Pure bond funds refer to bond funds that only invest in fixed-income assets and cannot invest in equity assets. With the decline of economic growth and the decrease of market risk preference, pure debt funds attract a large number of low-risk investors and banks and other institutional funds with their low-risk income characteristics. By the end of 20021,1 1, there were nearly 2,000 pure debt funds in the whole market, with a net asset value of 4.72 trillion yuan, and the number and scale expanded rapidly. However, different fund management methods, allocation styles and investment strategies are diverse, and investors are prone to confusion when choosing and allocating pure debt funds. In order to effectively help investors better understand and grasp the pure debt base and improve investment efficiency, we will sort out and analyze the risk-return characteristics, style characteristics (leverage ratio, bond type, duration, credit rating and institutional preference) and investment strategies of pure debt funds in detail, and finally define the style label of pure debt funds, which will lay the foundation for selecting pure debt funds and facilitate accurate positioning of products suitable for investors' preferences.

According to the classification of securities investment funds by CSRC, more than 80% of the fund assets invested in bonds are bond funds. According to the different investment scope, bond funds can be divided into pure bond funds, mixed bond funds and bond index funds. Among them, pure debt funds only invest in fixed income assets and do not invest in equity assets. According to the allocation period, it can be divided into medium-and long-term pure debt funds and short-term pure debt funds, and according to different operation modes, it can be divided into general open-end pure debt funds and fixed-end pure debt funds.

In the market environment where the economic growth rate is in the downward cycle and investors' risk preference is reduced, with the expansion of Public Offering of Fund's product line and the increase of customized fund financing demand, pure bond funds have ushered in rapid expansion and become an important part of securities investment funds and an important allocation force in the bond market. By the end of 200211/the net assets of bond funds totaled 6 10 billion yuan, accounting for 25. 1 1% of the total assets of publicly raised funds. Among them, pure bond funds account for the absolute mainstream, with a net asset value of 4.72 trillion yuan, accounting for 77.42% of the total assets of bond funds. By the end of 2002111,there were 1944 pure debt fund products, which grew rapidly. The number of products with a scale of 0- 1 100 million is the largest, and there are 63 explosion funds with a scale of over 10 billion.

* * * At present, there are 148 fund companies managing pure debt fund products in the market, among which the top ten fund companies are Bosera Fund, Bank of China Fund, China Merchants Fund, Guo Fu Fund, southern fund Fund, Yingyong Fund, ICBC Credit Suisse Bank, Penghua Fund, Industrial Fund and E Fund. The management scale of the top ten fund companies accounts for 33% of the total scale of pure debt funds, and the head effect is remarkable.

Pure debt funds are favored by low-risk preference investors and institutional funds. There are nearly 2000 pure debt fund products in the whole market, and the investment strategies with different product management methods and configuration styles are more diverse. Investors are easily confused when choosing and allocating pure debt funds. In order to effectively help investors better understand and grasp the pure debt base and improve the investment efficiency, next, we will sort out and analyze the risk-return characteristics, style characteristics (including product leverage ratio, securities positions, heavy debt duration and credit rating) and investment strategies of publicly offered pure debt funds, delimit the style labels of pure debt funds, lay the foundation for selecting pure debt funds, and conveniently and accurately locate products suitable for investors' preferences.

Pure debt funds invest in fixed income assets, generally speaking, the risk is low and the income is stable, which is a stable variety with less fluctuation and withdrawal. However, after encountering risks such as bond default and fund liquidation, its decline may be no less than that of equity funds. For example, this year's cliff-like plunge of pure debt base has dropped by more than 20% in one month, giving investors the feeling of buying pure debt and stock base.

Note: the data of 202 1 is annualized according to 202 1H 1.

We calculate coupon income and capital gain according to the fund income statement, where coupon income = interest income during the reporting period/average daily net asset value during the reporting period, and capital gain = (investment income during the reporting period

As can be seen from the above figure, the contribution of interest income to the investment income of bond funds occupies a major position and is relatively stable at all stages. With the decline of economic growth and the decline of interest rate center, the credit spreads of high-grade varieties are constantly compressed in the process of normalization of default, and the income of pure bond funds is gradually declining, and the interest income is also declining. The contribution of bond capital gains to bond funds is obviously lower than interest income, and it fluctuates obviously with the overall level of bond market.

