证券研究报告 2026 年 01 月 05 日 湘财证券研究所 债券研究 可转债研究 把握行业轮动，精选弹性个券 相关研究： 核心要点： ❑ 12 月权益市场持续回暖，大幅跑赢中证转债指数 根据 Wind 数据，12 月中证转债指数上涨 2.13%，中证全指上涨 3.25%；全 年来看，2025 年中证转债指数、中证全指分别上涨 18.66%、24.6%。12 月 中证转债指数跑输沪深 300 指数 0.15pct，跑输中证 500 指数 4pct。按价格 分类看，12 月万得高价转债指数大幅上涨 5.14%，中价、低价转债指数分 别上涨 1.92%、0.34%。在权益市场上涨背景下，高价转债表现强势，具有 债性的低价转债明显跑输。全年来看，2025 年高价、中价、低价转债指数 累计涨幅分别为 28%、16%、17%，可以看出高价转债在牛市中更具弹性， 而低价转债在大盘调整的月份中更加抗跌。 ❑ 12 月能源转债指数大幅调整，材料、可选消费及工业转债指数显著上涨 根据 Wind 一级行业分类，12 月仅有能源（-2.05%）、金融（-0.39%）转债 指数下跌，但相对应的正股指数分别上涨 1.6%、2.37% ...

随着2025年进入尾声，多家券商机构密集发布2026年可转债市场投资展望。 券商机构普遍认为，在权益市场向好、政策红利释放及"固收+"资金持续流入的共同作用下，可转债市 场估值将维持高位，科技成长、能源转型、"反内卷"政策受益领域及低波动底仓品种等四类标的将成为 核心配置主线。 多因素将支撑转债估值维持高位 2025年以来，在权益市场回暖尤其是科技成长板块走高的带动下，转债市场接连走高，转债估值也得到 了明显修复。 具体来看，今年上半年，转债估值上行主要由于退市、违约等风险大幅缓释，低利率环境下转债配置需 求大幅提升，股市预期好转。转债市场中的低估品种有明显涨幅。 展望2026年，国泰海通证券认为，转债市场估值将维持高位，2026年转债市场最主要的支撑来自于对权 益市场的偏乐观预期。首先，作为"十五五"规划的开局之年，政策红利密集释放将直接提振市场风险偏 好。科技自主可控、高端制造等领域的产业政策持续发力，为相关行业转债提供基本面支撑；其次，权 益资产预期收益率上行趋势明确，中长期资金增持权益市场的需求强劲，共同巩固了转债的股性价值； 最后，在"资产荒"背景下，"固收+"资金对转债的配置需求旺盛，尤其是202 ...

Core Viewpoint - The convertible bond market presents investment opportunities, driven by supply-demand mismatches and strong underlying stocks, with a positive outlook for the equity market and potential for further exploration of undervalued convertible bonds [1][5]. Group 1: Investment Strategy - Liu Yimin and her team have developed a systematic quantitative investment framework for convertible bonds over three years, focusing on capturing market momentum and identifying quality opportunities through a bottom-up approach [1][2]. - The "Double Low" strategy emphasizes investing in undervalued and low-premium convertible bonds, which are often overlooked by the market, indicating strong upside potential [2][3]. - The team has established three types of quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, enhancing the portfolio's resilience [3]. Group 2: Market Analysis - The current convertible bond market is experiencing high valuation levels, influenced by strong underlying stocks and a significant increase in demand against a backdrop of reduced supply [5][6]. - Liu Yimin maintains a bullish outlook on the A-share market, anticipating a dual rise in earnings and valuations driven by supportive policies and liquidity [5]. - The approval of convertible bonds has accelerated since November, which could lead to a balanced supply-demand situation, benefiting the long-term stability of the convertible bond market [5]. Group 3: Performance and Adjustments - The fund's investment in convertible bonds accounts for 38.38% of its net asset value, with strong performance metrics over the past year, placing it in the top 10 among similar funds [4]. - The team is currently maintaining a neutral to slightly low position in convertible bonds, focusing on individual bond opportunities while balancing risk [6]. - Continuous monitoring of both technology and traditional sector convertible bonds is essential, especially as policies supporting domestic demand and economic recovery are implemented [6].

