量化转债月度跟踪（2026年02月）：1月量化转债组合超额0.43%-20260201

Group 1 - The quantitative convertible bond portfolio performed well in January, achieving a return of 6.26% and an excess return of 0.43% compared to the index [5] - Since 2025, the portfolio has generated a total return of 33.49%, with an excess return of 7.92% relative to the China Convertible Bond Index [5] - The portfolio is constructed based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [11][12] Group 2 - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds [5] - The latest data on pricing deviation factors is presented, showing the difference between market prices and theoretical pricing [19] - The report includes a list of convertible bond factors used in the portfolio construction, detailing various financial metrics and ratios [15][16] Group 3 - A risk warning is issued for convertible bonds based on forced delisting and risk warning rules, including various types of credit risks [5][33] - Specific convertible bonds are highlighted for forced delisting warnings, including "Lingnan Convertible Bond" and "Shengxun Convertible Bond" [33] - The report provides a comprehensive risk assessment for convertible bonds, categorizing them into trading, financial, and event-type credit risks [33] Group 4 - The timing model for convertible bonds is based on price-volume models, pricing deviations, and bond elasticity, with a current position recommendation of 67% [5][35] - The timing signals for January indicate bullish signals from both the price-volume model and the pricing model [36] - The report outlines the recent signals from the timing model, confirming a consistent bullish outlook for the convertible bond market [36]