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5月转债投资策略与关注个券:平衡型策略跟住指数,等待冲击带来的配置机会

Report Summary 1. Report Industry Investment Rating The report does not mention the industry investment rating. 2. Core View of the Report - In April, US tariff policies disrupted the market rhythm, but the structural characteristics of the equity market remained. The convertible bond strategy portfolio maintained stable relative returns, with a -1.01% monthly return in April, outperforming the CSI Convertible Bond Index which fell 1.31%. The portfolio achieved stable excess returns relative to the index in the first four months of the year [3][6]. - The resilience of convertible bond valuations continued. At the end of April, the weighted implied volatility of the convertible bond balance in the entire market returned to over 20%. The conversion premium rates in different price ranges were at relatively high levels since 2018. The underlying logic supporting valuations remained unchanged in the second quarter. The advantages in terms of returns and volatility led to a recommended allocation ratio of over 12% for convertible bonds in April [3][17]. - Convertible bonds currently exhibit a "鸡肋" characteristic. The weekly revised potential yield fluctuated between 6 - 8% in April. As of April 30, the revised potential yield was 7.40%. While there is some appeal in terms of absolute returns and the potential for asset bubble - like pricing, the medium - to - long - term risk - return ratio is not attractive. It is recommended to adopt a neutral balanced bond - selection strategy to follow the index performance and wait for market shocks to create better allocation opportunities [3][27]. - When constructing the portfolio, consider reducing the allocation of traditional dividend strategies for underlying stocks, increasing the YTM strategy to reduce portfolio volatility; for high - volatility and low - price balanced bond - selection strategies, increase the selection of technology - growth stocks in May; and pay attention to marginal changes during the earnings period in active bond selection [39]. 3. Summary by Relevant Catalog I. Tariffs Disrupted the April Market Rhythm, but the Structural Characteristics of the Equity Market Remained - In early April, the Trump administration's unexpected tariff policies caused significant fluctuations in global capital markets. A - share markets experienced a sharp decline due to short - term pessimism and liquidity shocks. However, Central Huijin's actions stabilized market liquidity, and the structural characteristics of the equity market continued [6]. - The activity of small - and micro - cap stocks continued, with the North - bound 50 and Science and Technology Innovation 50 indexes performing well. The trading volume of the CSI 2000 and CSI 1000 indexes accounted for nearly 50% of the total market. The style switching in April was less obvious than in December last year, and the traditional calendar effect was not evident [6]. - The convertible bond strategy portfolio maintained stable relative returns. In April, it recorded a -1.01% return, outperforming the CSI Convertible Bond Index which fell 1.31%. The portfolio achieved stable excess returns relative to the index in the first four months of the year [3][6]. II. The Valuation Resilience of the Convertible Bond Market Continued - The resilience of convertible bond valuations continued in April. The weighted implied volatility of the convertible bond balance in the entire market returned to over 20% at the end of April. The conversion premium rates in different price ranges were at relatively high levels since 2018 [3][17]. - The underlying logic supporting valuations remained unchanged. Compared with pure bonds, convertible bonds maintained advantages in terms of returns and volatility. The recommended allocation ratio for convertible bonds remained above 12% in April. Market capital activity also continued, and the issuance of new convertible bonds accelerated in April [17][19]. III. Balanced Strategy to Follow the Index and Wait for Allocation Opportunities Brought by Market Shocks - The "鸡肋" characteristic of convertible bonds can be quantitatively described by the revised potential yield. The weekly revised potential yield fluctuated between 6 - 8% in April, corresponding to a neutral return expectation of 3 - 5% [27]. - The daily revised potential yield can be used to identify short - term trading opportunities and "win - rate." When the daily revised potential yield exceeds 10%, convertible bonds become more attractive. Different ranges of the revised potential yield correspond to different probabilities of positive returns for the CSI Convertible Bond Index in the next year [30][35]. - As of April 30, the convertible bond revised potential yield was 7.40%. It is recommended to adopt a neutral balanced bond - selection strategy to follow the index performance and wait for market shocks to create better allocation opportunities. Potential risks in May include market structural differentiation, convertible bonds resisting price adjustments with premium rates, and adjustments in important weighted convertible bonds [36]. IV. Convertible Bonds to Watch in May - When constructing the portfolio, reduce the allocation of traditional dividend strategies for underlying stocks and increase the YTM strategy to reduce portfolio volatility; for high - volatility and low - price balanced bond - selection strategies, increase the selection of technology - growth stocks; pay attention to marginal changes during the earnings period in active bond selection [39]. - For large - cap bottom - holding bonds, replace some traditional dividend allocations with the YTM strategy. In May, it is recommended to focus on Lvdong Convertible Bonds. For the 1 - 2 - year high - YTM strategy, recommended bonds include Wanqing Convertible Bonds, Jingke Convertible Bonds, Jiayuan Convertible Bonds, and Rongtai Convertible Bonds [40][41]. - For balanced bond - selection, increase the proportion of technology - related stocks. Recommended bonds include Haineng Convertible Bonds, Liang Convertible Bonds, Huazheng Convertible Bonds, and Fengshan Convertible Bonds [42]. - For active bond - selection, pay attention to marginal changes during the earnings period. Recommended bonds include Huayou Convertible Bonds, Shouhua Convertible Bonds, Haopeng Convertible Bonds, and Juxing Convertible Bonds [43].