Core Viewpoint - The article discusses the investment opportunities in the convertible bond market, highlighting the systematic investment framework developed by Guohai Franklin Fund's fixed income team, led by Liu Yimin, to capture market dynamics and enhance returns through a quantitative approach [1] Group 1: Market Analysis - The convertible bond market is currently in a high volatility range, driven by supply-demand mismatches and the strengthening of underlying stocks, which have elevated convertible bond valuations [1][6] - Liu Yimin maintains an optimistic outlook on the equity market, anticipating a balanced supply-demand scenario as the approval process for convertible bonds accelerates, with further opportunities in technology and undervalued traditional sector convertible bonds [1][6] Group 2: Investment Strategy - The core investment logic of Liu Yimin's team revolves around a "dual low" strategy, focusing on low valuation and low premium convertible bonds that are often underappreciated by the market, thus possessing significant upside potential [2] - The team has developed three distinct quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, allowing for flexible adjustments based on market dynamics [3] Group 3: Active and Quantitative Approach - The team employs a complementary approach of active selection and quantitative strategies to enhance returns, focusing on fundamental research to identify high-quality convertible bonds, especially in sectors where suitable assets are scarce [4] - Liu Yimin emphasizes a dynamic allocation between active and quantitative strategies based on market conditions, which has led to resilient performance across different market environments [4] Group 4: Performance Metrics - The Guofu Hengjiu Credit Bond Fund, representing the "dual low" strategy, has a significant allocation of 38.38% of its net asset value in convertible bonds as of the end of Q3 [4] - The fund has achieved impressive returns over the past year, with one-year, two-year, and three-year returns of 9.34%, 12.15%, and 14.70%, respectively, ranking in the top 10 among similar funds [5] Group 5: Future Outlook - The convertible bond market is expected to experience a robust supply-demand dynamic, with an increase in approvals for new convertible bonds potentially leading to a stable long-term development of the market [6] - Liu Yimin is closely monitoring the market for opportunities in both technology and traditional sectors, particularly in light of supportive policies aimed at stimulating domestic demand and enhancing performance in the equity market [7]

Core Viewpoint - The article discusses the investment opportunities in the convertible bond market, highlighting the strategies developed by Liu Yimin and her team at Guohai Franklin Fund to capture market dynamics and enhance returns through a systematic quantitative investment framework [1][2][4]. Group 1: Market Analysis - The convertible bond market is currently experiencing a high volatility phase, driven by supply-demand mismatches and strong performance in underlying stocks, which has led to an increase in convertible bond valuations [1][4]. - Liu Yimin expresses optimism about the equity market, anticipating a favorable supply-demand balance as the approval process for convertible bonds accelerates, particularly in technology and undervalued traditional sectors [1][4][5]. Group 2: Investment Strategy - The core investment logic is the "double low" strategy, focusing on low valuation and low premium convertible bonds that are often underappreciated by the market, indicating strong upside potential [1][2]. - The team has developed three types of quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, enhancing the ability to capture opportunities [2][3]. Group 3: Active and Quantitative Approach - The team combines quantitative strategies with active selection to enhance returns, focusing on fundamental research to identify high-quality convertible bonds, especially in sectors with potential turnaround opportunities [3]. - Liu Yimin emphasizes a flexible approach to the balance between active and quantitative strategies, adjusting based on market conditions to maintain resilience in the portfolio [3]. Group 4: Future Outlook - The convertible bond market is expected to see a robust supply-demand dynamic, with an increase in approvals for new bonds potentially leading to more investment opportunities [4][5]. - The team is closely monitoring the market for both technology-related convertible bonds, which may have high valuations but acceptable profit expectations, and traditional sector bonds that are undervalued and could benefit from policy support [5].

Core Insights - The report addresses key questions regarding the current position of the convertible bond market and the optimal strategies to adopt in this context [4]. - The convertible bond market is currently in a phase of consolidation following a high valuation correction, with risks being released but the cost-effectiveness of allocations still needing improvement [4]. - The premium rate has decreased from a high of 32.49% at the end of August to around 27%, stabilizing around 29% recently, indicating a cooling market [4][5]. - The median of the dual-low value has also dropped from above 170 to a range of 166-168, reflecting similar characteristics to previous market peaks since 2022 [4]. Market Positioning - The current market is not in a high valuation danger zone, nor has it reached a significantly attractive allocation bottom [4]. - The dual-low strategy continues to demonstrate superior risk-return characteristics during this consolidation phase, historically yielding stable excess returns while controlling drawdowns better than high valuation strategies [5]. - In previous market peak phases, such as February 2022 and August 2022, the dual-low strategy outperformed, while high valuation strategies generally underperformed with larger drawdowns [5]. Strategic Recommendations - It is recommended to focus on the dual-low strategy while optimizing execution based on the valuation environment [5]. - Selection of individual bonds should prioritize those with reasonable valuations and sufficient downside protection, adjusting traditional dual-low price screening standards to better fit the current market structure [5]. - Increasing the weight of high-rated bonds in the portfolio is suggested to enhance overall defensive attributes and stability, balancing returns and risks in a volatile market [5].

