证 券 研 究 报 告 以不变应万变 2026年2月可转债投资策略 证券分析师：黄伟平 A0230524110002 王明路 A0230525060003 徐亚 A0230524060002 2026.02.06 本轮可转债主升浪下，可转债估值扩张更加明显 www.swsresearch.com 证券研究报告 2 ◼ 26年开年可转债行情估值驱动更加显著。本轮主升浪相对25Q3而言，转债指数上涨更快，同时涨的也更高；但是本轮主 升浪期间，上证指数上涨幅度不及25Q3，同时万得可转债正股等权指数、正股加权指数本轮上涨幅度也落后于上一轮， 这反映了本轮可转债行情估值驱动更加显著。 ◼ 股性转债的余额加权转股溢价率估值提升11.66%（25Q3期间提升6.30%），同时平价较高区间的估值提升的更加明显， 比如平价在110~120、120~130、大于130的转债本轮余额加权转股溢价率分别提升15.64%、8.64%、6.22%相对25Q3 主升浪期间提升3.00%、5.62%、5.73%显著扩大；与之类似的是，本轮长剩余期限的转债的估值普遍获得较大幅度提升， 而上一轮主升浪期间不同期限的可转债的估值涨跌不一，不具有 ...

Group 1 - The report indicates a shift in the convertible bond market from a positioning mindset to a trading mindset since Q4 2025, with pricing anchors transitioning from derivative pricing to "underlying stock" pricing, leading to increased demand for convertible bonds [4][41] - The outlook for Q1 2026 suggests that the divergence in positions has ended, and investors should focus on deepening their analysis of sectors and individual bonds rather than timing their positions [4][41] - The report emphasizes the need for a solid allocation strategy, recommending a mix of low-priced and high-priced convertible bonds to enhance returns, with expected returns of 4%-8% for low-priced bonds and around 17% for high-priced bonds [4][41] Group 2 - The report highlights that since Q4 2025, the performance of convertible bonds has been relatively stable compared to underlying stocks, with a noted lower risk of decline [8][39] - It is observed that the convertible bond market has experienced a bull market positioning, with high-priced and small-cap convertible bonds showing significant excess returns, although this trend has diminished post-September 2025 [11][39] - The report identifies specific convertible bonds for different strategies, including low volatility, stable, and flexible combinations, indicating a diverse approach to investment in the convertible bond market [4][39] Group 3 - The report notes that the convertible bond market is currently facing high redemption risks, particularly for equity-type convertible bonds, which are trading at historically low valuations [33][39] - It discusses the performance of convertible bonds based on their remaining duration, indicating that bonds with less than two years remaining typically perform poorly, while new and recently issued bonds have shown better performance [20][39] - The report also mentions that the market is experiencing a significant outflow of funds from convertible bond ETFs, while public funds are increasing their holdings, indicating a shift in investment strategies [38][39]

Core Insights - The report establishes a systematic investment framework for convertible bonds focusing on "when to buy" and "what to buy," addressing market volatility and optimizing risk-return ratios [4] - The framework aims to provide investors with a replicable and trackable path for convertible bond allocation, combining the defensive attributes of bonds with the growth potential of stocks [4] Timing Strategies - Two effective timing strategies are proposed: - Equity-Debt Spread Timing: This strategy quantifies the relationship between the return of the CSI 500 index and the yield of 10-year government bonds, providing objective thresholds for position adjustments. The backtest accuracy rate is 68.64%, making it suitable for capturing equity characteristics [5] - Sentiment Index Driven Timing: This strategy uses implied volatility from the options market as a sentiment gauge, achieving a timing success rate of 63.53% when combined with the Z-Score standardization method and 74.39% with the IV change threshold method [5] Selection Strategies - Five mainstream selection strategies are evaluated and improved to enhance portfolio return-risk ratios: - Dual Low Strategy: Balances stability and elasticity, achieving a cumulative return of 95.25% from 2019 to October 2025 [6] - Factor Triple Low Strategy: Introduces fundamental factors like stock Alpha to optimize selection criteria, yielding a cumulative return of 192.54% and an annualized return of 47.98% [6] - Momentum + Dual Low Strategy: Captures market sentiment's upward inertia, with a cumulative return of 65.53% and an annualized return of 15.89% [8] - Barbell Strategy: Combines equity and debt-oriented convertible bonds to balance offense and defense in varying market conditions [8] - High Price Low Premium Strategy: Demonstrates effectiveness in trending markets with a cumulative return of 205.53% and an annualized return of 36.63% [8] Convertible Bond Recommendations - The report provides a list of convertible bonds to focus on, categorized by various strategies, including balanced, equity-oriented, and those meeting the improved dual low criteria [9] Strategy Applicability and Market Conditions - The report details the performance characteristics and applicable market environments for each strategy, indicating that the equity-debt spread timing strategy may face significant drawdowns in extreme market volatility, while the dual low strategy shows stable performance across different equity market conditions [10] Future Allocation Outlook - Looking ahead, investors are advised to flexibly allocate between defensive convertible bonds and high-dividend growth-oriented convertible bonds to capture structural investment opportunities while controlling drawdowns [11]

