2026 年可转债年度策略：穿越“墨西拿海峡”

Group 1 - The report highlights that the valuation of convertible bonds does not directly reflect the volatility of the underlying stocks but rather follows the directional changes of the stocks. The market's confidence in the direction of stocks for 2026 remains strong, and the opportunity cost of convertible bonds is expected to be low in the near term [3][4] - The current high valuation of convertible bonds has already factored in significant expected increases in the underlying stocks' prices. The report suggests that the potential for further valuation increases in 2026 may rely more on the recovery of profitability rather than broad-based earnings growth [4][10] - The convertible bond market is expected to exhibit a "dumbbell" structure in 2026, with an increase in the number of new issues and changes in individual bond sizes and industry structures. However, the overall high valuation level may lead to new issues maintaining elevated listing valuations, making secondary market participation less attractive [5][10] Group 2 - The report discusses the construction of a long inflation strategy portfolio, including specific convertible bonds from sectors such as agriculture and electronics, while also preparing a corresponding cash flow strategy portfolio to mitigate potential adverse scenarios [9][10] - The analysis indicates that the high-low price strategy did not yield significant excess returns in 2025, and the report emphasizes the need to maintain a focus on low absolute price screening levels for future selections [6][10] - The report notes that the implied volatility of convertible bonds has recently exceeded the actual volatility of the underlying stocks, indicating a divergence that may reflect market sentiment rather than fundamental value [3][87]