Report Industry Investment Rating There is no mention of the report industry investment rating in the provided content. Core Viewpoints of the Report - The current convertible bond market is in a stage of shock consolidation after a pullback from high valuations, with risks partially released but the cost - effectiveness of allocation still to be improved. The follow - up market trend depends on the performance of underlying stocks [5]. - During the shock period after the high - valuation pullback, the double - low strategy shows better risk - return characteristics. In the current market stage, it is recommended to focus on the double - low strategy and optimize it according to the valuation environment [5]. Summary by Relevant Catalogs 1. Convertible Bonds Maintain High - level Volatility - The convertible bond market's current hundred - yuan premium rate and double - low value median indicate that it is in a shock consolidation stage after a high - level pullback. The hundred - yuan premium rate dropped from 32.49% at the end of August to around 27% and then stabilized around 29%. The double - low value median is oscillating in the range of 166 - 168 after breaking through 170 [5][6][7]. - The market has cooled down, and short - term bubble risks have been released to some extent, but it has not entered the historically undervalued range. The subsequent market trend depends on whether the underlying stocks can provide support [5][8]. 2. The Double - Low Strategy Dominates Again - By back - testing the performance of various strategies after the high - valuation peaks of the convertible bond market in the past five years, it is found that in most cases, the double - low strategy performs well, with stable positive excess returns and better drawdown control. High - premium strategies such as high - price low - premium, high - liquidity, and high - parity strategies generally underperform and have large drawdowns [11][13][17]. 3. Summary - The convertible bond market is in a shock consolidation stage after a high - valuation pullback. The market has cooled down, but the valuation is still high, and the cost - effectiveness needs to be improved. The follow - up trend depends on the underlying stocks [22]. - It is recommended to focus on the double - low strategy, select individual bonds with reasonable valuations and sufficient downward - revision protection, appropriately raise the price screening criteria of the traditional double - low strategy, and increase the weight of high - rating targets in the portfolio [23].

如何看待转债市场的高估值？20251109 摘要 当前转债市场估值处于历史高位（90 分位点以上），虽短期内不一定表 现差，但长期来看平均收益较低，配置型投资者可考虑退出，短期收益 追求者需等待其他信号。 估值动量是判断市场趋势的重要指标，当估值高于 5 日均线时，表明估 值上升，转债市场可能持续上涨，正股指数表现通常较好，但需注意这 是一种资金现象。 高估值不代表立即减仓，应结合动量信号综合考虑。若当前估值减去 5 日均线乘以 1.0,005 大于零，则可继续持有；否则，应考虑空仓，但需 注意换手率和交易成本。 优化策略的关键在于降低换手率，高分位点（80-100）下无需频繁操作， 低分位点（1-4）下需根据因子大小调整。牛市结束时需设定止损机制， 如跌破 80%分位点即止损。 双低策略适用于上述逻辑，可在市场下跌初期进行止损操作，并在市场 回升时重新买入，从而避免较大的回撤，尤其在高估值区间表现稳健。 Q&A 为什么高动量时期正股指数表现较好？ 在高动量时期，对应正股指数的平均收益为 0.3 个百分点，大于 0 概率为 62%。这主要是因为资金看好权益市场，从而涌入了转债市场，将其推至更高 位置。这是一种 ...

