量化手段助力"双低"策略 为了尽可能覆盖可转债市场优质标的，充分发挥可转债资产"下跌有底，上涨弹性足"的优势，刘怡敏和 团队三年前就开始着力构建可转债量化投资体系，目前已经形成了成熟的实盘方案。 "双低"策略是刘怡敏和团队投资可转债的核心逻辑。在刘怡敏看来，低估值、低溢价的可转债资产往往 未被市场充分挖掘，具备较强的上涨潜力和投资价值，量化手段主要是通过持续跟踪可转债的价格、转 股溢价率、到期收益率以及发行主体的负债率、自由现金流等财务指标，动态捕捉优质的"双低"标的。 面对可转债市场投资机遇，国海富兰克林基金固定收益投资总监、基金经理刘怡敏和她带领的固收团队 历时三年，打造了一套系统化的可转债投资框架，以量化体系捕捉市场动能作为底仓配置，以主动择券 自下而上挖掘优质机遇，力争为组合创造量化增强的收益效果。 "目前，可转债市场上很多资产对应的是中证2000指数成分股，公募行业对这部分标的覆盖是比较少 的，存在大量尚未被发掘的机会，部分低估值标的一旦被市场挖掘，弹性可能会很快释放出来。"刘怡 敏表示，在信用风险整体可控的情况下，目前团队适当放宽了可转债的入池资质标准。在她看来，这是 顺应市场的选择。 当前可转债 ...

□本报记者王鹤静 面对可转债市场投资机遇，国海富兰克林基金固定收益投资总监、基金经理刘怡敏和她带领的固收团队 历时三年，打造了一套系统化的可转债投资框架，以量化体系捕捉市场动能作为底仓配置，以主动择券 自下而上挖掘优质机遇，力争为组合创造量化增强的收益效果。 当前可转债市场进入高位震荡区间，刘怡敏分析认为，行情驱动因素主要是可转债市场供需错配以及正 股走强带动可转债估值抬升。展望后市，刘怡敏对权益市场保持乐观，随着可转债报批提速，有望出现 供需两旺的格局，科技类可转债以及传统板块的低估值可转债都还有进一步挖掘的空间。 为适应不同的市场环境和产品定位，刘怡敏和团队构建了防守型、平衡型、进攻型三类不同风险收益特 征的可转债量化投资策略。其中，防守型策略适用于逆势环境，抗风险能力较强；平衡型策略适用于震 荡市环境，攻守较为均衡；而进攻型策略适用于趋势性上行市场，追求较大的收益弹性。 总体来说，刘怡敏表示，量化策略能够相对较好地捕捉到偏右侧的布局机会，当行业基本面拐点将近或 者已开始转变，正股估值往往会先于可转债启动上行，量化策略能够较好地把握景气传导过程中的时间 差，提前发掘机会，为组合创造先发优势；即便介入稍晚， ...

□本报记者 王鹤静 为适应不同的市场环境和产品定位，刘怡敏和团队构建了防守型、平衡型、进攻型三类不同风险收益特 征的可转债量化投资策略。其中，防守型策略适用于逆势环境，抗风险能力较强；平衡型策略适用于震 荡市环境，攻守较为均衡；而进攻型策略适用于趋势性上行市场，追求较大的收益弹性。 总体来说，刘怡敏表示，量化策略能够相对较好地捕捉到偏右侧的布局机会，当行业基本面拐点将近或 者已开始转变，正股估值往往会先于可转债启动上行，量化策略能够较好地把握景气传导过程中的时间 差，提前发掘机会，为组合创造先发优势；即便介入稍晚，也能把握住后续持续行情。"比如，最近光 伏、储能等板块行情，我们通过算法紧跟市场热点，挖掘到了相关标的，取得了可观的收益回报。"刘 怡敏举例说。 主动与量化互补发力 在量化策略捕捉市场动能的基础上，刘怡敏和团队还会通过主动择券自下而上挖掘机会，力争实现收益 增强的效果。 由于可转债相比正股标的较为稀缺，某些行业找不到合适的可转债资产，刘怡敏和团队放弃了中观行业 配置的思路，转身扎根于基本面研究，挖掘质地优良的可转债资产。"比如，周期类的可转债标的可能 存在困境反转机会，成长类可转债标的可能更多是产能 ...