In recent three years, the annualized rate of return of pure debt funds is about 3.7%, and the annualized fluctuation is about 1.03%. In 2020, the bond market experienced ups and downs. 65438+ 10, the central bank adopted an extremely loose policy to fight the epidemic, and the bond market came out of a rapid bull market; Then the epidemic eased and the economic recovery was weak. The yield of 10-year treasury bonds has risen, making it more difficult to trade interest rate bonds. Affected by high-level defaults of local state-owned enterprises, market risk appetite declined, qualifications sank cautiously, and credit spreads further narrowed. It is difficult to improve the investment income of credit bonds based on coupon strategy, resulting in a sharp decline in the performance of pure bond funds, with an annualized income of 2.8%. Since the beginning of this year, the bond market has eased, and the yield of 10-year government bonds has declined slightly. The central bank has always maintained a prudent monetary policy, with reasonable and abundant liquidity, superimposed on the stock market shock adjustment. By the end of 1 1, the annualized income of pure bond funds this year was 4.4%.

On the whole, the annualized income of pure debt funds is about 4%, with stable income, low risk, small fluctuation and small retracement, which meets the needs of investors with low risk preference and institutional investors. From the risk and income distribution in the figure below, the greater the risk of pure debt funds, the higher the income, especially the positive correlation in short-term performance.

Note: The end date of the data interval in the last year and the last three years is 202 1 1 1 30.

In addition, we roughly measure the investors' experience in holding pure debt funds, which is expressed by the winning rate, that is, the probability that investors will buy and hold a one-year yield to maturity greater than 0 (greater than the risk-free rate of return) on any trading day in the last three years. If investors require holding for one year without loss, and the rate of return is greater than zero, almost all pure debt funds meet the requirements, 8 1.59% funds hold 100%, and 93.49% funds hold more than 90%. It can be seen that pure debt fund is indeed a very safe asset; If investors require a one-year rate of return greater than the risk-free rate of return, the risk-free rate of return in this report is equal to 2%, with 27.84 funds with a winning rate of 100%, 90%- 100%, 16.48% and 80%-90% funds accounting for 30%. As can be seen from the following figure, the winning rate of pure debt base in the last three years is positively related to the annualized rate of return in the last three years.

Note: The deadline of data interval is 202 1 year 1 1 month 30th.

Classifying fund products according to the traditional methods sometimes does not accurately reflect the real situation of funds.

International, in order to better distinguish the styles of various bond funds, we re-divide pure debt funds by ex post method according to the actual position information published during the fund reporting period, so as to improve the accuracy and rationality of the subsequent style portraits.

In addition to standard bond funds, some hybrid funds mainly invest in the bond market, which can also be classified as unified research of bond funds. In addition, convertible bonds have the property of equity, and their risk-return characteristics are quite different from those of traditional bond assets. This report classifies convertible bonds as equity assets. We screened among bond funds, partial debt mixed funds and flexible allocation funds. In the recent 65,438+02 reporting period (all reporting periods are investigated if it is less than 65,438+02), we only invested in fixed-income assets, but did not invest in equity assets. The average proportion of convertible bonds is less than 2%, and a pure debt-based gold pool has been initially established. Finally, we recorded 1680 pure debt funds in the current market, including 186 original short-term pure debt funds, 1470 original medium-and long-term pure debt funds, 8 original primary debt bases, 14 original secondary debt bases, 1 original partial debt hybrid funds. According to the mode of operation, there are 740 open-end funds (open for subscription and redemption at regular intervals, but closed for redemption), 29 general open-end funds 9 1 1, and 29 funds with holding period mode (can be subscribed at any time, but cannot be redeemed during the holding period, and can be redeemed at any time after holding the agreed period). Pure debt funds have a short holding period, mainly fixed and generally open.

In this report, the pure debt-based gold pool is revised by ex post facto method, and no stock assets are allocated. Therefore, the assets allocated by pure debt funds mainly include bonds, securities bought for resale, bank deposits and reserve funds. According to the ratio of all kinds of assets of pure debt funds to the net asset value of the fund announced in the third quarterly report of 2002 1 14.93%, and the overall ratio is 12 1.64%, and the bonds are generally leveraged.

There are two kinds of bonds allocated by pure debt funds: interest rate bonds and credit bonds. Among them, interest rate bonds include government bonds, central bank bills and policy financial bonds; Credit bonds include financial bonds, corporate bonds, corporate short-term financing bills, medium-term bills, interbank deposit certificates, asset-backed securities, etc. except policy financial bonds. In recent years, with the central bank's means of regulating currency becoming more and more abundant, the issuance of central bank bills has been basically suspended, so the market value of debt-based central bank bills in recent years is almost zero. In 2008, the Ministry of Finance issued the Notice on Some Preferential Policies for Enterprise Income Tax, exempting Public Offering of Fund from interest income and capital gains tax. Compared with tax-free national debt, national debt has obviously benefited. Since then, the proportion of national debt in the interest rate debt of public debt-based position has continued to increase. In the third quarter of 200213, the proportion of interest rate bonds of public pure debt funds in China bonds has reached 89.38%.

