债券型基金分析：二级债基定量打分卡介绍

目录二级债基截面持仓特性 3不同市场下表现分析 6总体风险收益分析 10二级债基定量打分卡 12风险提示 19插图目录 20二级债基截面持仓特性“固收加”1049。从最新一期（25）（国债+政金债（转债+权益13.8740%以上的固收加基金都配置了至少一半的信用债。图1：25年三季度二级债基的各类资产在资产总值中的持有比例情况（%） 信用债国债政金债转债权益现金均值57.2214.7211.487.246.632.7110%分位数2.850.000.000.000.000.0930%分位数43.281.700.090.000.000.5350%分位数65.355.995.311.171.011.0570%分位数78.6512.6811.516.4812.602.2490%分位数92.9246.5734.6118.2317.525.99，国联民生证券研究所从二级债基在不同品种各季度表现变化来看，近5197925Q32.19.75.9%24Q38%，8.1%上行13.66%。信用债国债政金债转债权益2022-12-3169.924.9412.016.65信用债国债政金债转债权益2022-12-3169.924.9412.016.654.562023-03-3169.724.7611.517.185.112023-06-3068.195.2512.886.965.012023-09-3068.405.6011.797.525.092023-12-3166.736.2612.137.845.092024-03-3164.737.0413.107.785.102024-067.8215.327.375.262024-097.3516.178.025.632024-12-3159.499.5414.988.015.422025-03-3159.1710.7014.907.375.682025-06-3058.2712.4814.297.075.702025-09-3059.5212.0913.646.086.46国民证研所 国民证研所图4：利率债资产的平均持有比例变化（%） 图5：权益类资产的平均持有比例变化（%） 国民证研所 国民证研所我们以基金在过去12期配置结构和当期配置结构的标准差定义偏离度，以此来切分配置风格较为灵活的基金和风格稳定的基金，观测区间从22年Q3至年Q225年Q3的各资产持有情况计算方差后，再取均值，即可计算得到偏离度，样本基金（3）660级债基在各类资产的持有偏离度与最新一期信用债持有比例分布情况来看，偏离图6：二级债基在各类资产的持有偏离度分位数(纵)与最新一期信用债持有比例(横)分布情况（%） ，国联民生证券研究所接下来我们以偏离度低于一个较低阈值和高于一个较高阈值观测这些基金的配置较高比例的信用债和较低比例的利率债以及权益类资产；高偏离度的二级债图7：截至25年三季度各偏离度特征下的二级债基在不同资产的平均持有比例(相比资产总值，%)统计区间转债权益国债政金债现金信用债低于10%全样本偏离度分位数3.574.722.465.270.9882.97低于20%全样本偏离度分位数4.596.042.995.991.0579.29低于30%全样本偏离度分位数5.516.393.937.461.1775.51低于40%全样本偏离度分位数5.745.954.448.051.2974.39低于50%全样本偏离度分位数5.735.825.278.491.3273.18高于50%全样本偏离度分位数6.447.1018.9118.803.0945.42高于60%全样本偏离度分位数6.496.8320.6519.283.3843.28高于70%全样本偏离度分位数6.566.8324.8820.793.6937.24高于80%全样本偏离度分位数7.076.3428.8720.954.3532.42高于90%全样本偏离度分位数8.577.0639.4623.466.5014.96，国联民生证券研究所不同市场下表现分析投资者投资二级债基的主要原因在于其固收底带来的安全性和权益部分带来的进攻性，因此在股债轮动区间内的各债基表现也是一个重要的观测窗口我们以104在每类特征市场下的日收益变化情况。图8：上证指数和10年国债利率走势（%，截至2026年1月20日） ，国联民生证券研究所36（720月度最大回撤中位数为-0.15%，整体密集分布于低收益低回撤区间，收益率和波2.01%；253 (%) 图9：股债双牛市场下年化收益(纵)与回撤(横)分布(%) 图10：股债双牛市场下年化收益(纵)与波动 (%) 国民证研所 国民证研所年化收益最大回撤年化波动率10%分位数3.90-0.460.5920%分位数5.33-0.340.8730%分位数6.28-0.271.1840%分位数7.05-0.201.5550%分位数8.02-0.152.0160%分位数9.31-0.092.50年化收益最大回撤年化波动率10%分位数3.90-0.460.5920%分位数5.33-0.340.8730%分位数6.28-0.271.1840%分位数7.05-0.201.5550%分位数8.02-0.152.0160%分位数9.31-0.092.5070%分位数10.82-0.063.0080%分位数13.43-0.043.8590%分位数17.28-0.024.91年化收益最大回撤年化波动率10%分位数2.59-0.440.4620%分位数3.46-0.270.6830%分位数4.18-0.180.9440%分位数4.97-0.131.2750%分位数5.93-0.091.6560%分位数7.14-0.052.0970%分位数8.35-0.032.5880%分位数10.11-0.023.2390%分位数14.06-0.014.58国民证研所 国民证研所1.27%，月度最大回撤中位数为-0.32%，整体呈现一定的线性分2.02%；253年来均有所下降，年化波动率则有所上行。图13：股熊债牛市场下年化收益(纵)与回撤(横)分布(%)