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]

Core Viewpoint - The A-share market has shown signs of recovery, stabilizing above 3500 points, which has positively impacted convertible bonds, with the China Convertible Bond Index reaching a nearly 10-year high and increasing by nearly 12% since its low on April 8 [1] Group 1: Convertible Bonds Characteristics - Convertible bonds, which can be converted into stocks, possess dual investment value: they have the characteristics of bonds with fixed interest payments and principal, and they also offer the potential for equity value through conversion during the conversion period [1] - This unique nature of convertible bonds provides a favorable risk-return profile, effectively filling the gap for medium-risk, moderate-return assets in investment portfolios [2] Group 2: Performance Metrics - Since 2003, the China Convertible Bond Index has increased by 359.59%, with an annualized return of 7.21% and an annualized volatility of 16.29%, outperforming both the China All Bond Index and the Shanghai Composite Index during the same period [3] Group 3: Fund Management and Strategy - The Changcheng Active Growth Fund, managed by experienced fixed-income fund managers, focuses on convertible bonds and employs an elastic strategy to capture opportunities in this asset class [4] - The proportion of convertible bonds in the Changcheng Active Growth Fund's net asset value increased significantly from 68.97% at the end of Q3 last year to 99.82% by the end of Q4, maintaining above 93% in the following three quarters, coinciding with a 12.95% rise in the China Convertible Bond Index [4] Group 4: Recent Performance and Outlook - The Changcheng Active Growth Fund has shown steady net value growth, with returns of 7.24% over the past six months and 12.00% over the past year, significantly outperforming its benchmark [5] - The current economic recovery in China, with a GDP growth of 5.3% in the first half of the year, along with a relatively loose monetary policy, is expected to support the convertible bond market, although some bonds may be overvalued after recent increases [5]

