广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 摘要 量化转债组合12月表现良好 ： 组合基于可转债基本面因子、低频价量因子、高频价量因子三套因子体系生成，月度调仓。2025年以来组合收益25.63%，相对中证转债 指数超额收益6.97%；2025年12月组合收益4.57%，超额收益2.43%。 量化转债因子： 我们跟踪了32个转债基本面因子，80个转债低频价量因子和32个转债高频价量因子，详细数据欢迎订阅。报告以定价偏差因子为例，展示 了最新数据。 转债风险预警： 基于交易所退市及风险警示规则，以及事件法和信用打分法计算结果，报告对具有交易类强制退市风险、财务类强制退市风险、*ST风险、 ST风险、事件型信用风险、打分型信用风险的可转债进行了风险提示。 转债指数择时： 基于价量模型、定价偏差和转债弹性三个维度，对中证转债指数进行多空择时及仓位管理。其中，12月底价量模型与定价模型为看多信 号，最新观点为2/3仓位。 一、 组合及表现 ...

Core Viewpoint - The convertible bond market is experiencing a high-level fluctuation, driven by supply-demand mismatches and strong underlying stocks, with optimism for future growth in the equity market and convertible bond approvals expected to accelerate [1][6][7]. Group 1: Investment Strategy - Liu Yimin and her team have developed a systematic quantitative investment framework for convertible bonds over three years, focusing on capturing market momentum and actively selecting bonds to enhance returns [1][3]. - The "Double Low" strategy targets undervalued and low-premium convertible bonds, which are often overlooked by the market, presenting strong upside potential [3][5]. - The team has established three types of quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions [4]. Group 2: Market Analysis - The current convertible bond market is characterized by a significant supply-demand imbalance, with a notable increase in demand and a reduction in supply, leading to higher valuations [6][7]. - Liu Yimin maintains a positive outlook on the A-share market, anticipating a dual rise in earnings and valuations driven by supportive policies and liquidity [7][8]. - The approval of convertible bonds has begun to accelerate, which could lead to a more favorable supply-demand environment, allowing investors to find quality assets at reasonable valuations [7][8]. Group 3: Performance Metrics - The "Guofu Hengjiu Credit Bond" fund, managed by Liu Yimin, has a convertible bond allocation of 38.38% of its net asset value, with strong performance metrics over the past year [5]. - The fund's one-year, two-year, and three-year returns are 9.34%, 12.15%, and 14.70%, respectively, ranking in the top 10 among similar funds [5].

Core Viewpoint - The convertible bond market presents investment opportunities, driven by supply-demand mismatches and strong underlying stocks, with a positive outlook for the equity market and potential for further exploration of undervalued convertible bonds [1][5]. Group 1: Investment Strategy - Liu Yimin and her team have developed a systematic quantitative investment framework for convertible bonds over three years, focusing on capturing market momentum and identifying quality opportunities through a bottom-up approach [1][2]. - The "Double Low" strategy emphasizes investing in undervalued and low-premium convertible bonds, which are often overlooked by the market, indicating strong upside potential [2][3]. - The team has established three types of quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, enhancing the portfolio's resilience [3]. Group 2: Market Analysis - The current convertible bond market is experiencing high valuation levels, influenced by strong underlying stocks and a significant increase in demand against a backdrop of reduced supply [5][6]. - Liu Yimin maintains a bullish outlook on the A-share market, anticipating a dual rise in earnings and valuations driven by supportive policies and liquidity [5]. - The approval of convertible bonds has accelerated since November, which could lead to a balanced supply-demand situation, benefiting the long-term stability of the convertible bond market [5]. Group 3: Performance and Adjustments - The fund's investment in convertible bonds accounts for 38.38% of its net asset value, with strong performance metrics over the past year, placing it in the top 10 among similar funds [4]. - The team is currently maintaining a neutral to slightly low position in convertible bonds, focusing on individual bond opportunities while balancing risk [6]. - Continuous monitoring of both technology and traditional sector convertible bonds is essential, especially as policies supporting domestic demand and economic recovery are implemented [6].