图14：股熊债牛市场下年化收益(纵)与波动率(横)分布(%) 国民证研所 国民证研所图15：历（22年底至20260120风险收益指标(%) 图16：25年至20260120风险收益指标(%) 国民证研所 国民证研所股牛债熊市场下，滚动月收益的平均年化中位数为6.12为-0.28%，整体呈现一定的离散分布，并未表现出明显的集聚特征，收益率和波2.1225年以来各指标中位数里，3图17：股牛债熊市场下年化收益(纵)与回撤(横)分布(%)

图18：股牛债熊市场下年化收益(纵)与波动率(横)分布(%) 国民证研所 国民证研所年化收益最大回撤年化波动率10%分位数-0.16-0.620.7820%分位数1.01-0.451.1030%分位数2.28-0.381.3640%分位数4.02-0.321.6750%12-0.282.1260%44-0.242.64年化收益最大回撤年化波动率10%分位数-0.16-0.620.7820%分位数1.01-0.451.1030%分位数2.28-0.381.3640%分位数4.02-0.321.6750%12-0.282.1260%44-0.242.6470%分位数10.77-0.193.2280%分位数13.85-0.153.9590%分位数19.47-0.075.04年化收益最大回撤年化波动率10%分位数-0.40-0.430.6020%分位数0.97-0.310.8830%分位数2.15-0.251.1540%分位数3.76-0.211.42分位数5.42-0.181.75分位数7.45-0.162.1570%分位数9.82-0.132.5580%分位数12.62-0.093.1790%分位数18.39-0.054.53国民证研所 国民证研所-2.83%，月度最大回撤中位数为-0.46%，整体呈现明显的正向分布特征，收益率和波动率分布呈现明显反向特征，年化波动率中位数2.02%；25年以来各指标中位数里，最大回撤绝对值和年化波动率相比于近3年来均有所下降，年化收益率则有所上行。图21：股债双熊市场下年化收益(纵)与回撤(横)分布(%)

图22：股债双熊市场下年化收益(纵)与波动率(横)分布(%) 国民证研所 国民证研所图23：历（22年底至20260120风险收益指标(%) 图24：25年至20260120风险收益指标(%) 年化收益最大回撤年化波动率年化收益最大回撤年化波动率10%分位数-10.74-1.380.10%分位数-8.11-1.050.20%分位数-7.63-1.0320%分位数-5.61-0.7330%分位数-5.60-0.7730%分位数-4.22-0.6040%分位数-4.2140%分位数-3.2650%分位数-2.8350%分位数-2.3060%分位数-160%分位数-170%分位数70%分位数80%分位80%分位99国民证研所 国民证研所总体风险收益分析2026120111.38%，最大回撤中位数为-0.19%12.88%，最大回撤中位数为1.514.34%，最大回撤中位数-1.36%33.89%，最大回撤中位数-2.87%，从夏普比例来看二级债基近年来的表现持续增强。图25：截至20260120过去一段时间内二级债基的年化收益率分布

图26：截至20260120过去一段时间内二级债基的最大回撤分布 收益过去1月过去1季过去半年过去1年过去3年回撤过去1月过去1季过去半年过去1年过去3年10%分位数1.600.830.921.1010%分位数-0.53-2.14-2.79-4.0820%分位数2.971.721.521.720%分位数-0.37-1.49-1.82-2.830%分2.282.20-0.29-1.22-1.4140%分2.88-0.22-1.03-50%分位数11.383.9350%分位数-0.19-0.8060%分位数14.9360%分位数-0.1570%分位数1970%分位数-080%分位数80%分位数90%90%国民证研所 国民证研所图27：截至20260120过去一段时间内二级债基的年70%分位数 2.80%分位数90%70%分位数 2.80%分位数90%

图28：截至20260120过去一段时间内二级债基的夏70%分位数 8.80%分位数90%70%分位数 8.80%分位数90%波动过去1月过去1季过去半年过去1年过去3年夏普过去1月过去1季过去半年过去1年过去3年10%分位数0.320.430.540.7210%分位数0.65-0.56-0.59-0.3420%分位数0.620.720.810.920%分位数2.750.310.150.330%分位数0.951.011.2130%分位数4.410.850.7540%分位数1.371.4740%分位数5.301.3350%分位数1.741.8750%分位数6.121.6960%分位数2.1360%分位数7.09国民证研所 国民证研所从年化-回撤分布来看，过去1季二级债基主要分布在低收益低回撤区间内，整体呈现反向关系，大部分回撤控制在-1%以内，年化收益则在5%以内；从年化-波动分布情况来看，过去1季二级债基主要分布在低波动区间内，整体呈现正向关系。图29：过去1季二级债基年化收益(横)与回撤(纵)分布(%)

