Core Viewpoint - The quantitative convertible bond portfolio has performed well in February, achieving a return of 34.84% since 2025, with an excess return of 8.15% 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 February 2026, the portfolio achieved a return of 1.01%, with an excess return of 0.23% [1] Group 2: Convertible Bond Factors - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds, with detailed data available for subscribers [2] Group 3: Convertible Bond Index Timing - The timing strategy for the China Securities Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, indicating a bullish signal at the end of February with a recommended position of 2/3 [4][17]
【广发金工】2月量化转债组合超额0.23%：量化转债月度跟踪（2026年03月）
广发金融工程研究·2026-03-02 02:27