转债策略精研（十三）：从1700只“固收+”基金，挖掘股债两端配置结构策略

Group 1 - The overall situation of "fixed income +" funds shows a structured risk-return layering, with low-wave funds dominated by bonds (equity position <10%), providing stable but limited returns; medium-wave funds balanced between stocks and bonds (equity position 10%-20%), showing moderate volatility and robust performance in bull markets; high-wave funds with aggressive equity exposure (equity position >20%), exhibiting significant return elasticity but high drawdown risks [2][3][6] - The market is concentrated in mixed bond secondary funds, accounting for 45.33% of the total, reflecting investors' preference for a "steady progress" strategy, while bond-mixed funds attract high-risk capital through diversified asset allocation, although they represent a smaller scale [2][3][12] Group 2 - In the bond segment, low, medium, and high-wave "fixed income +" funds exhibit distinct risk-return characteristics: low-wave funds focus on high-rated, short-duration bonds, maintaining low drawdown days (<40 days) across market environments; medium-wave funds adopt a "coupon-focused, duration-adjusted" strategy, with drawdown days (40-80 days) and return volatility reflecting a "middle route" characteristic; high-wave funds employ aggressive duration management and credit downshifting, leading to significant drawdowns during bear markets [3][6][28] - The bond holdings of low-wave funds are primarily high-rated bonds, while medium-wave funds balance between high-rated credit bonds and 3-5 year interest rate bonds, and high-wave funds focus on cyclical and growth sectors, using bonds to control drawdowns while pursuing return elasticity [4][5][20] Group 3 - The stock allocation of low, medium, and high-wave "fixed income +" funds shows significant differences: low-wave funds maintain extremely low stock positions, with convertible bond allocations generally below 3%, focusing on high-rated credit bonds for stable coupon income; medium-wave funds allocate 10%-20% to stocks and convertible bonds, targeting stable sectors for excess returns; high-wave funds allow 20%-25% equity exposure, focusing on cyclical and growth sectors [4][5][6] - The performance of these funds during bull and bear markets reveals a clear differentiation in stock allocation strategies, with low-wave funds emphasizing stability, medium-wave funds focusing on dynamic balance, and high-wave funds pursuing return elasticity [6][20] Group 4 - The risk-return characteristics of the three types of funds vary significantly, with low-wave funds showing the least volatility and drawdown, medium-wave funds maintaining a balanced approach, and high-wave funds experiencing the highest volatility and drawdown during bear markets [6][22][23] - The analysis of bond holdings and duration strategies indicates that low-wave funds maintain a conservative duration profile, medium-wave funds adjust duration based on market conditions, and high-wave funds exhibit the most aggressive duration management [28][39][42]