图30：过去1季二级债基年化收益(横)与波动(纵)分布(%) 国民证研所 国民证研所从较长期的分布情况来看，过去1年二级债基的平均回撤相对更大，年化收益分布情况与过去1季较为类似；年化收益与波动方面，低收益且高波动的组合相对较少，整体上看收益与波动的正向关系较为明显。图31：过去1年二级债基年化收益(横)与回撤(纵)分布(%)

图32：过去1年二级债基年化收益(横)与波动(纵)分布(%) 国民证研所 国民证研所二级债基定量打分卡在构建了三个维度对二级债基进行有效的分析后，我们从这三个方面来构建各二级债基的客观打分卡：决定其“股性”整时期可以进行较快的品种切换；取有效的超额，防御性的则在各类市场时能有效控制回撤。的夏普能够保证其在大部分时点下均能取得较好的表现，同时长期夏普和短期夏普可以从不同周期角度下观测债基表现。4（25Q36(2370%的为（统计样本中占比32.3%50%70%（统计样本中占比17.7%50%，且股牛债牛、股牛债熊市场下年化收益高于50%分位数的为进攻型（统计样本中占比21.1%50%50%分位数的为防御型（统计样本中占比28.9%图33：4类二级债基关键指标统计 偏离度及最新一期(25年Q3)平均资产配置比例偏离度分位数信用债权益类利率类偏债型22.84%82.566.749.41平衡型28.69%56.7620.3921.43进攻型73.25%40.6622.3334.60防御型76.25%49.237.0840.14分市场收益统计股熊债熊股熊债牛股牛债牛股牛债熊偏债型-1.053.427.613.90平衡型-5.560.0712.4911.40进攻型-7.77-1.4114.6515.07防御型-1.433.356.752.77风险收益指标1季收益_过去1年回撤_过去1季回撤_过去1年偏债型3.993.41-0.54-1.06平衡型7.417.12-1.26-2.07进攻型9.438.89-1.50-2.74-1.39，国联民生证券研究所202612011图34：部分偏债型二级债基表现基金代码偏离度分位数信用债权益类利率类收益_过去1季收益_过去1年回撤_过去1季回撤_过去1年波动_过去1季波动_过去1年过去1季夏普009290.OF4.40%85.838.135.240.123.926.774.188.894.02-0.39-0.591.531.094.88163825.OF16.80%83.067.857.83-2.055.416.694.127.465.11-0.15-0.531.261.284.82009203.OF8.30%90.133.014.811.114.715.492.266.682.87-0.29-0.641.120.824.70000069.OF8.10%83.688.986.61-1.875.1110.223.097.684.90-0.49-0.511.451.454.33013375.OF2.50%93.540.006.002.054.834.960.652.242.13-0.04-0.440.200.444.12519680.OF12.115.53-3.274.0811.604.507.345.49-0.60-0.711.471.664.03675111.OF11.456.45-0.595.088.953.536.774.63-0.64-0.721.421.493.77675100.OF1.30%80.9411.207.21-0.635.178.302.816.814.65-0.70-0.701.511.403.58485111.OF0.40%84.1010.854.92-2.680.499.867.008.845.28-0.88-1.022.162.243.45005451.OF18.90%84.568.734.74-0.204.297.172.516.044.28-0.64-0.641.351.323.44165517.OF18.60%80.1615.114.19-2.894.508.782.059.135.66-0.83-1.262.272.423.40270044.OF1.00%95.290.004.321.237.706.83-1.712.811.11-0.20-1.540.420.903.40700005.OF2.70%86.607.735.46-0.655.088.541.134.393.69-0.36-0.700.891.023.36004859.OF15.40%94.900.000.001.896.356.94-0.443.780.98-0.07-1.130.721.133.32070025.OF4.50%81.149.758.89-0.435.287.850.106.163.32-0.56-1.201.571.413.03016618.OF7.70%89.600.008.882.074.033.60-0.401.961.76-0.06-0.450.190.382.97002805.OF6.90%96.720.002.720.594.756.210.502.431.77-0.07-0.740.360.572.85015479.OF3.00%89.304.305.521.904.565.311.422.802.37-0.26-0.510.520.562.68100058.OF1.90%88.235.536.201.435.536.400.813.072.30-0.29-0.800.640.712.61002736.OF10.60%84.654.4910.581.184.494.04-0.312