丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 转债波动率压缩，静待方向突破 ——可转债周报 20251122 报告要点 [Table_Summary] 当周转债表现偏弱，市价中位数震荡下行但仍处相对高位，整体溢价率有所拉伸，隐含波动率 小幅走强。结构上，大盘品种相对更具韧性，银行、钢铁及家电等防御方向表现较稳健，成交 仍集中于电力设备、基础化工、钢铁和有色金属板块。市场波动率整体回落或与投资者结构更 趋稳定及 ETF 波段配置有关，波动率压缩或为后市趋势性行情积蓄力量。一级市场推进平稳， 条款事件频发，对估值与交易节奏的短期扰动仍需关注。 分析师及联系人 [Table_Author] 赵增辉 熊锋 朱承志 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 SFC：BWI629 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 转债波动率压缩，静待方向突破 2] ——可转债周报 20251122 [Table_Summary2] 当周核心观点 当周转债表现偏弱，市价中位 ...

行情的级别与走向 长江证券研究所金融工程研究小组 research.95579.com 2 2025-11-26 %% %% %% %% research.95579.com 1 分析师 覃川桃 SAC执业证书编号：S0490513030001 SFC执业证书编号：BUT353 分析师及联系人 证券研究报告 • 证券研究报告 • %% %% %% %% 算法说明 区间最大涨幅：该时间段内从最低点到最高点曾经涨过的最大幅度 第一轮牛市：2005年6月6日至2007年10月16日 数据及算法说明 数据说明 若无特别说明，本文所用数据时间段均为2005至2025年11月14日 %% research.95579.com 3 第二轮牛市：2012年12月4日至2015年6月3日 第三轮牛市：2018年10月19日至2021年7月21日 本轮牛市：2024年2月5日至2025年11月14日 剔除检测服务行业 以一轮周线级别的行情的起点和终点定义牛熊市 全面牛市 vs 结构性牛市：不在不均，而在寡 通常认为前两轮为全面牛市，第三轮为结构性牛市 表1：四轮牛市中长江一级行业区间最大涨幅 | 名称 | 第一轮区间最大涨幅 | ...