The position center of pure debt fund interest rate debt in recent three years is 40%, and the position center of credit debt in recent three years is 70%. In recent years, the allocation of interest rate bonds in pure debt-based funds has been increasing, while the allocation of credit bonds is obviously low. The logic behind this is that the credit risk in China's bond market is accelerating, default events are frequent, credit risk is gradually released, and investors' willingness to allocate credit bonds is declining.

The individual differences in the allocation of pure debt funds are gradually widening. Based on the characteristics of the fund's bond allocation in the near 12 reporting period (less than 12 reporting period, the same below), we set four style labels to describe the pure debt fund: partial interest rate debt, partial credit debt, double debt balance and bond timing. As shown in the following figure, the long-term portfolio allocation of most pure debt funds conforms to the mainstream idea of increasing interest rate bonds in stages based on credit, which belongs to the style of partial credit bonds; A small number of allocation positions are mainly interest rate bonds, and products with no credit positions or less credit positions are classified as partial interest rate bonds; In addition, there are a few products with balanced allocation of interest rate bonds and credit bonds, which are classified as double debt balance style. The positions of interest rate bonds and credit bonds have been greatly adjusted in the past and classified as bond timing style. Specifically, there are 507 pure debt-based mid-range interest rate debt products, and the annualized income in the past three years (product inspection less than three years ago, the same below) is around 3.34%; There are ***900 credit bonds, and the annualized income is about 3.69%, and the income center is slightly higher than the former; 82 products with double debt balance style * * * and annualized income of about 3.4 1%; There are only 0 products with timing style *** 19 1, and the annualized income is about 3.26%, so it is difficult to benefit from timing.

Duration refers to the average repayment period of bonds, which is the weighted average of the time required for bonds to pay each cash flow. It is used to measure the sensitivity of bonds to interest rates. The shorter the duration, the lower the sensitivity of bonds to interest rates and the lower the risk. Conversely, the higher the sensitivity, the higher the risk. The duration of bond funds is negatively correlated with the yield of government bonds. When the bond market yield goes down, pure bond funds often get higher returns for a long time. When the rate of return goes up, pure debt funds tend to shorten the duration and sell long-term assets to avoid further losses. Duration is the core operating index of bond fund managers, which tests the fund managers' grasp of macro interest rate cycle and their judgment of short-term fluctuations. Since only the top five heavyweight bonds are published in the fund's periodic report, we use the weighted average duration of the heavyweight bonds published in each reporting period as the duration of the fund portfolio, which will have some errors with the actual fund duration of the fund.

Judging from the average duration of the last three years, the continuous decline in the duration level also represents the pessimistic expectation of the market for the future bond market. According to the weighted average duration of funds calculated by the top five heavyweight bonds in the third quarter of this year, the number of funds with a duration of 1-2 years is the largest, while the average duration of funds with a duration of less than 1 year or 2-3 years is more, and the duration of funds with a duration of more than 3 years is very few, indicating that even products classified as medium-and long-term pure debt funds in advance tend to be short-term in actual investment.

In addition, according to the average duration of funds in the latest 12 reporting period, we divide pure debt funds into five style labels: short duration, medium and short duration, medium duration, long duration and duration timing. From the distribution of duration and income, there is a positive correlation between duration and annualized rate of return. There are 247 short-term style funds, with an annualized income of about 2.93%; There are 639 short-term style funds, with an annualized income of about 3.45%; Medium-term style fund ***3 17, with annualized income of about 3.67%; Long-term style fund *** 108, with annualized income of about 3.67%; There are 369 long-term timing style funds, and the annualized income is about 3.75%, which shows that long-term timing is effective.

3.2.4 Credit allocation

In order to investigate the overall credit situation of pure debt funds, we convert the credit rating of heavy debts disclosed in regular reports into credit scores and calculate the credit level of funds in a unified way. The higher the credit score, the higher the comprehensive credit rating. The specific correspondence is as follows:

In recent years, the credit rating of personal bonds held by pure debt funds is getting higher and higher, and the proportion of AAA rating is maintained at a high level, which reflects that in the environment of accelerated exposure of credit risk, the strategy of tapping personal income through credit sinking is unsustainable, and credit sinking is becoming more and more cautious.

According to the credit score of the fund in the recent 12 reporting period, we divide the pure debt fund into five styles: high credit, medium high credit, medium credit, low credit and credit opportunity. Low credit rating specifically includes BBB-level or below bonds with the top five heavy positions in the recent 12 reporting period, or default bonds or high-yield bond strategic products, all of which are classified as low credit rating. As a result, there are 868 funds with high credit rating, and the annualized income center is around 3.37%; There are 608 medium and high credit rating funds, and the annualized income center is about 3.62%; There are 39 funds with medium credit rating, and the annualized income center is about 4. 12%; ③ Funds with low credit rating; Credit Timing Style Fund 162, the annualized income center is about 3.96%. At present, the credit of pure debt funds is cautious, and only the top five heavy positions are published in regular reports, which cannot fully represent the credit level of funds. Therefore, there are very few products with medium and low credit ratings. Judging from the credit score distribution of pure debt funds, the sinking of market credit and credit timing bring positive excess returns.