.832.60-0.23-0.450.550.672.60008463.OF3.60%95.153.880.821.115.415.520.224.001.55-0.60-1.091.010.962.57017475.OF18.00%85.049.374.78-1.59-6.349.2624.387.098.28-0.90-1.522.272.542.51008232.OF12.40%86.044.628.41-0.875.456.820.792.503.40-0.14-0.760.451.302.46005964.OF6.50%88.154.755.65-0.945.538.751.284.254.03-0.47-0.551.181.422.43000546.OF17.70%85.4710.413.990.816.128.021.843.882.86-0.30-0.911.041.312.38008668.OF2.80%97.270.002.401.306.646.26-0.552.251.30-0.19-1.340.370.812.27008296.OF4.70%91.000.008.361.626.816.79-0.404.091.74-0.25-1.091.191.342.27006004.OF14.10%93.590.455.60-0.815.228.050.532.661.88-0.27-0.770.560.752.24017172.OF13.20%86.980.0012.791.554.804.091.312.091.89-0.07-0.240.310.342.23002632.OF9.50%90.660.009.301.424.995.13-0.672.121.40-0.15-0.770.330.552.22006470.OF0.884.943.076.127.070.572.-0.20-0.810.660.842.19009483.OF0.0011.482.165.064.570.902.-0.06-0.320.280.402.18012941.OF0.60%92.720.007.192.224.053.941.451.711.87-0.02-0.160.140.242.16002534.OF4.00%94.490.005.14-4.256.239.290.892.631.73-0.15-0.550.580.772.13675091.OF5.00%85.820.0014.002.426.156.19-0.022.281.92-0.20-0.730.420.632.08014097.OF16.90%93.780.005.171.894.014.371.351.821.69-0.03-0.240.200.282.05380009.OF9.10%85.259.134.79-1.293.598.443.164.734.83-0.54-0.861.641.572.04200009.OF12.70%92.920.007.061.516.766.48-0.722.332.12-0.28-0.910.470.722.00003428.OF11.80%99.460.000.001.615.495.81-0.612.091.52-0.17-0.850.370.851.86008925.OF14.20%95.020.004.051.404.964.750.142.081.46-0.13-0.570.400.711.69，国联民生证券研究所图35：代表性基金净值走势(右)与10年国债利率(%，

图36：三维度下的定量特征基金代码基金简称基金成立日基金规模(亿)009290.OF富国添享一年持有A2020-06-023.74配置结构风险收益指标偏离度分位数基金代码基金简称基金成立日基金规模(亿)009290.OF富国添享一年持有A2020-06-023.74配置结构风险收益指标偏离度分位数4.40%年化收益_过去1季8.89信用债85.83年化收益_过去1年4.028.13最大回撤_过去1季-0.395.24最大回撤_过去1年-0.59各市场年化收益(%)各市场最大回撤(%)股牛债牛6.77股牛债牛-0.04股牛债熊4.18股牛债熊-0.14股熊债牛3.92股熊债牛-0.09股熊债熊0.12股熊债熊-0.21国民证研所 国民证研所图37：代表性基金净值走势(右)与10年国债利率(%，

图38：三维度下的定量特征左) 国民证研所 国民证研所远低于偏债型，在4于偏债型和防御型，最大回撤也比进攻型要小。图39：部分平衡型二级债基表现 基金代码偏离度分位数信用债权益类利率类收益_过去1季收益_过去1年回撤_过去1季回撤_过去1年波动_过去1季波动_过去1年过去1季夏普001235.OF0.3262.849.1927.42-1.895.149.914.758.135.91-0.37-1.071.281.865.25163806.OF0.3763.689.4426.48-4.062.337.485.618.016.31-0.38-0.971.361.894.87217003.OF0.3162.015.6831.440.297.077.59-0.3313.843.45-0.76-1.162.571.584.84003458.OF0.106.5175.9516.70-22.89-7.4342.4858.9072.2139.01-4.35-10.6615.5315.124.56004792.OF0.430.0116.5682.33-3.71-4.45-1.663.848.422.80-0.61-1.122