Group 1 - The report indicates that A-shares are expected to gradually emerge from a structural "slow bull" market, with potential liquidity support from resident deposits and institutional funds in the medium to long term [3][18] - By 2030, the reallocation of resident assets is projected to bring in approximately CNY 5.4 to 12.0 trillion into the market, with contributions from deposit "migration" estimated at CNY 3.5 to 6.2 trillion and asset reallocation contributing CNY 1.9 to 5.7 trillion [3][7] - Insurance funds are expected to cumulatively increase their allocation to stocks and funds by about CNY 4.5 to 6.5 trillion over the next nine quarters [3][8] Group 2 - The potential "migration" space for resident deposits in China by 2030 is estimated to be between CNY 15.1 trillion and 24.0 trillion, based on different GDP growth scenarios and historical deposit decline rates [6][30] - The report outlines two scenarios for deposit migration: a rapid transfer scenario (2013Q1-2015Q2) leading to an upper limit of CNY 23.8 to 24.0 trillion, and a moderate transfer scenario (2020Q2-2021Q4) resulting in a lower limit of CNY 15.1 to 15.2 trillion [6][31] - The potential incremental funds from resident asset reallocation to the A-share market could range from CNY 3.5 to 6.2 trillion under different scenarios of deposit migration [7][34] Group 3 - The report estimates that by 2026, the potential incremental funds for the A-share market could be around CNY 6.0 to 9.6 trillion, with contributions from various channels including the primary market, active funds, private equity, and ETF funds [9][20] - The primary market is projected to contribute approximately CNY 347.2 to 559.4 billion, while private equity funds could contribute CNY 1.25 to 2.32 trillion, and ETF funds could add CNY 2.61 to 3.95 trillion [9][20] - The current margin balance as a percentage of the circulating market value remains healthy, indicating further potential for leverage funds to be released [9][35]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report focuses on the practical applications of bond indices in investment, systematically exploring their three core functions: serving as a tool for measuring asset performance, acting as a benchmark and tracking target for fund performance, and facilitating the construction of investment portfolios. It also introduces the Campisi and Brinson performance attribution models to analyze the logic of portfolio return decomposition and practical application steps [3]. 3. Summary by Related Catalogs Index Application: Analytical Tools in Investment Decision - Making Index Application One: Measuring Asset Performance - The interval price change of an index provides a reference for comparing the returns of different indices. By comparing the performance of wealth and net - price indices, bond returns can be split into coupon income and capital gains. Coupon income is relatively stable, with a slow downward trend in recent years, while capital gains are more volatile and significantly impact overall bond asset returns [17]. - Different - duration indices show distinct performance in various market conditions. Long - duration indices perform well in bull markets, and short - duration indices are more defensive in bear markets. Across different asset classes, there is a rotation relationship between bond indices and stocks, commodities, etc., which provides important references for asset allocation [7][24]. - Bond indices can be used as benchmarks for measuring the performance of fund portfolios. Different types of funds have different performance characteristics. Bond funds generally show better risk - dispersion and drawdown control capabilities compared to direct bond investments [27][34]. - Customized indices can be constructed to observe their risk and return performance [37]. Index Application Two: Performance Benchmark and Tracking Target - For actively managed funds, bond indices are performance benchmarks, and fund managers use strategies such as credit downgrading and duration management to outperform the benchmark. For passive index funds, bond indices are tracking targets, with requirements for daily average tracking deviation not exceeding 0.2% and annual tracking error not exceeding 2%. In practice, most index bond funds do not reach these upper limits [8][42]. - Fund performance comparison benchmarks can be divided into four types: index - based, interest - rate - based, numerical, and hybrid. The choice of performance benchmark affects the objective evaluation of fund managers' investment capabilities. Using wealth or total return indices as benchmarks can more comprehensively reflect the actual returns of investors [49][50]. - Index bond funds usually use full replication or sampling replication methods to construct portfolios. Sampling replication is more commonly used, and there are different specific methods. Tracking errors are mainly caused by subjective and objective factors [51][54]. - Index - enhanced bond funds are relatively scarce. They seek excess returns by adjusting the proportion of non - index component bonds and investing in other assets such as stocks [55]. Index Application Three: Flexible Construction of Investment Portfolios - Based on interest - rate forecasts, a duration - timing strategy can optimize portfolio performance. When yields are falling, the portfolio shifts to the ChinaBond 7 - 10 - year Treasury Bond Index to lengthen the duration; when yields are rising, it switches to the ChinaBond 1 - 3 - year Treasury Bond Index to shorten the duration [9]. - Incorporating bond indices into the stock - bond equilibrium framework can capture rebalancing signals through relative price changes between assets. A multi - asset timing strategy can continuously generate excess returns by switching between bond holdings and cash positions [9]. Performance Analysis Campisi Attribution Model - The Campisi model decomposes bond returns into holding income, price income, and bond residual income. Holding income includes coupon income and discount/premium convergence income; price income can be further split into Treasury curve riding income, Treasury curve movement income, and spread change income [70][71]. - Through the analysis of a simulated portfolio A, it is found that the portfolio failed to outperform the benchmark mainly due to insufficient exposure to interest - rate risks, resulting in lower price income [78][82]. Brinson Attribution Model - The Brinson model can be divided into the BHB model and the BF model, which differ in the calculation of industry allocation income. The model decomposes excess returns into industry allocation, individual security selection, and cross - income [83][84]. - Through the analysis of a simulated portfolio B, it is found that the total excess return of the portfolio in the second quarter of 2025 was 0.2995%. The main source was individual security selection income, followed by cross - income, which offset the small negative impact of industry allocation [90][93].

Investment Rating - The industry investment rating is "Positive" and maintained [11]. Core Insights - The Ministry of Ecology and Environment issued the allocation plan for carbon emission rights in the steel, cement, and aluminum smelting industries for 2024 and 2025, focusing on direct carbon emissions during production and implementing a carbon emission intensity control approach starting in 2025 [2][6]. - The allocation mechanism is expected to tighten gradually, which will benefit the demand for green certificates and CCER, leading to improved cash flow for waste incineration companies and supporting the logic of green fuel substitution [2][14]. Summary by Sections Event Description - On November 17, 2025, the Ministry of Ecology and Environment published the allocation plan for carbon emission rights, detailing the distribution range and methods for 2024 and 2025, including issuance, compliance, and carryover of quotas [6]. Event Commentary - The report expresses optimism regarding the demand for green certificates, which is expected to improve cash flow for waste incineration companies. Companies such as Huanlan Environment, Weiming Environmental Protection, and Guangguang Environment are highlighted for their potential [8][14].

