债市专题报告：量化可转债择券每日跟踪应用指南-20251127

Report Industry Investment Rating No information provided in the report regarding industry investment rating. Core Viewpoints The report focuses on systematically introducing the design logic and usage methods of the "Daily Chart" for convertible bond selection under different style dimensions. It covers a five - style ("Behavior - Valuation - Volatility") three - dimensional logical framework designed with 115 factors, aiming to screen convertible bond targets with future income elasticity and provide quantitative strategy support for asset allocation and fixed - income plus strategies [1]. Summary by Directory 1. Quantitative Perspective on the Convertible Bond Market In the context of "low interest rates - expansion of fixed - income plus strategies - structural slow - bull market", the convertible bond market shows increased trading activity, strengthened equity nature, and diversified capital structures. As of November 26, 2025, the market had a stock of 566.59 billion yuan and 412 bonds. Traditional bond - selection methods are difficult to capture short - term driving forces, so a multi - factor framework for daily tracking is needed [12]. 2. Style Perspective on the Convertible Bond Multi - Factor System 2.1 Five Categories of Style Factors Introduction A multi - dimensional system with 115 daily - frequency factors was constructed. The five style dimensions are valuation, momentum, volatility, liquidity, and price - volume correlation. Valuation factors measure price relative to fundamentals; momentum factors measure price trends; volatility factors measure risk and option features; liquidity factors measure tradability; and price - volume correlation factors measure market sentiment and structural games [13][17]. 2.2 Correlation between Five Categories of Style Factors and Returns The effectiveness test shows that valuation factors have stable positive explanatory power; volatility and liquidity factors perform well in trading - type markets; momentum and price - volume correlation factors show "reverse momentum" characteristics [17]. 3. Style Dimension of the Convertible Bond "Daily Chart" The "Daily Chart" is updated after the market closes. It presents potential convertible bonds from five style factors, with color - coded columns for easy identification of valuation, weekly performance, and style differences. It serves as a post - market observation tool, a reference for actual trading, and a risk - control and monitoring tool [3][19].