> 数据图表如何解释052025-12-305信用债/科创债ETF：交易策略优于配置策略，关注套利策略空间 债市调整阶段，折价幅度很可能加深。历史经验看，每1bp的调整可能会带来2.5-4.5BP的贴水增加，但是信用债ETF与科创债ETF的底层成分券均为高等级信用债，因此，深度折价的幅度难以持续超过30BP。以基准做市ETF为例，折价超过30BP的最长持续天数为7个交易日。 关注信用债/科创债ETF的波段套利、传统折溢价套利与日历效应空间。（1）波段套利，折价幅度超过30BP时，在场内买入静待折价修复。（2）传统折溢价套利策略，场内价格低于净值，买入后当天赎回（T+2套利，场内买入，T+2盘中到账）；场内价格高于净值，场外申购，然后卖出（T+0套利）（3）日历效应，科创债/基准做市ETF季末冲量下的日历效应、短融ETF长假前的日历效应套利，国债逆回购+信用债ETF组合套利等。0.50%0.00%-0.50%-1.00%基准做市ETF升贴水率走势科创债ETF升贴水率与套利收益实测y = -107.31x + 0.01570.30R² = 0.84040.250.200.150.100.050.00科创债/基准做市ETF季末冲量下的日历效应大成深证基准做市信用债ETF广发深证基准做市信用债ETF南方上证基准做市公司债ETF易方达上证基准做市公司债ETF博时深证基准做市信用债ETF天弘深证基准做市信用债ETF海富通上证基准做市公司债ETF华夏上证基准做市公司债ETF-0.10-0.15-0.20-0.25%-0.20%-0.15%-0.10%-0.05%0.00% 0.05% 0.10%-0.05数据来源：WIND，国泰海通证券研究整理，截至2025年11月15日。（横轴为升贴水率，纵轴为套利收益（%））28基金简称2025/9/242025/9/252025/9/262025/9/292025/9/302025/10/9 2025/10/10 2025/10/13 2025/10/14 2025/10/15大成深证基准做市信用债ETF博时深证基准做市信用债ETF广发深证基准做市信用债ETF天弘深证基准做市信用债ETF海富通上证基准做市公司债ETF华夏上证基准做市公司债ETF南方上证基准做市公司债ETF易方达上证基准做市公司债ETF科创债ETF广发科创债ETF博时科创债ETF鹏华科创债ETF易方科创债ETF华夏科创债ETF招商科创债ETF富国科创债ETF景顺科创债ETF嘉实科创债ETF南方科创债ETF永赢科创债ETF银华科创债ETF泰康科创债ETF万家科创债ETF国泰科创债ETF中银科创债ETF华泰柏瑞科创债ETF华安科创债ETF天弘科创债ETF摩根科创债ETF兴业科创债ETF汇添富科创债ETF工银科创债ETF大成-0.52%-0.51%-0.48%-0.47%-0.57%-0.57%-0.50%-0.53%-0.03%-0.17%-0.08%-0.12%-0.16%-0.11%-0.16%-0.39%-0.09%-0.10%0.02%0.05%0.06%0.05%0.07%0.07%0.03%0.07%0.05%0.07%0.19%0.07%0.08%0.06%-0.52%-0.58%-0.51%-0.54%-0.56%-0.59%-0.44%-0.57%-0.03%-0.31%-0.21%-0.23%-0.23%-0.13%-0.21%-0.50%-0.05%-0.10%-0.16%-0.21%-0.08%-0.27%0.01%-0.06%-0.09%-0.05%-0.13%-0.13%0.03%0.01%-0.12%-0.09%-0.35%-0.50%-0.40%-0.43%-0.39%-0.48%-0.33%-0.43%0.04%-0.19%-0.09%-0.12%-0.13%0.00%-0.09%-0.49%0.01%-0.07%-0.16%-0.09%0.01%-0.05%-0.01%-0.02%-0.03%-0.03%-0.04%-0.03%0.06%-0.01%-0.07%-0.03%-0.35%-0.46%-0.37%-0.45%-0.44%-0.46%-0.33%-0.40%-0.05%-0.20%-0.13%-0.11%-0.15%0.00%-0.04%-0.45%0.06%-0.08%-0.22%-0.04%-0.01%-0.21%-0.01%-0.01%-0.05%-0.06%-0.02%-0.03%0.01%-0.04%-0.06%0.04%-0.07%-0.29%-0.24%-0.18%-0.21%-0.25%-0.21%-0.22%0.13%-0.07%-0.03%-0.06%0.02%0.04%0.13%-0.31%0.14%0.05%-0.19%0.02%0.07%-0.06%0.03%0.03%0.00%-0.01%0.02%0.00%0.07%-0.02%0.00%0.00%-0.32%-0.49%-0.37%-0.37%-0.38%-0.40%-0.35%-0.40%-0.17%-0.18%-0.14%-0.17%-0.19%-0.20%-0.15%-0.41%-0.16%-0.18%-0.14%-0.13%-0.05%-0.19%-0.12%-0.10%-0.14%-0.13%-0.16%-0.18%-0.12%-0.17%-0.18%-0.09%-0.32%-0.44%-0.35%-0.37%-0.41%-0.44%-0.41%-0.43%-0.20%-0.20%-0.19%-0.20%-0.21%-0.17%-0.16%-0.41%-0.16%-0.19%-0.20%-0.13%-0.08%-0.17%-0.16%-0.16%-0.19%-0.19%-0.17%-0.18%-0.09%-0.19%-0.17%-0.16%-0.34%-0.50%-0.46%-0.42%-0.45%-0.47%-0.43%-0.53%-0.21%-0.29%-0.31%-0.23%-0.32%-0.21%-0.16%-0.46%-0.23%-0.22%-0.24%-0.17%-0.09%-0.20%-0.23%-0.22%-0.20%-0.15%-0.21%-0.23%-0.07%-0.21%-0.18%-0.23%-0.24%-0.42%-0.39%-0.37%-0.36%-0.37%-0.31%-0.40%-0.18%-0.23%-0.23%-0.22%-0.27%-0.23%-0.13%-0.45%-0.15%-0.16%-0.30%-0.18%-0.12%-0.21%-0.15%-0.26%-0.23%-0.17%-0.17%-0.23%-0.13%-0.21%-0.19%-0.20%-0.37%-0.46%-0.41%-0.33%-0.40%-0.44%-0.35%-0.42%-0.28%-0.25%-0.24%-0.25%-0.27%-0.26%-0.18%-0.45%-0.20%-0.15%-0.31%-0.14%-0.11%-0.20%-0.19%-0.26%-0.32%-0.16%-0.18%-0.20%-0.14%-0.28%-0.24%-0.23%国泰海通金融地产
