Core Insights - The convertible bond market has become a significant source of excess returns for "fixed income +" fund managers in 2023, with several convertible bond-themed funds reporting returns exceeding 15% year-to-date as of August 8 [1][2] - There is a noticeable divergence in fund managers' strategies regarding convertible bonds, with some reducing their positions while others are increasing them, reflecting a re-evaluation of valuation systems and investment strategies [1][3] Group 1: Performance of Convertible Bonds - Multiple convertible bond-themed funds have performed well in 2023, with specific funds like Southern Changyuan Convertible Bond A and Bosera Convertible Bond Enhanced A achieving returns over 20% [2] - The average price of convertible bonds is currently high, leading to challenges for fund managers in deciding whether to chase high prices or take profits [2][3] Group 2: Fund Manager Strategies - Many fund managers have explicitly stated in their reports that they are reducing their convertible bond positions, with examples including Hai Fu Tong and Hua An Convertible Bond, which saw significant decreases in their convertible bond allocations [3][4] - Conversely, some funds like Fu Guo Convertible Bond and Dongfang Hong Ju Li have increased their convertible bond holdings, indicating a split in strategy among fund managers [3][4] Group 3: Market Dynamics - The convertible bond market is experiencing structural changes due to a decrease in bank convertible bond supply, prompting funds to seek alternative assets to fill the gap in their portfolios [4][5] - The overall allocation to convertible bonds in fixed income portfolios has decreased, with a shift towards sectors like non-bank financials and healthcare [5][6] Group 4: Future Outlook - Fund managers express concerns about the high average prices of convertible bonds, suggesting that the probability of achieving positive returns in the next six months is lower when prices are at current levels [3][4] - Despite the high valuations, some fund managers remain optimistic about the convertible bond market, citing the potential for continued demand driven by favorable equity market conditions [7][8]

转债估值上升,挖掘结构性机会 2024年07月 31 日 债券研究 可转债研究 湘财证券股份有限公司 XIANGCAI SECURITIES CO.,LTD 证券研究报告 核心要点: □ 7月权益市场大幅上涨,转债表现弱于正股 根据 Wind 数据、7月(7.1-7.30)中证转债指数上涨 3.83%,中证全指上涨 5.8%;年初至今,中证转债指数、中证全指分别上涨 11.11%、10.33%。由 于7月权益市场交投活跃,核心指数均明显上涨,转债整体表现弱于正股, 尤其是跑输中证 500 指数 2.92pct。 相关研究: 2025.06.30 按价格分类看,7 月万得高价转债指数涨幅(+5.84%)大幅领先于低价 (+4.27%)和中价指数(+2.72%),主要得益于正股的持续上涨,高价转 债股性较强,具备更强的跟涨能力。年初至今,低价转债(+11.78%)与高 价转债(+11.76%) 累计涨幅基本持平,均高于中价转债(+9.07%)。 分析师:张智珑 证书编号:S0500521120002 Tel: (8621) 50295363 Email: zzl6599@xcsc.com 地址:上海市浦东新区银城 ...

证券研究报告 2024 年 07 月 31 日 湘财证券研究所 债券研究 可转债研究 转债估值上升，挖掘结构性机会 相关研究： 核心要点： ❑ 7 月权益市场大幅上涨，转债表现弱于正股 根据 Wind 数据，7 月（7.1-7.30）中证转债指数上涨 3.83%，中证全指上涨 5.8%；年初至今，中证转债指数、中证全指分别上涨 11.11%、10.33%。由 于 7 月权益市场交投活跃，核心指数均明显上涨，转债整体表现弱于正股， 尤其是跑输中证 500 指数 2.92pct。 按价格分类看，7 月万得高价转债指数涨幅（+5.84%）大幅领先于低价 （+4.27%）和中价指数（+2.72%），主要得益于正股的持续上涨，高价转 债股性较强，具备更强的跟涨能力。年初至今，低价转债（+11.78%）与高 价转债（+11.76%）累计涨幅基本持平，均高于中价转债（+9.07%）。 ❑ 医疗保健板块表现强势，转债跟涨但仍弱于正股 根据 Wind 一级行业分类，7 月医疗保健、信息技术转债指数表现最佳，涨 幅分别为 7.82%、7.13%。这主要受医药板块正股的强势表现影响，Wind 医药保健指数上涨 14.3%，明显强于 ...

