Report Industry Investment Rating No relevant information provided. Core Views of the Report In H1 2025, the convertible bond market showed characteristics of "prominent BETA robustness, intensified scarcity of high - quality targets, stratified investor structure, and upgraded strategy differentiation", providing a clear direction for subsequent layout. Looking ahead, four main lines should be focused on: continuing the BETA logic of "bond nature as a shield and equity nature as a spear" to capture market elasticity and downside protection; targeting scarce "high - quality underlying stocks, favorable terms, and strong bond floor" targets to dig for ALPHA returns; adapting to structural changes and upgrading arbitrage, long, and neutral strategies to "composite tools"; and managing credit, valuation, and liquidity risks through portfolio diversification, dynamic position adjustment, and derivative hedging to achieve the optimal balance of return and risk [1]. Summary by Relevant Catalogs 1. 2025 H1 Convertible Bond Market Trend Review 1.1 Data - Revealed BETA Robustness In 2025, the A - share market fluctuated more, and the small - cap style was volatile. With the decline in bond yields, robust assets were scarce. The CSI Convertible Bond Index, with its dual attributes of "bond nature as a shield and equity nature as a spear", could provide volatility buffering through its bond nature and capture upside potential when the stock market recovered. In the past year, it had a maximum drawdown of - 8.87%, a lower proportion of down - days (46.47%), and a gain of 9.72%. Its trading volume and turnover showed an upward trend, attracting funds and laying a foundation for subsequent market continuation [4][6][9]. 1.2 Convertible Bond Market: Dynamic Analysis of Volatility and Price Distribution 1.2.1 Implied Volatility Distribution Time - Series Analysis From Jun 2023 to Jun 2025, the implied volatility of the convertible bond market first decreased and then increased. In the volatility decline stage, the proportion of low - volatility bonds increased, and in the rise stage, the proportion of high - volatility bonds rose [11]. 1.2.2 Analysis of the Proportion of Convertible Bonds in Different Price Ranges From Jan to Aug 2024, the proportion of convertible bonds in the 80 - 100 yuan range was relatively high. After Aug 2024, the proportion of bonds above 100 yuan increased, especially in the 110 - 120 yuan and 120 - 130 yuan ranges, while the proportion of bonds below 80 yuan decreased. There was a correlation between changes in implied volatility and the proportion of convertible bonds in different price ranges [16][18]. 2. Private Convertible Bond Strategy Review 2.1 Latest Changes in the Number and Scale of Convertible Bond Private Fund Managers Convertible bond trading strategy private fund managers showed a significant scale distribution. Managers with a scale of 0 - 5 billion dominated, with 23 managers and 159 products. From 2020 to 2025, the number of managers increased steadily, reaching 30 in 2025. The market concentration was low, and small - scale managers had more opportunities. The convertible bond strategy type also changed, with some managers shifting from convertible bond arbitrage to long strategies and some long - only managers using stock index futures for hedging [20][22][24]. 2.2 Performance of Convertible Bond Strategies Quantitative convertible bond strategies showed significant advantages in terms of return, risk control, and risk - adjusted return. As of May 30, 2025, the annualized return of quantitative convertible bond strategies was 8.74%, significantly higher than the 5.22% of subjective convertible bond strategies, with a maximum drawdown of 1.25% and a Sharpe ratio of 2.31. However, subjective convertible bond strategies had greater return elasticity in trend - following markets [26][28][31]. 3. Conclusions and Investment Outlook 3.1 Valuation Increase after Concentrated Risk Release In 2024, the convertible bond market's credit risk was released concentratedly, leading to a large number of mispriced opportunities. As the underlying stock market recovered, the mispricing was quickly corrected. The dual - low strategy was strong from Sep 2024 to Mar 2025. The pricing logics of different types of convertible bonds (equity - biased, balanced, and bond - biased) were significantly different [32][33]. 3.2 Shrinking Stock and Stratified Investor Structure The convertible bond market's balance decreased from 799.818 billion yuan in Jun 2024 to 676.546 billion yuan in Jun 2025, mainly due to conversion and delisting, and insufficient new issuance. The investor structure showed a pattern of "partial exit and partial increase", with traditional heavy - position investors reducing their holdings of poor - quality targets, while QFIIs and private funds increased their holdings of high - quality ones, further magnifying the scarcity of high - quality convertible bonds [40][42][47]. 3.3 Convertible Bond Strategy Outlook: Anchoring Scarce Value and Embracing Diverse Opportunities in Structural Differentiation The convertible bond strategy should focus on three main lines: continuing BETA robustness by strengthening the "offense - defense balance" logic; digging for ALPHA by targeting "three - high - quality" targets; and upgrading strategies from "single - tool" to "composite strategies". Quantitative and subjective strategies can be combined in a "core + satellite" manner to adapt to different market stages [48][50][51].