Investment Rating - The investment rating for the company is "Buy" and is maintained [7]. Core Insights - The company reported a revenue of 4.402 billion yuan for the first three quarters of 2025, representing a year-on-year growth of 36.8%. The gross profit reached 1.621 billion yuan, with a gross margin of 36.8% [2][4]. - The company's R&D expenses amounted to 1.468 billion yuan, reflecting an 8.4% increase year-on-year, while the R&D expense ratio decreased by 8.9 percentage points to 33.8% [2][4]. - The enterprise-level Agent expansion has led to significant growth in the company's "Prophet AI" platform, which generated 3.692 billion yuan in revenue, a 70.1% increase year-on-year, accounting for 83.9% of total revenue [2][4]. Summary by Sections Business Performance - In Q3 2025, the company achieved a quarterly revenue of 1.78 billion yuan, a year-on-year increase of 31.4%. The demand for AI applications that deliver tangible business value has surged among enterprise clients, leading to the acquisition of new business opportunities across key industries such as energy, manufacturing, finance, and retail [8]. - The number of benchmark users increased to 103, with an average revenue contribution of 25.49 million yuan per user, marking a 71.4% year-on-year growth [8]. Product Development - The "Prophet AI" platform's revenue share continues to rise, with a reported 36.92 billion yuan in revenue for the first three quarters of 2025, up 70.1% year-on-year. The revenue from SHIFT intelligent solutions decreased by 12.5% to 6.02 billion yuan due to increased standardization in existing scene deliveries [8]. - The company has enhanced its core products and expanded downstream applications, launching ModelHub XC and the AI engine system EngineX, which are compatible with various domestic chips [8]. Market Position - The company is positioned as a leader in AI, benefiting from the ongoing penetration of AI across various industries. The potential for digital transformation in Chinese enterprises is significant, with traditional sectors like finance and automotive leading the way, while energy and manufacturing present substantial market opportunities [8]. - The company has maintained its position as the market leader in China's machine learning platform sector for seven consecutive years, with projected revenues of 6.937 billion, 9.062 billion, and 11.797 billion yuan for 2025-2027, reflecting a compound annual growth rate of approximately 30% [8].

Investment Rating - The investment rating for the company is "Buy" and is maintained [7] Core Insights - The company reported a revenue of 14.56 billion yuan for the first three quarters of 2025, representing a year-on-year increase of 19.1%. The net profit attributable to shareholders reached 1.58 billion yuan, up 75.5% year-on-year, while the net profit excluding non-recurring items was 1.53 billion yuan, reflecting an 81.5% increase [2][4] - In Q3 2025, the company achieved a revenue of 4.80 billion yuan, a year-on-year growth of 5.6%, with a net profit of 500 million yuan, marking a 62.5% increase year-on-year, and a net profit excluding non-recurring items of 490 million yuan, up 78.8% [2][4] Financial Performance Summary - For Q3 2025, motorcycle sales contributed significantly, with revenue from motorcycle sales reaching 3.44 billion yuan, accounting for 71.6% of total revenue. The "Wujie" brand generated 1.06 billion yuan in revenue, with export sales of 53,000 units, making up 50.0% of total revenue [11] - The gross margin for Q3 2025 was 18.8%, with a net margin of 10.5%, indicating improvements in profitability driven by an optimized product matrix and increased overseas sales [11] - The company has established 1,292 overseas sales outlets, with a focus on expanding into European, Central and South American, and Southeast Asian markets, contributing to a 24.9% year-on-year increase in sales revenue for the "Wujie" series [11] Future Earnings Projections - The projected net profits for the company from 2025 to 2027 are 1.917 billion yuan, 2.386 billion yuan, and 2.652 billion yuan, respectively, with corresponding price-to-earnings ratios of 13.97, 11.22, and 10.10 [11]