Investment Rating - The report maintains a "Positive" investment rating for the environmental protection and testing sector [9] Core Insights - As of June 28, 2025, there are 23 convertible bonds listed in the environmental protection and testing sector, with a total issuance scale of approximately 233.9 billion yuan and a latest balance of 192.0 billion yuan. The sector features several low-price and low-premium convertible bonds, suggesting potential investment opportunities driven by profitability and conversion [2][4][20] - The report recommends focusing on convertible bonds such as Wei 22, Wei 24, Green Power, Yingfeng, Hongcheng, Wangneng, and Guojian, highlighting their potential for price appreciation due to underlying stock performance [6][30] Summary by Sections Convertible Bonds Overview - The environmental protection and testing sector has 23 convertible bonds currently trading, with a total remaining scale of 192 billion yuan. Among these, 1 bond is from a central enterprise, 3 from local state-owned enterprises, and 19 from private enterprises [4][20] - There is 1 convertible bond currently in the issuance application stage, with a scale of 4.93 billion yuan from Shengjian Technology [24] Issued and Delisted Convertible Bonds - As of June 28, 2025, 21 convertible bonds have been delisted from the environmental protection and testing sector, with a total issuance scale of 152.9 billion yuan. Five bonds were delisted in 2024, with an average time to maturity of 1.08 years [5][26] Investment Strategy - The report emphasizes two main drivers for investment: profitability and conversion. Profitability can be enhanced through capacity expansion and exploring new growth avenues, which may lead to stock price increases and higher conversion values. If the premium rate of convertible bonds remains stable or decreases slightly, their prices are expected to rise [30][32] - Conversion may be driven by increased capital expenditures for new projects or weakened cash flow from existing projects, potentially leading to adjustments in conversion prices and indirectly boosting bond prices [30][32] Financial Projections - The report includes financial forecasts for several companies in the sector, indicating expected growth in net profits and corresponding price-to-earnings (PE) ratios for the years 2024 to 2027 [31]

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Views of the Report - In June, the risk appetite of the equity market rebounded, but the performance of convertible bonds was weak. The CSI Convertible Bond Index rose 2.98% from June 1 to 27, while the CSI All-Share Index rose 3.13%. Year-to-date, the CSI Convertible Bond Index and the CSI All-Share Index increased by 6.65% and 3.43% respectively. Overall, the CSI Convertible Bond Index rose in tandem with the equity market in June but underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - The information technology sector rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. According to the Wind primary industry classification, the information technology sector performed best in June, with a gain of 4.65%, a significant improvement from May. This was mainly due to the substantial rise in the underlying stocks of the information technology sector, and its increase ranked first among the Wind primary industries. The market risk appetite increased significantly compared to the previous month. In addition, the underlying stocks of the financial and materials industries ranked second and third in terms of gains, but the convertible bonds did not show a significant increase. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - In terms of convertible bond investment suggestions, as the uncertainty in the macro - environment continues, the option attribute of convertible bonds will further play a role. The dual - low strategy, which is both offensive and defensive, is beneficial for grasping the asymmetry of up and down movements. In terms of industry selection, it is believed that in July, the equity market tends to bet on policy expectations and interim report performance, and the risk appetite is difficult to rebound in the short term. Therefore, dividend - paying assets have more advantages in an uncertain environment, while the technology sector mainly benefits from the elasticity brought by policy catalysts [5]. Group 3: Summary by Relevant Catalogs 1. Convertible Bond Monthly Market Tracking - **Overall performance**: In June, the risk appetite of the equity market rebounded, but convertible bonds underperformed. The CSI Convertible Bond Index rose 2.98% from June 1 - 27, and the CSI All - Share Index rose 3.13%. Year - to - date, the CSI Convertible Bond Index and the CSI All - Share Index increased by 6.65% and 3.43% respectively. The CSI Convertible Bond Index underperformed the CSI 500 (-0.42pct) and the CSI 1000 (-1.17pct) [3][12]. - **By price classification**: In June, the Wind Low - price Convertible Bond Index rose 3.35%, significantly higher than the high - price (+2.52%) and medium - price (+2.72%) indices. Year - to - date, low - price convertible bonds (+6.99%) performed better than medium - price (+5.93%) and high - price (+4.76%) ones [3][13]. - **By convertible bond outstanding**: In June, small - cap convertible bonds slightly outperformed medium - and large - cap ones. The Wind Large - cap (+2.92%) and Medium - cap (+2.99%) Convertible Bond Indices performed basically the same, while the small - cap index had the largest increase (+3.23%). Year - to - date, the small - cap index (+10.26%) had a significantly higher increase than the large - cap index (+5.68%) and the medium - cap index (+5.25%) [16]. - **By credit rating**: In June, AA+ (+3.8%) and AA - and below (+3.6%) convertible bonds had relatively large increases. AAA (+2.4%) and AA (+2.86%) convertible bonds also achieved good returns. Year - to - date, low - rated convertible bonds still significantly outperformed high - rated ones, especially AA - and below convertible bonds, with a cumulative increase of up to 11.55% [3][18]. - **By industry**: The information technology industry's underlying stocks and convertible bonds rose significantly, and there was a large divergence between the underlying stocks and convertible bonds in the consumer staples sector. The information technology sector had a gain of 4.65% in June. The financial and materials industries' underlying stocks had relatively large increases, but the convertible bonds did not rise significantly. The industries where the underlying stocks and convertible bonds performed in opposite directions were consumer staples, utilities, healthcare, and consumer discretionary [4][22]. - **By strategy index**: In June, the dual - low strategy and the high - price low - premium strategy had similar increases. The dual - low strategy index with bond floor protection and underlying stock elasticity rose 2.45% in June and 6.47% year - to - date. In contrast, the high - price low - premium strategy, which focuses more on equity characteristics, rose 2.44% in June and 5.22% year - to - date, performing weaker overall than the dual - low strategy with bond floor protection [29]. 2. Convertible Bond Monthly Investment Suggestions 2.1 Strategy Suggestion: The Dual - Low Strategy is Both Offensive and Defensive - **June dual - low portfolio performance**: The June dual - low portfolio constructed included 44 targets. The top three industries with the largest number of targets were basic chemicals (8), banks (6), and light manufacturing (5). From June 1 to 27, the portfolio's return was 1.5% (equal - weighted allocation without individual bond screening), underperforming the CSI Convertible Bond Index by 2pct [32]. - **July dual - low portfolio recommendation**: In July, the standard for the dual - low value was adjusted to the bottom 5%, further narrowing the scope of targets to 22. The industries with the largest number of targets were basic chemicals (5), banks (4), and light manufacturing (2). The average convertible bond price, conversion value, and premium rate of the portfolio were 119 yuan, 109 yuan, and 10% respectively [35]. 2.2 Allocation Suggestion: Continue to Be Optimistic about Dividend - Paying and Technology Sectors - The technology sector's previous valuation adjustment was sufficient, the trading congestion declined, and it has now returned to the cost - effective range. It is recommended to focus on the highly prosperous robotics sector and related targets for self - controllability [37]. - High - dividend targets (banks, utilities) are favored during the interest rate decline period. Against the backdrop of the decline in the risk - free yield, the high dividends of bank stocks are more attractive. However, it should be noted that the outstanding scale of bank convertible bonds is decreasing, and attention should mainly be paid to the remaining low - price bank convertible bonds [7][37].

