固定收益周报：择券空间继续收窄-20250630

Group 1: Industry Investment Rating - No information provided in the report regarding the industry investment rating Group 2: Core Viewpoints - In the contraction cycle, the cost - performance ratio of stocks and bonds trends towards bonds, and the equity style trends towards value. Currently, long - term bonds have a slightly better cost - performance ratio than value - type equity assets. If the value - type equity assets continue to decline, there may be a good entry window. The top - down broad - based portfolio view is 80% equity value style and 20% 30 - year Treasury bond ETF. The new convertible bond portfolio has 0 equity - type convertible bond position and 70% total position, all allocated to value - style double - low and low - price convertible bonds (bond - like assets) [4] Group 3: Summary of Related Catalogs 1. Stock, Bond, and Convertible Bond Market Review - Last week, the A - share market oscillated upwards driven by sentiment and funds, with significant differentiation. Financial technology, small - cap growth, and micro - cap stocks performed strongly, while financial heavy - weight stocks were under pressure. The sector rotation accelerated. The computing power industry chain was boosted by NVIDIA's new high, the digital currency concept rose by the limit under the stimulation of Hong Kong's digital asset policy, the Xiaomi SU7 pre - sale stimulated the consumer electronics chain, military stocks strengthened in the middle of the week, and the non - ferrous metal sector was stimulated by factors such as shipping risks in the Strait of Hormuz, the weakening of the US dollar, and arms exports. The Hong Kong stock market was also differentiated, with innovative drugs under pressure and virtual asset license concept stocks soaring. Safe - haven assets were under pressure, with gold falling due to the easing of the Middle East situation and WTI crude oil plummeting to a 27 - month low. The domestic bond market oscillated due to the stock - bond seesaw effect, and the selling pressure of long - term bonds was relatively large, with the 30 - year Treasury bond futures experiencing a short - term diving market [2] - Last week, factors such as the strengthening of the underlying stocks, the continuous high - level oscillation of convertible bond valuations supported by the rigid demand of "fixed - income +" funds, and the repair of photovoltaic varieties led the CSI Convertible Bond Index to break through the previous high. Currently, the cost - performance ratio of convertible bonds is limited. On the one hand, the median price of the entire convertible bond market has risen to 123 yuan. On the other hand, the valuation has remained at a relatively high level, and the space for bond selection has narrowed. Overall, the proportion of inert convertible bonds with pending valuation adjustment is the largest and has further increased. Last week, the median conversion premium rate decreased from 32.5% to 30.8% (historical quantile 63%), the implied volatility increased from 27.1% to 29.6% (historical quantile 63%), and the median implied volatility difference increased from - 17% to - 15% (historical quantile 36%). Last week, the valuations of convertible bonds in some industries were actively increased, and there were even cases where the convertible bonds rose while the underlying stocks fell, such as in the banking, food, agriculture, transportation, and media industries. Currently, industries with relatively large bond - selection spaces include banking, non - ferrous metals, automobiles, and commercial trade, with mostly double - low and equity - type convertible bonds with good elasticity. In terms of market sentiment, the weekly average trading volume of the entire convertible bond market last week was 5.63 billion yuan, a 6% decrease from the previous week. The trading of traditional speculative bonds such as newly - issued bonds, low - rated convertible bonds, and double - high convertible bonds continued to be sluggish [3] 2. Market Outlook and Strategy Recommendation - From the perspective of large - scale asset allocation, in the contraction cycle, the cost - performance ratio of stocks and bonds trends towards bonds, and the equity style trends towards value. At the current point, long - term bonds have a slightly better cost - performance ratio than value - type equity assets. If the value - type equity assets continue to decline, there may be a good entry window. The top - down broad - based portfolio view is 80% equity value style and 20% 30 - year Treasury bond ETF. Therefore, the equity - type convertible bond position of the latest convertible bond portfolio is 0, and all are allocated to value - style double - low and low - price convertible bonds (bond - like assets), with a total position of 70%. Among them, low - price convertible bonds with a value style have a relatively long remaining time and the expectation of downward adjustment. The liquidity brought by the delisting of bank convertible bonds should be gradually deployed at low levels. Value - style double - low convertible bonds currently have dual advantages in terms of underlying stocks and convertible bonds: the industries of the underlying stocks generally have low valuations; in terms of convertible bonds, they are mainly high - rated convertible bonds, with valuations continuously suppressed and scarcity gradually increasing. The convertible bond broad - based portfolio underperformed the CSI Convertible Bond Index by 0.24 percentage points last week. Since its establishment in July 2024, the convertible bond broad - based portfolio has outperformed the CSI Convertible Bond Index by 15.85 percentage points in cumulative terms, with a maximum drawdown of 7.7% (the maximum drawdown of the CSI Convertible Bond Index during the same period was 7.5%) [4][5] 3. Performance of the Convertible Bond Market - By industry: Different industries showed different performances in terms of convertible bond yields, corresponding underlying stock yields, conversion premium rate changes, etc. For example, the communication industry had a convertible bond yield of 3.59% and a corresponding underlying stock yield of 5.63%, with a conversion premium rate change of - 2.50 percentage points; the national defense and military industry had a convertible bond yield of 3.31% and a corresponding underlying stock yield of 7.52%, with a conversion premium rate change of - 4.26 percentage points [13] - By bond attributes: Low - price convertible bonds, inert convertible bonds, double - low convertible bonds, equity - type convertible bonds, and double - high convertible bonds also had different performances. For example, low - price convertible bonds had a yield of 1.96%, and the corresponding underlying stocks had a yield of 3.26%, with a conversion premium rate change of - 2.17 percentage points [14] - By rating: Convertible bonds of different ratings, such as AAA, AA +, AA, etc., showed different yields, corresponding underlying stock yields, and conversion premium rate changes [15] - By underlying stock market value: Convertible bonds corresponding to underlying stocks of different market values had different performances. For example, convertible bonds corresponding to underlying stocks with a market value of over 20 billion yuan had a yield of 1.64%, and the corresponding underlying stocks had a yield of 2.04%, with a conversion premium rate change of - 0.59 percentage points [16] - By convertible bond balance: Convertible bonds with different balances also showed different performances. For example, convertible bonds with a balance of over 5 billion yuan had a yield of 1.49%, and the corresponding underlying stocks had a yield of 2.22%, with a conversion premium rate change of 0.18 percentage points [17] - By listing duration: Convertible bonds with different listing durations, such as old bonds, bonds listed for 3 - 4 years, etc., had different performances [18] 4. Characteristics of Convertible Bonds in Each Industry - Different industries had different characteristics in terms of the proportion of low - price convertible bonds, inert convertible bonds, double - low convertible bonds, equity - type convertible bonds, and double - high convertible bonds, as well as the median convertible bond price and conversion premium rate [19] 5. Rating, Scale, and Conversion Value of Convertible Bonds in Each Industry - Each industry showed different situations in terms of the proportion of convertible bonds of different ratings (AAA, AA +, etc.), different scales (market value ranges of underlying stocks, convertible bond balances), and conversion values [20]