国海证券晨会纪要-20251113

Core Insights - The report addresses key questions regarding the current position of the convertible bond market and the optimal strategies to adopt in this context [4]. - The convertible bond market is currently in a phase of consolidation following a high valuation correction, with risks being released but the cost-effectiveness of allocations still needing improvement [4]. - The premium rate has decreased from a high of 32.49% at the end of August to around 27%, stabilizing around 29% recently, indicating a cooling market [4][5]. - The median of the dual-low value has also dropped from above 170 to a range of 166-168, reflecting similar characteristics to previous market peaks since 2022 [4]. Market Positioning - The current market is not in a high valuation danger zone, nor has it reached a significantly attractive allocation bottom [4]. - The dual-low strategy continues to demonstrate superior risk-return characteristics during this consolidation phase, historically yielding stable excess returns while controlling drawdowns better than high valuation strategies [5]. - In previous market peak phases, such as February 2022 and August 2022, the dual-low strategy outperformed, while high valuation strategies generally underperformed with larger drawdowns [5]. Strategic Recommendations - It is recommended to focus on the dual-low strategy while optimizing execution based on the valuation environment [5]. - Selection of individual bonds should prioritize those with reasonable valuations and sufficient downside protection, adjusting traditional dual-low price screening standards to better fit the current market structure [5]. - Increasing the weight of high-rated bonds in the portfolio is suggested to enhance overall defensive attributes and stability, balancing returns and risks in a volatile market [5].