【广发金工】转债市场震荡，整体定价偏差较高：量化转债月度跟踪（2025年11月）

Core Viewpoint - The quantitative convertible bond portfolio experienced a slight decline in October, with a year-to-date return of 21.01% and an excess return of 4.02% [1] Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly adjustments [5] - The portfolio's performance in October showed a return of -0.83% and an excess return of -0.72% [1] Group 2: Factor Data Tracking - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors are tracked for convertible bonds [2][8] - The report provides a detailed list of factors used in the portfolio construction, referencing various research reports [8] Group 3: Risk Warnings - The report includes risk warnings for convertible bonds based on forced delisting and risk alert rules, as well as event-based and credit scoring methods [3][12] - Specific convertible bonds are flagged for trading-related forced delisting risks, financial-related forced delisting risks, and other credit risks [12] Group 4: Timing of Convertible Bond Index - The report employs price-volume models, pricing deviations, and convertible bond elasticity for timing and position management of the CSI Convertible Bond Index [4][13] - As of the end of October, the price-volume model and pricing model indicate a bullish signal, with a recommended position of 2/3 [4][13] Group 5: Pricing Deviation Factors - The report showcases the latest pricing deviation factors, which represent the difference between market prices and theoretical pricing for various convertible bonds [10][11] - A table lists specific convertible bonds along with their pricing deviation factors, indicating significant deviations for some bonds [11]