债市专题研究：外部扰动仍存，平衡转债占优

1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - Current inflation expectations are rising, and market risk appetite remains low. The operation should be defensive. The double - low strategy is back in the high - win - rate range. Priority should be given to screening undervalued targets by the ZL model, and the core should be balanced convertible bonds with fully compressed valuations and both offensive and defensive capabilities [1]. - The convertible bond market has rebounded slightly, and balanced convertible bonds are both offensive and defensive. Although the convertible bond market has marginally recovered, the overall safety margin is still limited. Attention should be paid to valuation constraints and drawdown risks. Balanced convertible bonds have prominent allocation value [2][11]. - The convertible bond market sentiment has generally warmed up recently. It is recommended to focus on targets with low valuations. Investors should maintain a stable and balanced allocation strategy, avoid crowded varieties with excessive ZL deviation and large short - term cumulative increases, and moderately focus on repair targets with fundamental support and reasonable low - valuation ranges [3][15]. - As the market valuation continues to compress, the cost - effectiveness of convertible bonds is gradually emerging. The double - low strategy focusing on low price and low premium is more effective, and attention can be paid to balanced convertible bonds [4][17]. 3. Summary According to the Directory 3.1 Convertible Bond Weekly Thinking - In the past week (2026/03/23 - 2026/03/27), the sentiment of the convertible bond market marginally warmed up, and the China Securities Convertible Bond Index recorded a slight increase. The large - cap index of convertible bonds fell by 0.14%, while the mid - cap and small - cap indexes rose by 1.8%. The high - price index (2.26%) performed better than the mid - price index (1.45%) and the low - price index (0.45%) [2][11]. - The A - share market is weakly affected by external uncertainties. The US - Iran conflict is intensifying, and the rising oil price exacerbates the global stagflation expectation, suppressing the valuation of equity assets. The convertible bond market has limited safety margins, and the high - volatility attribute of convertible bonds still exists. Balanced convertible bonds have prominent allocation value [2][11]. - According to the back - test results of the Zheshang Fixed - income Quantitative Convertible Bond Model, as of 2026/03/27, the market has fully recovered, and most style factors have risen. There are signs of a slight high - low switch within the momentum factor. The market shows significant characteristics of sentiment warming and general rise and repair. It is recommended to focus on undervalued targets [3][15]. 3.2 Convertible Bond Market 3.2.1 Convertible Bond Market Conditions - The report provides the performance of various convertible bond indexes in different time periods, including the past week, two weeks, since September, one month, two months, half - year, and one - year. For example, the Wande Convertible Bond Energy Index rose 1.72% in the past week, - 3.16% in the past two weeks, and 9.73% since September [22]. 3.2.2 Convertible Bond Individual Securities No specific information about individual convertible bonds is provided in this part other than the list of the top ten and bottom ten gainers and losers in the past week [23][25]. 3.2.3 Convertible Bond Valuation The report shows the valuation trends of bond - type, balanced, and equity - type convertible bonds through relevant charts, including the four - week moving average of the conversion premium rate [27][33]. 3.2.4 Convertible Bond Price The report presents the price median and the proportion of high - price bonds through relevant charts [35][37].