Market Performance - The bond market showed a more subdued performance on May 29, with government bond futures closing lower across the board, and interbank bond yields generally rising by 1-2 basis points [1][2] - The 30-year main contract fell by 0.65% to 118.690, while the 10-year main contract decreased by 0.26% to 108.475 [2] Yield Movements - The yield on the 10-year government bond "25附息国债11" rose by 1.25 basis points to 1.695%, and the yield on the 10-year policy bank bond "25国开10" increased by 2.5 basis points to 1.7385% [2] - In the North American market, U.S. Treasury yields collectively rose, with the 10-year yield increasing by 3.37 basis points to 4.477% [3] Monetary Policy Insights - Institutions believe that monetary policy will maintain a moderately loose orientation and flexible operations, with room for both reserve requirement ratio cuts and interest rate reductions [1][7] - The 10-year government bond yield is expected to fluctuate within the range of 1.5%-1.8% in the second half of the year [1][7] Market Activity - The central bank conducted a 7-day reverse repurchase operation with a fixed rate of 1.40%, resulting in a net injection of 111.5 billion yuan on that day [5] - The Shibor short-term rates mostly increased, with the overnight rate remaining flat at 1.411% and the 7-day rate rising by 2.4 basis points to 1.602% [5] Investment Strategies - Xiangcai Securities recommends a dual-low strategy focusing on dividend assets and technology sectors, particularly in robotics, to achieve higher risk-adjusted returns [6][7] - CITIC Securities anticipates a GDP growth target of around 5.0% for the year, but expects marginal slowing of economic growth momentum in the second half [7]

Group 1 - The overall performance of A-shares has been lackluster this year, with major indices such as the Shanghai Composite Index and Shenzhen Component Index declining, while the convertible bond market has shown strong performance, with the China Convertible Bond Index rising over 3% year-to-date, significantly outperforming A-share indices [1] - As of May 25, 2023, 10 bond funds (Class A shares) have seen net values increase by over 7% this year, with notable funds including Bosera Convertible Bond Enhanced A, China Europe Convertible Bond A, and Huabao Convertible Bond A [1] - Some non-convertible bond funds also heavily invest in convertible bonds, such as Huashang Fengli Enhanced Open A, which has seen a net value increase of 11.45% this year, ranking first among bond funds [1] Group 2 - Private equity firms are also heavily invested in convertible bonds, with data showing that by the end of last year, nine hundred billion private equity firms collectively held 49 convertible bonds among the top ten holders, with a total market value of approximately 3.181 billion yuan [2] - Specific private equity firms like Ruijun Asset and He Sheng Asset hold more than five convertible bonds each, with significant market values, including Ruijun Asset holding 19 convertible bonds with a total market value of about 2.545 billion yuan [2] - Despite the overall strength of the convertible bond market, some bonds have been downgraded due to deteriorating fundamentals, with several bonds being placed on watch lists this year due to issues such as performance losses and increased debt pressure [2] Group 3 - Convertible bonds have been recognized as an important investment category for "fixed income plus" funds this year, benefiting from an optimized supply-demand structure, with a focus on low price and low valuation strategies [3] - Current market analysis indicates that the prices of balanced and debt-oriented convertible bonds are at neutral points from a long-term perspective, while equity-oriented convertible bonds still have room for price increases [3] - The overall supply of convertible bonds has weakened in recent years, and in a low-interest-rate environment, the motivation for companies to finance through convertible bonds may decrease, potentially impacting future valuations [3]