Summary of Conference Call Notes Industry or Company Involved - Focus on convertible bonds and related companies such as 精工钢构 (Jinggong Steel Structure), 有发股份 (Youfa Steel Pipe), 天能重工 (Tianneng Heavy Industry), 华特电子 (Huate Gas), 美景能源 (Meijing Energy), and 福斯特 (Foster). Core Points and Arguments - **Market Sentiment and Convertible Bonds**: Year-end market may see increased risk aversion, necessitating a chip exchange and focusing on buying opportunities at reasonable price points. The convertible bond market shrank in October due to some bonds being delisted and strong redemptions. Institutional allocations are diverging, with insurance reducing allocations and public funds increasing them [1][3][5]. - **Investment Strategies**: Recommended strategies include focusing on convertible bonds priced around 120-130 RMB in high-end manufacturing and those priced around 120-125 RMB with low valuations and improving fundamentals. These latter bonds have lower premium rates and may yield good odds following the third-quarter disclosures [1][6]. - **Company Performance**: - **精工钢构**: Expected revenue of 14.5 billion RMB in Q1-Q3 2025, a 21% YoY increase, with net profit of 589 million RMB, a 24% YoY increase. Anticipated overseas orders exceeding 6 billion RMB in 2025 [1][10][11]. - **有发股份**: Projected profit of 500 million RMB in 2025, benefiting from infrastructure policies and rising demand due to government growth plans [1][12]. - **天能重工**: Expected profit of 10-15 million RMB in 2025, with potential growth to 30-35 million RMB in 2026, driven by the wind power sector's high demand [1][16][17]. - **华特电子**: Revenue from specialty gases constitutes 65% of total revenue, with significant improvements in net profit due to recovering demand from major semiconductor clients [1][15]. - **美景能源**: Focused on coking coal and hydrogen energy, with a significant increase in gross margin and a valuation near historical lows, indicating potential for profit recovery [1][8]. - **福斯特**: Engaged in electronic materials and aluminum-plastic films, with strong growth potential due to collaborations with leading global clients [1][18][20]. Other Important but Possibly Overlooked Content - **Market Dynamics**: The convertible bond valuation is significantly influenced by stock market expectations, with a notable shift in market sentiment leading to a cautious outlook on bond valuations [1][5]. - **Investment in Infrastructure**: The five-year underground pipeline investment plan of 5 trillion RMB is expected to expand downstream demand, benefiting companies like 有发股份 [2][12]. - **Low Valuation Strategy**: In the current market environment, low valuation strategies may offer excess return potential, especially for convertible bonds priced between 80-90 RMB, which show strong investment value [1][9]. - **Future Growth Areas**: Companies are diversifying into high-growth areas such as hydrogen energy and quantum computing, indicating a strategic shift towards innovative sectors [1][8][18]. - **Dividend Policies**: Companies like 精工钢构 are increasing their dividend payout ratios, which may attract income-focused investors [1][11]. This summary encapsulates the key insights from the conference call, highlighting the performance and strategies of various companies within the convertible bond market and related sectors.

Core Insights - The report emphasizes the superiority of the "dual low" strategy in the current market environment, particularly focusing on sectors that are expected to benefit from a "de-involution" trend [4][5][29]. Monthly Tracking of Convertible Bonds - In October, the China Convertible Bond Index slightly outperformed the China All Share Index, with a decline of 0.11% compared to a 0.15% drop in the latter. Year-to-date, the Convertible Bond Index has risen by 16.99%, while the All Share Index has increased by 23.49% [11]. - The performance of convertible bonds varied by price category, with high-priced and mid-priced convertible bond indices falling by 2.72% and 0.75%, respectively, while low-priced bonds showed resilience with a 1.44% increase [13][22]. Sector Performance - In October, the energy and financial sectors saw increases in their convertible bond indices, while the technology sector experienced a downturn, with the information technology convertible bond index declining by 0.79% [22]. - The best-performing sectors included energy, financial, and industrial, with their respective convertible bond indices rising by 3.85%, 1.35%, and 1.31% [22]. Strategy Analysis - The "dual low" strategy demonstrated defensive advantages, with the Wind Dual Low Index rising by 0.63% in October, while the high-priced low-premium index fell by 3.4% [29]. - The report highlights the increasing risk of forced redemption for low-value convertible bonds, leading to a reduction in the number of available options for investors [4][35]. Investment Recommendations - The report suggests constructing a dual low portfolio focused on sectors such as non-ferrous metals, basic chemicals, and power equipment, while avoiding high-priced technology stocks [4][32]. - For November, the recommended dual low portfolio consists of six selected convertible bonds, primarily in the power equipment sector, with an average bond price of 128 yuan and a conversion premium of 11% [36][35]. Market Outlook - The report indicates a shift in market style from high-priced sectors to low-priced sectors, particularly as the technology growth sector faces adjustment pressures. It suggests that "de-involution" sectors like photovoltaics and lithium batteries may continue to see upward momentum [37].