risk [42][46] Asset Allocation - The allocation of pure bond funds remains primarily in financial bonds (including policy financial bonds), with a notable increase in credit bonds [14][20] - Financial bonds accounted for approximately 59.09% of the allocation, while credit bonds made up about 54.62% [14][20] - The proportion of financial bonds has remained stable between 50%-60% since 2020 [14] Leverage and Duration - The average leverage ratio for bond funds decreased to 114.53%, down from 117.88%, indicating a trend towards reduced leverage [54][55] - The average duration of bond funds shortened to 2.71 years, down from 3.45 years, as funds sought to mitigate interest rate risk [54][55] - The concentration of holdings in the top five positions increased to 40.04%, reflecting a slight rise in concentration [58] Credit Strategy - Many pure bond funds adopted a strategy of credit downgrading, with AAA-rated holdings decreasing by 2.99% and 3.45% for medium and short-term funds, respectively [60] - The strategy shift was primarily due to significant market adjustments, prompting funds to seek higher coupon income [60]

Core Insights - The public fund sector is experiencing a significant increase in dividend distributions, with a total of 3,359 distributions amounting to 168.91 billion yuan, representing a year-on-year growth of 21.94% [1][2][5] Group 1: Dividend Distribution Overview - Bond funds remain the primary contributors to the dividend market, with 2,455 distributions totaling 119.99 billion yuan, accounting for 71.04% of total dividends and showing a year-on-year increase of 6.31% [2][6] - Equity funds, including stock and mixed funds, have seen dramatic increases in dividend amounts, with stock funds distributing 33.68 billion yuan (up 99.72%) and mixed funds 5.07 billion yuan (up 90.67%) [2][4] - QDII funds have shown the most remarkable growth, with a total dividend of 1.73 billion yuan, reflecting a staggering year-on-year increase of 491.56% [2][4] Group 2: Fund Company Strategies - A total of 138 public fund companies have implemented dividend distributions this year, with 113 companies exceeding 100 million yuan and 45 companies surpassing 1 billion yuan in total dividends [4][5] - Leading companies like E Fund and Huatai-PB have adopted different strategies, with E Fund distributing 12.25 billion yuan across 140 instances, while Huatai-PB achieved 10.77 billion yuan with fewer funds but higher individual payouts [5][6] - The trend indicates a shift towards more frequent and substantial dividends as a means to enhance investor confidence and loyalty, with companies increasingly using dividends as a branding and customer retention strategy [7]

Core Insights - The public fund industry experienced significant growth in the third quarter, with a total scale exceeding 35 trillion yuan, marking an increase of 2.23 trillion yuan [1] Fund Categories - Equity funds contributed the most to the scale increase, adding 1.14 trillion yuan [1] - Mixed funds added 0.58 trillion yuan to the total scale [1] - Money market funds contributed 0.46 trillion yuan [1] - The scale of equity index funds saw an increase of 1.01 trillion yuan [1]

Core Viewpoint - The public fund industry is undergoing a deep adjustment centered on benchmark reconstruction, driven by the "Action Plan for Promoting High-Quality Development of Public Funds" implemented since May 7, 2025. This adjustment reflects a shift from scale expansion to quality improvement, emphasizing the importance of benchmarks in defining product positioning and investment strategies [2][3]. Group 1: Benchmark Adjustment Overview - Since the implementation of the "Action Plan," 57 funds have initiated benchmark adjustments, with bond and mixed funds being the primary focus, each accounting for 18 funds, representing over 63% of the total adjustments. Stock funds follow with 14 adjustments, while FOF products have 5, indicating a concentrated effort in high market share and complex strategy fund types [6][8]. - The adjustments are characterized by a shift from broad indices to more targeted indices, such as moving from the "CSI All Bond Index" to the "China Bond Composite Index," which allows for a more accurate reflection of the fund's investment characteristics and risk-return profile [9][10]. Group 2: Specific Fund Adjustments - Notable examples of benchmark changes include the "浦银安盛稳健增利债券" fund, which changed its benchmark from "CSI All Bond Index 100%" to a combination of "China Bond Composite (Full Price) Index Yield 85% + CSI Convertible Bond Index Yield 5% + Bank Demand Deposit Rate (after tax) 10%" [9]. - The adjustments also reflect a trend of incorporating various yield factors, such as including bank deposit rates in benchmarks, which enhances the relevance of the benchmarks to the funds' investment strategies and risk profiles [10][20]. Group 3: Mixed and Stock Fund Adjustments - Mixed and stock funds are also adjusting their benchmarks to better align with their investment strategies, moving from broad indices like the "CSI 300" to more specific indices that reflect their investment focus, such as the "CSI Sports Industry Index" and "CSI TMT Industry Theme Index" [14][16]. - The adjustments aim to resolve the mismatch between benchmarks and strategies, ensuring that the benchmarks accurately reflect the funds' investment characteristics and risk-return profiles [15][17]. Group 4: Risk and Liquidity Management - Funds are adjusting their fixed income or cash components in benchmarks to balance risk and liquidity needs. High equity proportion funds are replacing bond indices with bank demand deposit rates to meet liquidity management requirements, while low equity proportion funds are adjusting bond index weights to align with their risk profiles [20][21].