证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 03 月 01 日 波动与避险情绪共振，哑铃策略应对高波环境 ——债市专题研究 核心观点 近期地缘政治冲突抬升市场不确定性，叠加节前流动性收敛与春季行情部分兑现，市 场或将进入"宏观数据真空+两会预期"博弈期，波动中枢上移的背景下，哑铃型策略 有望提升风险收益比。 ❑ 转债市场延续震荡修复格局，整体风格偏向稳健。 过去一周（2026/02/23~2026/02/27，下同），转债市场在节后资金回流与政策预期 升温背景下，延续震荡修复格局，整体风格偏向稳健，波动率与红利特征占优。 转债中盘指数（0.01%）表现优于大盘指数（-0.30%）和小盘指数（-0.10%），中价 指数表现较好（0.10%），高价转债走势较弱（-0.93%），显示资金对高估值、高价 位品种的风险偏好仍在收敛。驱动因素上，一是"两会"临近，政策定调窗口开 启，在宏观叙事尚未完全落地的"政策真空期"，资金更倾向于围绕预期差进行结 构性布局；二是海外地缘冲突与大宗商品价格波动，使部分传统周期与红利板块 的确定性相对提升，转债层面具备防御底仓属性的标的受到 ...

- The report tracks the performance of various stock market indices, including A-shares, Hong Kong stocks, and US stocks, highlighting their weekly, monthly, and year-to-date performance[1][16][17] - The report provides a detailed analysis of the performance of different stock market styles, such as growth vs. dividend, small-cap vs. large-cap, and micro-cap vs. CSI 800, including their relative crowding and excess net value[2][60][71] - The report includes a comprehensive analysis of the valuation and equity-bond cost-effectiveness of A-shares, with specific focus on PE_TTM and ERP metrics for various indices and sectors[3][41][49][51] - The report tracks the performance and crowding of different investment styles, such as momentum vs. reversal, and their relative excess returns[2][60][71] - The report provides insights into the impact of US bond yields on the performance of different stock market styles, such as large-cap vs. small-cap and growth vs. dividend[3][82][84] - The report includes a detailed analysis of the main fund indices, including their absolute and relative returns, and tracks the scale of public funds and their impact on the market[3][88][90][94] - The report provides a comprehensive overview of the commodity market, including the performance of various commodity indices in China and the US[3][123][125]