Report Industry Investment Rating - Not provided in the content Core Views of the Report - The trading volume and liquidity of ultra-long credit bonds have significantly increased in the past two weeks, approaching the historical high in July and August 2024. The market's pursuit of duration for returns is expected to continue this week. The ultra-long credit bond strategy has a certain probability of success but a low odds. Short-duration credit enhancement remains a highly certain strategy [5][8]. - The convertible bond market has a relatively cautious style. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited. However, the current valuation of convertible bonds is not significantly overestimated, and there may be opportunities for capital inflow into high-quality, low-volatility individual bonds. The potential credit risk in June is coming to an end, and if unexpected events occur, the opportunities are considered greater than the risks [5][19]. Summary According to Relevant Catalogs 1 Credit Bond and Convertible Bond Views: How Long Can the Ultra-Long Credit Bond Market Last? - When short-term trading becomes crowded, the market starts to seek returns from duration. This phenomenon is expected to continue this week. The narrowing of short-term spreads has reached an extreme level, forcing liquidity to shift to longer-term bonds of medium-quality issuers. The expansion of fixed-income asset management products and the increasing insurance allocation willingness are expected to bring incremental funds, and the market's offensive on long-term credit bonds is unlikely to end soon [5][8]. - The ultra-long credit bond strategy has execution problems, such as the need for significant interest rate declines or spread compressions to achieve better returns and the lack of stable institutional investors, resulting in rapid loss of liquidity during market corrections. Short-duration credit enhancement is a more certain strategy, and if the liability side is stable, extending duration through secondary perpetual bonds is recommended rather than ultra-long credit bonds [5][13]. - The convertible bond market has a cautious style, with high-rated and low-priced convertible bonds performing better. The three characteristics of the convertible bond market in 2025 remain unchanged. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited, but the long-term allocation logic remains valid, and there may be opportunities for high-quality, low-volatility individual bonds. The potential credit risk in June is ending, and if unexpected events occur, the opportunities are greater than the risks [5][19]. 2 Credit Bond Review: The Spread Compression Market is Becoming More Extreme 2.1 Negative Information Monitoring - There were no bond defaults or overdue payments during the week from June 16 to June 22, 2025. Several companies had their主体评级 or展望下调, and some overseas companies had their ratings downgraded. There were also several significant negative events, such as companies being issued warning letters by regulatory authorities and being listed as dishonest被执行人 [21][22][23]. 2.2 Primary Issuance: Net Financing Continues to Remain at the Billion-Level - From June 16 to June 22, 2025, the primary issuance of credit bonds reached 411.4 billion yuan, with a net financing of 105.4 billion yuan, maintaining a billion-level net financing for three consecutive weeks. Three credit bonds were canceled or postponed for issuance, with a total planned issuance scale of 3.6 billion yuan. The primary issuance costs of medium and high-grade bonds showed a differentiated trend last week [24]. 2.3 Secondary Trading: Liquidity Continues to Strengthen, and Urban Investment Slightly Outperforms Industry - The valuation of credit bonds declined across the board, and the risk-free interest rate curve flattened bullishly. Except for the passive widening of the spreads of low-grade long-term bonds, the spreads of other bonds narrowed or remained unchanged. The term spreads of each grade were mainly flat, but the 3Y - 5Y part of medium and low-grade bonds slightly underperformed. The long-term grade spreads were under pressure to widen. The credit spreads of urban investment bonds in most provinces narrowed by 1 - 3bp last week, with Qinghai having the largest narrowing of 4bp. The industry bonds slightly underperformed urban investment bonds, and the real estate industry's spreads continued to widen by 27bp. The liquidity of credit bonds continued to strengthen, with the turnover rate increasing by 0.27 percentage points to 2.31% [26][30][33]. 3 Convertible Bond Review: The Equity Market Pulled Back, and the Convertible Bond Index Slightly Declined 3.1 Overall Market Performance: The Stock Market Fluctuated and Closed Lower, with Banks and Communications Leading the Gains - From June 16 to June 20, 2025, the Shanghai Composite Index, Shenzhen Component Index, and other major indices mostly closed lower. Only the banking, communications, and electronics sectors rose, while the beauty care, textile and apparel, and pharmaceutical sectors had the largest declines. Most of the leading convertible bonds outperformed their underlying stocks, and the list of popular individual bonds changed little [36]. 3.2 Convertible Bonds Slightly Declined, and the Opportunities Outweighed the Risks - Last week, the convertible bonds slightly declined, with the average daily trading volume significantly decreasing to 61.305 billion yuan. The CSI Convertible Bond Index decreased by 0.17%, the parity center decreased by 1.6% to 94.5 yuan, and the conversion premium rate center increased by 2.2% to 28.7%. High-rated, low-priced, and low-premium convertible bonds performed better, while high-priced, low-rated, and small-cap convertible bonds underperformed. The view on convertible bonds has changed little. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited, but the current valuation of convertible bonds is not significantly overestimated. The long-term allocation logic of the convertible bond market remains valid, and there may be opportunities for capital inflow into high-quality, low-volatility individual bonds. The potential credit risk in June is ending, and if unexpected events occur, the opportunities are greater than the risks [39].