转债择时+择券策略周度跟踪-20260213

Report Information - Report Title: Convertible Bond Selection + Timing Strategy Weekly Tracking (as of February 2, 2026) - Report Date: February 2, 2025 - Report Source: Financial Products Center, Securities Research Report [1] Core Viewpoints - This week, the three strategies jointly held 6 convertible bonds, namely Lanfan Convertible Bond, Changqi Convertible Bond, Qiaqia Convertible Bond, Fuhan Convertible Bond, Xianle Convertible Bond, and Zheng22 Convertible Bond. The sub - low - price strategy maintained low turnover, and the price center of the increased - holding targets was at a medium - high level. The option strategy also maintained low turnover [2] - The double - low strategy's increased - holding targets this week were mainly affected by the implied volatility, the factor of convertible bond price changes relative to the underlying stock price changes, and the环比 change of the conversion premium rate [6] - From an industry perspective, the model's recommended directions are petroleum and petrochemicals, building materials, building decoration, social services, and basic chemicals. The industry mainline is cyclical, mainly contributed by the factor of conversion price change relative to the underlying stock price change and the conversion premium rate factor. There is a marginal increase in social services [7] Strategy - related Summaries Sub - low - price Strategy - Increased - holding targets: ForceNuo Convertible Bond (123221), YinBang Convertible Bond (123252), etc. [4] - Performance: It fell 1.84% in the past week, with an excess return of - 0.96% compared to the Wind Convertible Bond Low - price Index. It rose 5.44% this year, with an excess return of 1.65% compared to the benchmark. In the past year, the annualized return was 25.15%, the Sharpe ratio was 2.21, the Calmar ratio was 3.96, the maximum drawdown was 6.35%, and the annualized excess return was 4.09% [10][12][26] - Factor: The factor was the average closing price of the past week, with a weight of 100%. The IC mean was - 7.90%, the IC standard deviation was 22.29%, the ICIR was - 35.45%, the frequency of IC>0 was 18.53%, and the p - Value was 0.00% [15] Option Strategy - Increased - holding targets: NaiPuZhuan02 (123265), LianRui Convertible Bond (118064), etc. [6] - Performance: It fell 1.84% in the past week, with an excess return of - 0.96% compared to the Wind Convertible Bond Low - price Index. It rose 7.95% this year, with an excess return of 4.08% compared to the benchmark. In the past year, the annualized return was 32.53%, the Sharpe ratio was 3.09, the Calmar ratio was 6.96, the maximum drawdown was 4.68%, and the annualized excess return was 10.12% [10][12][26] - Factor: The main factor was the intraday amplitude difference of the convertible bond relative to the underlying stock, with a weight of 100%. The IC mean was - 4.40%, the IC standard deviation was 19.04%, the ICIR was - 23.09%, the frequency of IC>0 was 31.38%, and the p - Value was 0.00% [15] Double - low Enhanced Strategy - Increased - holding targets (TOP10): ShuangLiang Convertible Bond (110095), LiZi Convertible Bond (111014), etc. [25] - Performance: It fell 2.63% in the past week, with an excess return of - 1.17% compared to the Wind Convertible Bond Double - low Index. It rose 6.40% this year, with an excess return of 4.12% compared to the benchmark. In the past year, the annualized return was 30.83%, the Sharpe ratio was 2.18, the Calmar ratio was 3.97, the maximum drawdown was 7.76%, and the annualized excess return was 14.17% [10][12][26] - Factor: Multiple factors were involved, such as the convertible bond price change relative to the underlying stock price change in the past week, the average closing price in the past week, and the 环比 change of the conversion premium rate in the past week, each with a weight of 20% [15] Industry Rotation Strategy - Recommended industries: Petroleum and petrochemicals, building materials, building decoration, social services, and basic chemicals. The top 5 industries and bottom 5 industries are also presented in the report [7][8] - Performance: It fell 1.38% in the past week, with an excess return of 0.10% compared to the Wind Convertible Bond Double - low Index. It rose 4.34% this year, with an excess return of 2.10% compared to the benchmark. In the past year, the annualized return was 23.38%, the Sharpe ratio was 1.71, the Calmar ratio was 3.52, the maximum drawdown was 6.64%, and the annualized excess return was 7.62% [10][12][26] - Factor: Four factors were used, including the Amihud ratio, the double - low factor's historical quantile, the convertible bond price change relative to the underlying stock price change in the past 2 weeks, and the 环比 change of the conversion premium rate in the past month, each with a weight of 25% [15]