固收增厚产品系列报告之一：可转债基金的再定位与再解析

1. Report Industry Investment Rating No information regarding the industry investment rating was provided in the report. 2. Core Viewpoints of the Report - Convertible bond funds are mainly divided into two categories: convertible bond thematic funds and high - convertible - bond - position funds. The market scale of convertible bond thematic funds has never exceeded 10 billion, and its development has stagnated since 2022, with two convertible bond ETFs seizing a large share. Long - term, the excess return of convertible bond thematic funds is not significant, and the 15% - 20% stock position leads to poor drawdown control ability. In general, convertible bond thematic funds are gradually reducing their dependence on stocks and strengthening the "convertible bond thematic fund" label [3][25][96]. - The scale of high - convertible - bond - position funds changes greatly with market conditions, reaching a peak when the market turns from a decline to an increase. Single - fund scale is relatively large, and there are many "blockbuster" funds. The head concentration of high - convertible - bond - position funds is decreasing and is slightly lower than that of convertible bond thematic funds [39][42][45]. - Convertible bond assets have characteristics between stocks and bonds, with high long - term investment value. They are more inclined to the "small - and - micro - cap" style, and are highly correlated with the CSI 2000 Index [50][54][62]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Fund Definition and Classification - Convertible Bond Thematic Funds: Funds with "convertible bond" in their names are generally regarded as convertible bond funds. They are subject to the "double 80%" rule, with a convertible bond position of not less than 64%. There are differences in stock investment provisions in the fund contracts [13]. - High - Convertible - Bond - Position Funds: Funds with a convertible bond position of not less than 64% are also considered convertible bond funds. Before 2022, the convertible bond positions of "old - shell" first - and second - tier bond funds were very flexible. After 2022, newly established first - and second - tier bond funds generally do not operate with high convertible bond positions. Funds with an average convertible bond holding market value accounting for not less than 50% of the fund net value in the past four quarters are called broad - sense convertible bond funds [17]. 3.2 Convertible Bond Thematic Fund Performance Analysis - Long - term Excess Return and Drawdown Control: In the long - term, the excess return of convertible bond thematic funds is not significant, and the drawdown control ability is poor. In the rising market of convertible bonds from 2020 - 2021 and in 2025, there was some excess return. However, the maximum drawdown was greater than that of the CSI Convertible Bond Index. In 2022, the annualized return and maximum drawdown were far behind the CSI Convertible Bond Index. The 15% - 20% stock position led to more drawdowns than the CSI Convertible Bond Index [67][79]. - Performance Differentiation: In the rising stage of the equity market, it is easier for convertible bond thematic funds to outperform the performance benchmark and the CSI Convertible Bond Index. However, in the falling and volatile stages, it is difficult to outperform [94]. - Development Trend: Convertible bond thematic funds are gradually reducing their dependence on stocks. Since 2023, the proportion of convertible bond funds participating in stock investment has been decreasing, while the proportion of funds with a convertible bond position of over 80% has been increasing [84]. 3.3 "Blockbuster" Convertible Bond Thematic Fund Logic Switch - Historical Scale Changes: In the rising stage of the equity market, the scale of representative convertible bond thematic funds grows rapidly, but then experiences a large decline. After 2022, the market scale of convertible bond thematic funds has basically stagnated due to the impact of two convertible bond ETFs [102]. - Characteristics of "Blockbuster" Funds: Compared with the previous round of the rising equity market, the "blockbuster" convertible bond funds now have a higher convertible bond position and pay more attention to performance [104].