.102.133.35002734.OF0.2864.0917.5018.15-1.383.076.082.784.044.33-0.31-0.830.791.293.32002490.OF0.2058.0028.3012.58-9.034.0918.2612.6720.6910.36-2.52-3.476.075.473.18340009.OF0.3051.5831.5213.58-4.970.3912.5111.328.467.41-0.84-1.892.263.073.12002276.OF0.2141.8346.0811.26-4.363.7315.0210.4812.4410.46-1.43-2.483.543.993.12000142.OF0.4940.7315.8142.96-9.662.0417.128.1811.946.76-1.41-1.413.392.743.11013411.OF0.3862.7212.4322.66-1.742.407.113.817.314.15-0.65-0.761.941.523.04202101.OF0.0251.7425.7120.79-8.12-6.2515.1121.3015.179.88-1.86-2.874.814.542.86000189.OF0.2261.6222.9714.78-8.89-1.1020.2216.6212.908.28-1.63-2.194.043.902.85160622.OF0.3063.7424.1411.10-3.933.2611.207.648.747.31-1.02-1.482.582.752.85012818.OF0.2758.1919.5721.39-9.171.1115.0811.0014.468.91-1.24-2.174.694.302.79014775.OF0.4048.6240.1410.95-12.27-5.5823.8729.8016.9718.46-2.18-4.705.757.182.71070005.OF0.4249.3619.8630.65-3.213.878.503.519.777.52-1.21-1.623.273.072.56012746.OF0.4817.7024.0353.79-11.47-5.5011.8317.9415.6812.37-2.23-2.235.584.472.56160513.OF0.4656.0815.3427.36-2.943.3012.509.067.226.02-1.20-1.342.332.662.50002636.OF0.4250.3437.117.60-10.55-5.3417.6920.8120.1914.29-2.07-6.197.638.362.46450005.OF0.4348.1335.5814.45-6.33-0.1511.688.9610.687.12-1.40-1.403.883.112.39180015.OF0.1949.4535.3113.67-11.71-2.5717.5818.3411.5012.81-1.72-3.154.254.882.38002501.OF0.2759.5719.8514.83-9.22-2.0015.0214.578.6910.76-1.46-2.523.123.992.34002351.OF0.1561.2224.5314.20-5.74-1.0618.4714.906.777.06-0.98-1.742.362.862.27003301.OF0.3461.1511.3612.15-7.060.6712.6611.117.665.48-1.35-1.442.772.672.26166008.OF0.4160.4615.8522.63-5.643.875.620.784.264.72-0.54-0.991.272.052.25010473.OF0.1260.0327.2711.82-8.44-2.9612.3113.5011.789.85-1.82-2.474.884.402.13006459.OF0.4747.7517.1034.70-9.80-4.2311.8611.046.155.59-0.76-1.602.272.472.09014088.OF0.1757.7420.3221.61-7.13-2.9716.2920.4611.3717.45-1.74-3.964.845.912.06004952.OF0.4247.0746.455.88-12.30-6.9420.2729.8212.4712.99-2.30-3.995.536.012.00000045.OF0.1763.7821.1914.54-6.25-1.9213.9011.857.177.57-1.21-1.752.882.992.00470018.OF0.2954.9824.3719.77-5.88-2.0215.2314.448.2710.30-1.43-1.873.593.731.91008556.OF29.734.74-6.65-2.4815.5512.679.0210.44-1.59-2.144.114.321.85180025.OF18.7614.11-9.34-2.2713.3611.336.136.42-1.02-2.032.653.051.79003336.OF0.4544.5329.8224.66-10.89-2.2217.4816.237.639.48-1.43-3.843.504.781.78006102.OF0.226.4478.6414.05-27.06-15.0856.0682.0923.2917.06-6.15-6.1512.6310.851.73020033.OF0.4559.3118.3420.02-7.65-2.6011.3113.815.297.83-1.14-1.532.272.731.7101098.645.395.73-1.19-1.832.342.7400648.856.238.36-1.20-2.432.873.50003275.OF0.250.7646.7552.21-8.68-4.5216.3526.369.1813.27-2.61-4.634.676.101.67，国联民生证券研究所图40：代表性基金净值走势(右)与10年国债利率(%，

