GF SECURITIES(SZ:000776) 广发金融工程研究·2025-12-01 06:49Core Viewpoint - The quantitative convertible bond portfolio experienced a slight decline in November, with a year-to-date return of 20.14% and an excess return of 3.96% [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 [5] - The portfolio's performance in November showed a return of -0.72% and an excess return of -0.03% [1] Group 2: Convertible Bond Factors - 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] - The report illustrates the latest data using the pricing deviation factor as an example [2] Group 3: Risk Warnings for Convertible Bonds - The report provides risk warnings for convertible bonds based on forced delisting rules and credit scoring methods, highlighting various risks including trading and financial delisting risks [3][13] Group 4: Timing for 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, indicating a bullish signal for the end of November with a position recommendation of 1/3 [4][14] Group 5: Timing Signals - The timing signals for the CSI Convertible Bond Index from early November show a mix of bullish and neutral signals, with a position recommendation fluctuating between 0% and 67% throughout the month [15]