Investment Rating - The investment rating for the company is "Buy" and is maintained [6] Core Views - The company reported a revenue of 26.3 billion yuan for the first three quarters of 2025, representing a year-on-year growth of 30%, while the net profit attributable to shareholders was approximately 770 million yuan, a decline of 5% year-on-year. In Q3 alone, the revenue was about 9.2 billion yuan, with a year-on-year increase of 9%, and the net profit was approximately 160 million yuan, up 5% year-on-year [2][4] Summary by Sections Revenue Performance - In Q3, the company achieved a wind turbine shipment of approximately 4.2 GW, with onshore wind accounting for about 3.1 GW and offshore wind for about 1.1 GW, generating sales revenue of approximately 8.04 billion yuan, a year-on-year increase of 9%. The revenue from power station products was about 610 million yuan, showing some growth, while the revenue from power station operation decreased by 23% to approximately 270 million yuan [12] Profitability - The gross margin for Q3 was approximately 10.3%, an increase of 5.5 percentage points year-on-year. The period expense ratio was about 8.7%, down 0.7 percentage points year-on-year. The net profit margin was approximately 1.7%, showing a year-on-year decline [12] Other Key Indicators - The company's inventory and contract liabilities were approximately 18.5 billion yuan and 8.2 billion yuan, respectively, both at historical highs, which lays a foundation for future delivery performance [12] - The company is expected to see an improvement in the average delivery price of wind turbines in 2026, with a significant release of performance anticipated. The net profit attributable to shareholders is projected to be approximately 1.1 billion yuan and 2.8 billion yuan for 2025 and 2026, respectively, corresponding to price-to-earnings ratios of approximately 27 times and 11 times [12]

Investment Rating - The investment rating for the company is "Buy" and is maintained [7] Core Views - The company reported a revenue of 3.72 billion yuan for the first three quarters of 2025, representing a year-on-year increase of 4.6%. However, the net profit attributable to shareholders was 70 million yuan, a significant decline of 76.1% year-on-year [2][4] - In Q3 2025, the company achieved a revenue of 1.53 billion yuan, which is a year-on-year increase of 17.8% and a quarter-on-quarter increase of 21.4%. The net profit attributable to shareholders for this quarter was 20 million yuan, down 79.0% year-on-year and down 12.6% quarter-on-quarter [2][4] - The company's gross margin for Q3 was approximately 16.5%, a decrease of 6.3 percentage points year-on-year, primarily due to the company's proactive reduction of onshore wind business and a decline in power generation gross margin [6] - The company has seen an increase in contract liabilities, which reached 611 million yuan by the end of Q3 2025, indicating a solid foundation for future deliveries [13] Summary by Sections Revenue and Profitability - For the first three quarters of 2025, the company's gross margin was 19.07%, down 6.22 percentage points year-on-year. The total expense ratio for the same period was 14.38%, a decrease of 1.20 percentage points year-on-year [12] - The company received approximately 56 million yuan in other income due to increased government subsidies [12] Operational Insights - By the end of Q3 2025, the company's inventory and contract liabilities were 2.539 billion yuan and 611 million yuan, respectively, which are expected to support future delivery performance [13] - The company is actively expanding its domestic and international offshore wind product markets, which is anticipated to release growth potential in performance [13] Future Outlook - The company is expected to see net profits of approximately 180 million yuan and 760 million yuan for 2025 and 2026, respectively, corresponding to price-earnings ratios of approximately 69 times and 16 times [13]

Investment Rating - The investment rating for the company is "Buy" and is maintained [6]. Core Insights - The company reported a revenue of 3.742 billion yuan in Q3 2025, representing a year-on-year increase of 6.66% but a quarter-on-quarter decline of 3.37% [2][4]. - The net profit attributable to the parent company reached 645 million yuan, showing a significant year-on-year growth of 69.30% and a quarter-on-quarter increase of 13.54% [2][4]. - The non-recurring net profit was 598 million yuan, reflecting a year-on-year increase of 61.97% and a quarter-on-quarter growth of 15.49% [2][4]. Financial Performance Summary - In Q3 2025, the company's negative electrode business emphasized product structure, with a slight decline in shipment expectations, but unit profitability is expected to improve due to process optimizations [12]. - The company benefited from strong downstream demand for power and energy storage batteries, achieving breakthroughs in both sales volume and market share in the diaphragm coating business, with stable profitability anticipated [12]. - The base film business is experiencing positive growth and remains profitable, leading the industry, while equipment business revenue is estimated to have slightly declined [12]. - The company expects continued improvement in profitability, driven by new product launches and cost reductions from its Sichuan base, with stable growth in diaphragm coating, lithium battery equipment, and PVDF businesses [12]. - Forecasted net profits for 2025 and 2026 are 2.3 billion yuan and 3.3 billion yuan, respectively, corresponding to P/E ratios of 25X and 17X [12].