图41：三维度下的定量特征左) 国民证研所 国民证研所图42：代表性基金净值走势(右)与10年国债利率(%，

图43：三维度下的定量特征左) 基金代码基金简称基金成立日基金规模(亿)基金代码基金简称基金成立日基金规模(亿)217003.OF招商安泰债券A2003-04-2825.86配置结构风险收益指标偏离度分位数30.60%年化收益_过去1季13.84信用债62.01年化收益_过去1年3.45权益类5.68最大回撤_过去1季-0.76利率类31.44最大回撤_过去1年-1.16各市场年化收益各市场最大回撤股牛债牛7.59股牛债牛-0.04股牛债熊-0.33股牛债熊-0.34股熊债牛7.07股熊债牛-0.05股熊债熊0.29股熊债熊-0.22国民证研所 国民证研所4图44：部分进攻型二级债基表现 基金代码偏离度分位数信用债权益类利率类收益_过去1季收益_过去1年回撤_过去1季回撤_过去1年波动_过去1季波动_过去1年过去1季夏普006114.OF0.900.8319.1279.31-7.74-5.6411.6910.6015.876.02-0.27-3.412.633.475.50011671.OF0.860.0519.0175.96-4.66-2.0711.6410.6121.1711.50-1.31-4.613.944.175.02720003.OF0.5726.8857.9810.82-15.531.8347.8359.0052.7435.57-2.58-6.1110.2510.575.01002986.OF0.990.5693.415.24-6.68-2.0711.3217.3955.2216.93-3.36-5.6711.709.864.60080003.OF36.368.68-11.52-5.7314.0816.3643.4817.24-2.12-4.329.167.004.59002521.OF93.245.40-7.08-4.959.3526.4452.9525.20-3.60-6.4511.4310.464.51233012.OF0.5445.0629.2020.94-8.74-2.1911.127.3816.326.49-1.02-2.503.553.424.20519933.OF0.5165.3518.0511.29-8.511.1013.0710.2714.377.95-1.11-1.983.123.254.16630009.OF0.5437.6846.4011.88-12.97-3.1123.3932.0239.5420.23-3.10-4.549.488.184.02610008.OF0.6345.0846.297.55-12.78-5.5432.7137.7331.8827.19-2.36-6.917.619.664.01000122.OF0.6448.8042.338.47-1.121.4812.149.8115.3911.46-1.24-2.423.754.133.74015931.OF0.7928.9316.8454.01-1.930.419.3110.3313.768.03-1.25-1.963.363.253.68000047.OF0.5137.1450.1710.63-13.281.2722.5935.3433.7523.78-3.41-5.478.989.053.60015583.OF0.946.6619.2072.74-3.58-2.0110.8114.4918.529.02-0.83-2.324.844.363.53004486.OF0.8047.5816.8534.04-7.55-3.779.9811.8013.2616.65-1.12-1.123.383.653.51050106.OF0.5657.7116.7523.96-2.643.9510.576.5016.727.63-2.14-2.914.394.053.49002738.OF0.6042.9525.9330.39-5.21-3.9814.5216.6610.5510.72-0.69-1.512.633.373.48261001.OF0.920.2838.1760.28-2.980.7011.9412.6112.9112.97-1.29-1.713.513.733.28160718.OF0.6255.8027.1816.36-9.35-2.9822.8125.8017.0517.14-1.69-2.744.885.073.21008524.OF0.720.4019.9377.99-10.281.1216.1810.3020.7411.18-1.17-3.626.136.763.15003628.OF0.910.1725.5862.64-10.29-4.4425.9533.4016.5121.16-1.84-7.854.889.643.09005843.OF0.8231.1038.0327