Lever configuration

According to the Measures for the Operation and Management of Public Offering Securities Investment Funds, the leverage ratio of closed-end operating funds (the ratio of total fund assets to net fund assets) shall not exceed 200%; The leverage ratio of open-end funds shall not exceed 140%. Therefore, the leverage ratio of open-ended pure debt funds is generally about 10 points higher than that of general open-ended pure debt funds.

Compared with open-end pure debt funds, closed-end pure debt funds are not disturbed by subscription and redemption, and have greater freedom of operation. Some bonds with low liquidity but high coupon can be allocated, and higher leverage or longer duration can be used to obtain higher returns. Fixed-end funds have gained more operating space under liquidity restrictions. In fact, from the past performance, fixed-end funds do have certain advantages over ordinary open-end funds. Investors can choose according to their own preferences.

According to the leverage ratio of pure debt funds in the recent 12 reporting period, we classify pure debt funds into three styles: high leverage, medium leverage and low leverage, and classify products with large leverage ratio fluctuations as leverage timing style.

Among the open pure debt funds, the number of highly leveraged funds is the largest, and the timing of adding leverage mainly occurs in the debt funds with medium and high leverage. The level of leverage does not seem to directly affect the yield of open-end pure debt funds. In general open pure debt funds, the number of highly leveraged funds is small, *** 105, and the annualized income center is about 3.99%; The middle and low leverage styles are dominant, with 393 middle leverage styles and an annualized income center of about 3.56; Low leverage style * * *, 367, annualized income center is about 3. 15%; There are 46 lever timing styles, and the annualized income center is about 3.35%. On the whole, there is an obvious positive correlation between leverage ratio and yield.

Support structure

Compared with stock funds, the risk-return characteristics of pure debt funds meet the steady appreciation demand of large funds, and are important investment tools for banks, insurance, pension funds, finance companies, large enterprises and investment companies. The proportion of institutional positions is very high, and the proportion has continued to rise in recent years. As of the third quarter of 2002/kloc-0, the average institutional shareholding ratio of pure debt funds was nearly 90%.

Four, pure debt fund investment strategy analysis

According to the different types of bond assets invested, the investment strategies of pure debt funds can be divided into two categories: interest rate bond strategy and credit bond strategy. The former has at least 50% of its assets invested in interest rate bonds, while the latter has at least 50% of its fund assets invested in credit bonds. Combined with the analysis of bond types in the third section, interest rate bond strategy and credit bond strategy funds correspond to funds with partial interest rate bond style and partial credit bond style respectively. Pure bond funds mostly adopt credit bond strategy, backed by credit, and operate interest rate bonds in bands.

Credit bond strategy: test the fund manager's credit timing ability and credit mining ability, find undervalued varieties by judging whether the macro-environmental credit spread is expanding or narrowing, find out the income through the sinking of qualification, and control the credit risk. When the macro-environment is getting better and the market liquidity is abundant, social credit is in the expansion period and market risk appetite is improved. At this time, the credit risk at the end of the real economy gradually decreases, and the moderate sinking of bond qualifications can obtain better returns under the premise of controllable risks; On the contrary, when the economy tends to be weak and liquidity is relatively tight, we should focus on investing in bonds with high credit rating.

This report speculates on the investment strategy of pure debt funds based on the securities allocation and income structure, and further improves the style portrait of pure debt funds, which can be used as a reference for the subsequent optimization of pure debt funds.

Five, pure debt fund style portrait example

This report first defines the pure debt fund and re-screens the pure debt-based gold pool. On this basis, this paper analyzes the investment style of pure debt funds from six aspects: bond type, duration, credit, leverage, institutional shareholding ratio and investment strategy, and further refines and sets the style label for our unified comparative study. The conclusion of this report is mainly obtained through quantitative research, and we will enrich and revise our portrait results with qualitative research in order to accurately locate and optimize the pure debt fund.

Related Q&A: Is there a relationship between pure debt funds and stock market ups and downs? Have a certain relationship. When the economy is available, the pure debt base and the stock market are highly complementary. The stock market rose, the bond market weakened, the stock market weakened and the bond market strengthened. In the economic downturn, that is, the stagflation period, bonds and the stock market will become short at the same time, which is often called "double killing of stocks and bonds". In the United States in 2008, China 20 13, there was a long period of double-kill, and the decline of pure debt funds was relatively small.