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].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - In September, convertible bonds underperformed underlying stocks overall, but there was significant differentiation among sectors. High - price convertible bonds continued their strong performance, and the high - price convertible bond index led the gains. The technology sector's rise slightly declined, while the financial sector was under pressure. Under the expectation of a bull market in the equity market, the double - low strategy continued to underperform the high - price and low - premium strategy [1][2][3]. - Although high - price convertible bonds have stronger equity characteristics, the double - low strategy still has the advantage of being offensive and defensive. Actively screening sectors and individual stocks according to market trends can help obtain excess returns. In the context of the continuous rise of convertible bonds, the valuation has reached a relatively high historical level, and the number of individual bonds triggering forced redemptions is increasing [3]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Monthly Market Tracking - Overall performance: In September (from September 1st to 30th), the CSI Convertible Bond Index rose 1.97%, while the CSI All - Share Index rose 2.65%. Year - to - date (as of September 30th), the CSI Convertible Bond Index and the CSI All - Share Index rose 17.11% and 23.68% respectively. The convertible bonds underperformed underlying stocks, but there was obvious differentiation among sectors. The CSI Convertible Bond Index underperformed the CSI 300 and CSI 500 indexes by 1 pct and 3 pct respectively, but outperformed the CSI 2000 index by 2 pct [11]. - Classification by price: In September, the Wind high - price convertible bond index rose 5.92%, with the growth rate narrowing compared to August, but still significantly leading the low - price (+3.14%) and medium - price (+3.26%) convertible bonds. Since May, high - price convertible bonds have continuously outperformed medium - and low - price ones. Year - to - date (as of September 30th), the high - price convertible bond index has accumulated a 27.47% increase, especially significantly outperforming medium - and low - price indexes in the third quarter [12]. - Classification by outstanding scale: In September, the Wind small - cap (+2.73%) and medium - cap (+2.89%) convertible bond indexes led the gains, significantly outperforming the large - cap convertible bonds (+0.14%). Year - to - date (as of September 30th), the small - cap convertible bond index rose 23.93%, far ahead of the large - cap (+10.56%) and medium - cap (+17.35%) convertible bonds [16]. - Classification by credit rating: In September, the AAA high - rating convertible bond index fell 1.36%, while the AA - and below convertible bond index rose 3.15%, underperforming the AA + (+3.75%) and AA (+4.23%) convertible bond indexes. Throughout the year, low - rating convertible bonds still significantly outperformed high - rating ones, reflecting a relatively high market risk appetite [18]. - Sector performance: In September, the technology sector's rise slightly declined, and the financial sector was under pressure. The information technology and industrial convertible bond indexes rose 4.28% and 4.11% respectively, with the information technology sector still being the best - performing one. Except for information technology, industrial, and material convertible bonds, the performance of convertible bonds in other sectors was stronger than that of underlying stocks. The convertible bonds and underlying stocks in the financial sector both declined in September [22]. 3.2 Convertible Bond Monthly Investment Recommendations 3.2.1 Strategy Recommendation: Select High - Growth Industries from Low - Price Convertible Bonds - September double - low portfolio performance: The double - low portfolio constructed in September selected the bottom 10% of individual bonds in terms of double - low values. After active screening, 10 individual bonds were obtained, mainly concentrated in the light manufacturing and non - ferrous metals industries. From September 1st to 30th, the portfolio's return rate was 5.92%, outperforming the CSI Convertible Bond Index by about 4 pct. Cumulatively, since its construction in June, the portfolio's cumulative return rate was 19.12%, outperforming the CSI Convertible Bond Index by 5.3 pct [31]. - October double - low portfolio recommendation: In the context of the continuous rise of convertible bonds, individual bonds with low double - low values face higher risks of delisting and forced redemption, and the number of eligible individual bonds has decreased. This month, 10 individual bonds were selected from the bottom 10% of double - low value rankings. These recommended individual bonds are mainly concentrated in non - ferrous metals, basic chemicals, and power equipment industries, with an average convertible bond price of 133 yuan, conversion value of 122 yuan, and conversion premium rate of 9% [35]. 3.2.2 Allocation Recommendation: Focus on Technology Growth and "Anti - involution" - Related Sectors - Convertible bonds have entered a high - valuation range. At this stage, more attention should be paid to the safety margin. Under the unbroken expectation of a bull market, sectors at a low level with the expectation of a catch - up can be focused on. It is recommended to pay attention to "anti - involution" - related sectors with long - term logic, such as photovoltaic, lithium battery, engineering machinery, and chemical industries, as well as the callback layout opportunities of high - growth sectors such as robotics, semiconductors, AI computing power, and innovative drugs [37].

Macro - In the first half of the year, listed companies achieved operating income of 35.01 trillion yuan, a year-on-year increase of 0.16%; net profit reached 3 trillion yuan, with a year-on-year growth of 2.54%, an increase of 4.76 percentage points compared to the previous year's full-year growth [3][4] - In August, the manufacturing PMI was 49.4%, up 0.1 percentage points month-on-month; the non-manufacturing business activity index was 50.3%, up 0.2 percentage points month-on-month; the composite PMI output index was 50.5%, up 0.3 percentage points month-on-month [3] - Several banks indicated that they continued to support the stabilization of the real estate market in the first half of the year by increasing mortgage loan issuance, with the second-hand housing loan issuance increasing by over 20% year-on-year [4] Convertible Bonds - In August, the convertible bond market continued to be active, with the convertible bond index rising by 4.32%, underperforming the overall market index which rose by 10.74% [6] - The high-priced convertible bond index outperformed low-priced and mid-priced indices, with an increase of 8.92% in August, indicating stronger performance in a rising equity market [6][9] - The dual-low strategy underperformed in a strong market, with only a 2.48% increase in August, while the high-priced low-premium strategy rose by 7.07% [9] Traditional Chinese Medicine Industry - Shouxiangu reported a 16.51% decrease in operating income to 300 million yuan in the first half of 2025, with a net profit decline of 33.99% to 65.56 million yuan [14] - The company expects performance to improve in the third quarter, as July saw a return to positive growth in revenue [15] - The company is expanding its online channels, with internet sales increasing by 15.14% year-on-year, while traditional sales channels are being enhanced through strategic partnerships [16] Innovative Drug Industry - Sanofi's half-year report showed a revenue of 4.36 billion yuan, a slight decrease of 0.8%, while net profit increased by 24.6% to 1.36 billion yuan [20] - The company is focusing on innovative therapies, with several products in clinical trials, including SSGJ-707, which has potential for significant market value [21] - Existing products are performing steadily, with a notable increase in sales in the hair loss segment, while other segments are experiencing slight fluctuations [22] Medical Equipment - Ruimait's half-year performance was strong, with a revenue of 544 million yuan, a year-on-year increase of 42.30%, and a net profit of 131 million yuan, also up 42.19% [25] - The company has improved its expense ratios significantly, with a sales expense ratio of 10.43%, down 2.24 percentage points year-on-year [26] - The rebranding to "Ruimait" is expected to enhance brand value and market penetration, aligning the company's identity with its core products [28]