.70-8.08-3.4618.2022.3916.6413.94-1.49-5.415.006.573.05253060.OF0.7530.0454.2115.55-5.70-2.2011.8912.0211.5512.84-1.18-3.433.334.953.05006650.OF0.6864.9720.847.06-8.34-0.3015.7116.5214.709.18-1.21-1.364.393.933.03004571.OF0.920.0828.4170.86-7.85-3.779.8513.9911.1010.05-1.15-2.213.284.072.96540001.OF0.899.7129.6255.25-3.001.919.886.8510.3010.01-1.52-2.723.023.972.94630007.OF0.5670.1018.366.70-5.510.9213.2916.6016.3510.55-2.05-2.725.094.442.94003133.OF0.6938.5755.235.85-11.72-5.1929.8135.3323.3022.65-2.82-6.467.479.122.93004885.OF0.5351.1919.6521.84-5.580.4510.1810.5312.307.02-1.35-2.033.723.512.93519753.OF0.7374.8017.377.33-4.75-0.4412.0510.718.618.00-1.06-1.342.552.682.83100035.OF44.1627.73-15.45-8.8926.8543.2418.-2.01-7.326.218.762.80008345.OF0.784.0078.8316.55-17.13-3.5220.3824.8823.7623.44-2.87-4.518.478.182.64161626.OF0.6316.3922.5759.90-7.575.0813.346.3110.715.78-2.07-3.683.643.382.55002720.OF0.5738.6132.2627.75-9.11-3.2714.1513.7611.3711.27-1.53-3.204.105.022.43006738.OF0.815.9031.7257.24-12.52-2.9617.3218.2124.1921.42-3.54-5.129.398.552.43004318.OF0.780.2027.5368.97-9.20-3.6915.9619.997.0610.51-0.49-2.352.353.862.41519519.OF0.970.8290.815.95-6.892.1815.4310.7824.779.88-4.46-7.479.7110.822.41530017.OF0.7410.8350.9336.87-21.87-6.4439.2039.1011.3821.72-1.63-8.654.189.682.39166010.OF0.5255.4527.3316.14-19.40-3.6631.7829.7113.7615.41-2.83-5.895.227.582.37010899.OF0.5128.4735.1929.66-20.56-2.3221.6414.4723.2612.14-5.32-6.249.919.142.21，国联民生证券研究所图45：代表性基金净值走势(右)与10年国债利率(%，

图46：三维度下的定量特征基金代码基金简称基金成立日基金规模(亿)002986.OF泰康丰盈A2016-08-249.00配置结构风险收益指标偏离度分位数基金代码基金简称基金成立日基金规模(亿)002986.OF泰康丰盈A2016-08-249.00配置结构风险收益指标偏离度分位数99.30%年化收益_过去1季55.220.56年化收益_过去1年16.9393.41最大回撤_过去1季-3.36利率类5.24最大回撤_过去1年-5.67各市场年化收益各市场最大回撤股牛债牛11.32股牛债牛-0.43股牛债熊17.39股牛债熊-0.58股熊债牛-2.07股熊债牛-0.60股熊债熊-6.68股熊债熊-0.98国民证研所 国民证研所图47：代表性基金净值走势(右)与10年国债利率(%，

图48：三维度下的定量特征左) 国民证研所 国民证研所4回撤绝对值也高于偏债型基金。图49：部分防御型二级债基表现 基金代码偏离度分位数信用债权益类利率类收益_过去1季收益_过去1年回撤_过去1季回撤_过去1年波动_过去1季波动_过去1年过去1季夏普019851.OF0.9611.650.0073.870.0912.119.91-4.267.293.06-0.02-2.370.702.698.36015543.OF0.985.050.0090.115.773.825.825.7014.649.75-0.15-1.231.674.747.94014742.OF0.8069.863.1126.722.172.944.872.0412.545.68-0.18-0.241.551.057.18002254.OF1.000.041.1790.611.634.937.314.9419.436.50-0.11-0.583.401.945.30015957.OF0.6984.558.775.00-2.561.477.354.045.003.84-0.37-0.710.861.424.16012539.OF0.6691.293.944.56-9.223.229.564.034.363