量化转债月度跟踪（2026年04月）：量化可转债组合一季度超额1.39%-20260401

Group 1 - The quantitative convertible bond portfolio achieved an excess return of 1.39% in the first quarter, with a total return of 25.94% since 2025, outperforming the CSI Convertible Bond Index by 8.64% [1][3] - In March 2026, the portfolio recorded a return of -6.60%, with an excess return of 0.81% [3] - The portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [9][10] Group 2 - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors are tracked for the convertible bonds [3][10] - The report highlights the latest data on pricing deviation factors, showcasing the differences between market prices and theoretical pricing [17][18] Group 3 - The report provides risk warnings for convertible bonds based on delisting and risk warning rules from exchanges, as well as event-based and credit scoring methods [28][30] - Specific convertible bonds are flagged for mandatory delisting risks, financial delisting risks, and credit risks, including names like Lingang Convertible Bond and Shengxun Convertible Bond [30] Group 4 - The timing strategy for the CSI Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, with the latest view indicating a zero position as no bullish signals were present [31][32] - The timing model signals for March 2026 show a consistent zero position by the end of the month, indicating a cautious approach [34]