11月转债市场月报：蓄势待发，看好新高-20251102

Report Summary 1. Report Industry Investment Rating The report does not explicitly mention the industry investment rating. 2. Core Views - The overall market uncertainty in November is expected to decline, and the probability of institutional加仓 is relatively high. Geopolitical negotiations between China and the United States are progressing orderly, and there was a summit in Busan at the end of October. Historically, insurance funds tend to enter the market for allocation in November and reduce positions in December. From 2022 - 2024, the average convertible bond position of insurance funds in November increased by 3.2% month - on - month, only slightly lower than that in January. [1][7] - Historically, the convertible bond market in November has a strong risk preference, with small - scale and low - rating bonds having high win - rate and odds. However, in December, there may be an obvious style switch, with large - scale and high - rating convertible bonds being dominant. [2] - The market has continuously broken through the upper edge of the 10 - year "convergent triangle", and the market trend is more optimistic. In October, the Shanghai Composite Index broke through 4000 points and closed above the "convergent triangle" formed since 2015 for many consecutive days. Although there may be a back - test for confirmation later, the trend breakthrough may bring more confidence to the market, and the subsequent market is worth looking forward to. [3][7] - Historically, the convertible bond market in November has a certain calendar effect, with a relatively high probability of positive performance. From 2018 to 2024, the probability of the China Securities Convertible Bond Index rising in November was about 71%, second only to July; the average monthly increase was 1.3%, second only to February and July. The high prosperity of the convertible bond market in November mainly comes from the promotion of the underlying stocks, and the valuation performance is average. [3][8] - Quantitatively, it is recommended to continue to pay attention to convexity and undervaluation strategies. The deep - learning undervaluation + convexity strategy and the traditional high - convexity strategy proposed earlier both achieved positive excess returns in October. The MLP undervaluation strategy had an excess return of nearly 1.8% in the past month and over 15% in the past year, performing the best. [3][22] - The top ten convertible bonds in November are Yiwei, Guanyu, Liyang, Yirui, Shentong, Bojun, Zhongte, ALa, Hebang, and Bengang. [3][26] 3. Summary According to the Directory 3.1 Market Trend Breakthrough and Year - End Allocation Market - In October, due to profit - taking demands, the release of listed companies' third - quarter reports, and geopolitical uncertainties, institutional enthusiasm for participating in the convertible bond market was generally low. In September 2025, the convertible bond positions of insurance institutions in the Shanghai and Shenzhen stock markets decreased by more than 20% month - on - month, reaching the lowest level since 2023. [7] - Looking forward to November, the overall market uncertainty is expected to decline, and the probability of institutional加仓 is relatively high. The market has broken through the upper edge of the 10 - year "convergent triangle", and the subsequent market is worth looking forward to. [7] 3.2 November's Win - Rate and Odds, Focus on Stock - like Nature and Qualification Downgrade - From 2018 to 2024, the probability of the China Securities Convertible Bond Index rising in November was about 71%, and the average monthly increase was 1.3%, indicating a high probability of high prosperity. The high prosperity mainly comes from the promotion of the underlying stocks, and the valuation performance is average. The average change in the 100 - yuan premium rate in November from 2018 to 2024 was - 0.4%, with a probability of more than 50% of a decline. [8][12] - In terms of style, small - scale and low - rating bonds may have high win - rate and odds in November. Since 2020, the average excess return of low - rating bonds relative to high - rating bonds in November was 10.4%, and that of small - scale bonds relative to large - scale bonds was 8.6%, both being the highest among all months. The probability of positive excess returns for small - scale and low - rating convertible bonds in November is about 80%. However, in December, there may be an obvious style switch. [17] 3.3 Quantification: Timing Signals Strengthen at the End of the Month, Focus on Undervaluation and Convexity - In terms of timing, the model's bullish signal strengthened at the end of October. Based on the timing model in the previous report, the model signal fluctuated around the threshold throughout October, and the timing effect slightly outperformed the China Securities Convertible Bond Index. At the end of October, the model signal value was 9.4%, the strongest in the past month. It is considered that the probability of the model being bullish in November is relatively high. [20] - Strategically, it is recommended to continue to pay attention to convexity and undervaluation strategies. The MLP undervaluation strategy had an excess return of nearly 1.8% in the past month and over 15% in the past year, performing the best. The positions of the MLP undervaluation and small - scale high - convexity strategies as of October 31, 2025, are provided. [22][23] 3.4 Individual Bonds: Top Ten Convertible Bonds in November - In November, a dumbbell - shaped combination of technology and cyclical domestic demand is continued. In the technology sector, the lithium - battery and energy - storage directions are favored, such as Yiwei and Guanyu convertible bonds. Technology - related convertible bonds may continue to be the main line in November, such as Liyang, Yirui, and Shentong convertible bonds. For high - performance convertible bonds, Bojun is recommended. In the cyclical + domestic demand sector, Zhongte, ALa, Hebang, and Bengang convertible bonds are recommended. [26] 3.5 October Market Review - In October, the China Securities Convertible Bond Index fluctuated, and the valuation remained high. The index showed a "V" - shaped trend, and Sino - US game was the main influencing factor. Compared with major broad - based indexes, the China Securities Convertible Bond Index performed strongly, underperforming the Guozheng Value and Shanghai Composite Indexes but outperforming the Guozheng 2000 and China Securities 1000 with similar underlying stocks. The 100 - yuan premium rate continued to fluctuate at a high level, closing at 28.8% at the end of the month, remaining above 28% throughout the month. [28] - In terms of clause games, the probability of convertible bond downward revisions decreased month - on - month in October, and the probability of non - call increased. Only three companies proposed downward revisions in October. Nine listed companies announced call provisions in October, the lowest number in the second half of 2025. [30][31] - In terms of supply, there was a net exit of convertible bonds in October, and the acceptance speed of new bonds increased significantly. The net supply of the convertible bond market in October was - 3.31 billion yuan, and the scale of convertible bonds at the end of the month was 55.979 billion yuan. Three convertible bonds were listed in October, with a listing scale of 730.2 million yuan. The two exchanges accepted a total of 20 convertible bond issuance plans, with a face - value scale of 20.144 billion yuan, the highest monthly level since April 2023. [32] - In terms of institutional behavior, insurance funds may have continued to reduce their convertible bond positions in October, while the convertible bond positions of public funds were firm. Insurance's convertible bond positions on the Shanghai Stock Exchange decreased by 7.25% month - on - month in October 2025, and the scale of convertible bonds held by general institutional investors decreased significantly due to the delisting of Pufa Convertible Bonds. Bank - related funds, including wealth management and self - operation, significantly reduced their convertible bond holdings. [34]