【广发金工】1月量化转债组合超额0.43%：量化转债月度跟踪（2026年02月）

Core Viewpoint - The quantitative convertible bond portfolio has performed well in January, generating a return of 33.49% since 2025, with an excess return of 7.92% compared to the China Securities Convertible Bond Index [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 rebalancing [5] - In January 2026, the portfolio achieved a return of 6.26%, with an excess return of 0.43% [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 for convertible bonds are being tracked [2] - The report illustrates the latest data using the pricing deviation factor as an example [2] Group 3: Convertible Bond Risk Warnings - The report provides risk warnings for convertible bonds based on forced delisting and risk warning rules from exchanges, as well as results from event-based and credit scoring methods [3][15] - Specific convertible bonds are highlighted for various risks, including trading-related forced delisting and financial-related forced delisting [16] 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 China Securities Convertible Bond Index [4] - As of the end of January, both the price-volume model and pricing model indicated bullish signals, with a recommended position of 2/3 [4][17]