债市专题研究：波动率策略应对跨年行情

Core Insights - The recent market environment has seen a preemptive year-end rally driven by policy expectations and a recovery in market risk appetite, leading to a simultaneous increase in risk preference and volatility [1] - The convertible bond market is expected to benefit significantly from the volatility factor due to heightened market activity and repricing [1][3] Weekly Analysis of Convertible Bonds - The Shanghai Composite Index has shown strong performance with eight consecutive days of gains, positively impacting the convertible bond market, which has also strengthened [2] - The small-cap convertible bond index outperformed the large-cap index, with a weekly increase of 2.17% compared to 0.1% for the large-cap index [2] - Sectors such as materials, information technology, and industrials have performed well, while consumer staples and financials have lagged [2] Market Trends and Volatility Factors - The volatility style is a key dimension for measuring price fluctuations and market sentiment, with multiple supporting logics for its strength during the year-end rally [3] - The transition of investor focus from "debt protection" to "equity elasticity" is driving the revaluation of high-volatility securities [3] - The Gamma effect is becoming more pronounced as the prices of underlying stocks rise, enhancing the sensitivity of convertible bonds to volatility [3][18] Future Outlook for Convertible Bonds - The convertible bond market is entering a new environment characterized by high prices and potential overvaluation, suggesting a strategic shift towards increased exposure to volatility [4] - As of December 26, 2025, the cumulative return of the volatility style reached 104.22%, with an annualized return of 16.18% and a Sharpe ratio of 1.51, indicating strong performance relative to other styles [4][20] - Investment strategies should shift from a defensive to an offensive mindset, focusing on high historical volatility securities and increasing the weight of volatility factors in portfolios [4][20] Convertible Bond Market Tracking - The performance of various convertible bond indices has shown significant variation, with the high-price index increasing by 3.8% over the past week, while the low-price index only increased by 0.53% [22] - The market is currently characterized by structural opportunities, with notable differentiation among individual securities [19][22]