.54-0.28-0.590.730.694.07019662.OF0.5079.680.0019.011.928.296.781.163.371.89-0.07-0.780.490.774.03005327.OF1.000.000.0028.150.457.7012.50-0.336.678.35-0.56-1.551.336.313.98006974.OF0.6891.311.387.16-0.694.437.631.754.202.16-0.34-0.490.740.653.80002377.OF0.8995.050.004.846.844.734.18-0.312.892.08-0.19-0.810.400.703.71020391.OF0.5477.154.0218.56-0.385.076.571.853.702.42-0.24-0.680.650.783.54519121.OF0.7950.989.3638.580.064.045.791.784.564.58-0.41-0.570.911.113.49013214.OF0.7050.315.8019.73-3.137.759.311.243.984.97-0.32-0.950.741.613.46008508.OF0.6499.970.000.002.785.936.231.292.491.73-0.11-0.570.320.463.36014456.OF0.8191.020.005.651.103.913.291.301.922.01-0.03-0.180.160.283.35000346.OF0.8599.170.000.76-0.846.257.781.862.772.01-0.19-0.870.410.663.33009227.OF0.5964.920.0032.960.936.277.20-0.903.251.49-0.11-0.860.560.953.31519324.OF0.8339.470.0057.331.415.396.09-0.892.700.45-0.06-0.980.390.773.29485107.OF0.5748.467.9441.92-1.195.209.981.854.913.65-0.45-0.511.071.213.29003176.OF0.8691.880.007.53-4.232.767.574.073.072.17-0.08-0.520.520.503.20020069.OF0.990.820.0073.50-0.60-2.034.910.106.162.90-0.54-0.671.511.033.15020209.OF0.990.890.0083.50-2.185.318.39-1.8715.690.92-2.15-4.534.623.563.09020813.OF0.5673.940.0025.182.884.714.011.832.953.07-0.12-0.140.510.603.02003037.OF0.6846.616.5340.64-3.700.018.004.088.988.85-1.01-1.702.532.702.99000351.OF0.5846.365.0446.190.456.987.130.004.692.94-0.42-0.751.111.102.96005366.OF0.5859.090.0040.510.585.895.53-1.447.551.64-0.76-1.042.131.492.89002625.OF0.8022.388.1559.401.055.195.580.907.584.63-0.43-0.852.161.882.86018772.OF0.8846.719.4140.69-1.721.378.0616.498.078.46-0.91-1.782.342.962.86001199.OF0.6677.290.0021.40-4.47-0.705.952.552.631.77-0.11-0.880.440.652.82003360.OF0.8634.406.4858.43-5.812.6010.271.453.932.99-0.45-1.400.921.292.74164509.OF0.7132.050.5066.940.546.005.88-0.813.390.88-0.35-1.100.741.132.69002395.OF0.000.00-3.805.1912.131.993.832.19-0.11-0.360.900.742.69006638.OF0.0080.44-0.650.815.160.173.211.05-0.05-0.540.680.532.67005455.OF0.5498.110.001.751.316.116.37-0.122.871.39-0.25-0.820.590.722.50018537.OF0.8734.096.5556.38-2.142.827.634.534.052.93-0.41-1.211.091.732.43015853.OF0.6788.992.956.980.074.445.510.403.121.87-0.34-0.610.720.702.39020177.OF0.7861.830.0037.242.7414.727.092.512.883.66-0.32-0.530.661.272.250116-1.222.490.80-0.18-1.360.491.2000360.321.991.75-0.10-0.440.260.39008344.OF0.8199.940.000.0