量化转债月度跟踪（2026年03月）：2月量化转债组合超额0.23%-20260301

Group 1 - The quantitative convertible bond portfolio performed well in February, achieving a return of 1.01% with an excess return of 0.23%. Since 2025, the portfolio has generated a total return of 34.84%, outperforming the CSI Convertible Bond Index by 8.15% [4][10]. - The portfolio is constructed using three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [4][10]. - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors, providing insights into the latest pricing deviation factors [4][14]. Group 2 - The report includes a risk warning for convertible bonds based on forced delisting and risk warning rules from exchanges, as well as event-based and credit scoring methods [4][29]. - The timing model for convertible bond indices is based on three dimensions: price-volume model, pricing deviation, and bond elasticity, indicating a bullish signal with a current position of 67% [4][32]. - The latest timing signals for the CSI Convertible Bond Index show consistent bullish indicators from both the price-volume and pricing models [4][34].