Core Viewpoint - The article discusses the investment opportunities in the convertible bond market, highlighting the systematic investment framework developed by Guohai Franklin Fund's fixed income team, led by Liu Yimin, to capture market dynamics and enhance returns through a quantitative approach [1] Group 1: Market Analysis - The convertible bond market is currently in a high volatility range, driven by supply-demand mismatches and the strengthening of underlying stocks, which have elevated convertible bond valuations [1][6] - Liu Yimin maintains an optimistic outlook on the equity market, anticipating a balanced supply-demand scenario as the approval process for convertible bonds accelerates, with further opportunities in technology and undervalued traditional sector convertible bonds [1][6] Group 2: Investment Strategy - The core investment logic of Liu Yimin's team revolves around a "dual low" strategy, focusing on low valuation and low premium convertible bonds that are often underappreciated by the market, thus possessing significant upside potential [2] - The team has developed three distinct quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, allowing for flexible adjustments based on market dynamics [3] Group 3: Active and Quantitative Approach - The team employs a complementary approach of active selection and quantitative strategies to enhance returns, focusing on fundamental research to identify high-quality convertible bonds, especially in sectors where suitable assets are scarce [4] - Liu Yimin emphasizes a dynamic allocation between active and quantitative strategies based on market conditions, which has led to resilient performance across different market environments [4] Group 4: Performance Metrics - The Guofu Hengjiu Credit Bond Fund, representing the "dual low" strategy, has a significant allocation of 38.38% of its net asset value in convertible bonds as of the end of Q3 [4] - The fund has achieved impressive returns over the past year, with one-year, two-year, and three-year returns of 9.34%, 12.15%, and 14.70%, respectively, ranking in the top 10 among similar funds [5] Group 5: Future Outlook - The convertible bond market is expected to experience a robust supply-demand dynamic, with an increase in approvals for new convertible bonds potentially leading to a stable long-term development of the market [6] - Liu Yimin is closely monitoring the market for opportunities in both technology and traditional sectors, particularly in light of supportive policies aimed at stimulating domestic demand and enhancing performance in the equity market [7]

Core Viewpoint - The article discusses the investment opportunities in the convertible bond market, highlighting the strategies developed by Liu Yimin and her team at Guohai Franklin Fund to capture market dynamics and enhance returns through a systematic quantitative investment framework [1][2][4]. Group 1: Market Analysis - The convertible bond market is currently experiencing a high volatility phase, driven by supply-demand mismatches and strong performance in underlying stocks, which has led to an increase in convertible bond valuations [1][4]. - Liu Yimin expresses optimism about the equity market, anticipating a favorable supply-demand balance as the approval process for convertible bonds accelerates, particularly in technology and undervalued traditional sectors [1][4][5]. Group 2: Investment Strategy - The core investment logic is the "double low" strategy, focusing on low valuation and low premium convertible bonds that are often underappreciated by the market, indicating strong upside potential [1][2]. - The team has developed three types of quantitative investment strategies: defensive, balanced, and aggressive, tailored to different market conditions, enhancing the ability to capture opportunities [2][3]. Group 3: Active and Quantitative Approach - The team combines quantitative strategies with active selection to enhance returns, focusing on fundamental research to identify high-quality convertible bonds, especially in sectors with potential turnaround opportunities [3]. - Liu Yimin emphasizes a flexible approach to the balance between active and quantitative strategies, adjusting based on market conditions to maintain resilience in the portfolio [3]. Group 4: Future Outlook - The convertible bond market is expected to see a robust supply-demand dynamic, with an increase in approvals for new bonds potentially leading to more investment opportunities [4][5]. - The team is closely monitoring the market for both technology-related convertible bonds, which may have high valuations but acceptable profit expectations, and traditional sector bonds that are undervalued and could benefit from policy support [5].

Core Viewpoint - The convertible bond market has shown strong performance in 2023, with the China Convertible Bond Index rising by 17.14% year-to-date and total trading volume reaching 13.46 trillion yuan, a year-on-year increase of 37.75%. This has led to increased interest in quantitative investment strategies that leverage the unique characteristics of convertible bonds, which offer both offensive and defensive capabilities [1]. Group 1: Why Choose Convertible Bonds? - Convertible bonds are considered high-quality beta assets, with the China Convertible Bond Index significantly outperforming major broad-based indices since 2017. For instance, during the market downturn in 2018, the index only fell by 1.16%, while the CSI 300 and CSI 500 indices dropped by 25.31% and 33.32%, respectively. Conversely, in 2019, the index rose by 25.15%, demonstrating its ability to provide both growth and protection [3][4]. Group 2: Characteristics and Pricing Factors of Convertible Bonds - The core value of convertible bonds is tied to the underlying stock price, which directly influences their conversion value. The bonds exhibit a "dual nature" of equity and debt, allowing them to appreciate in value with rising stock prices while providing a "debt floor" during downturns [8][10]. - The interest rate environment plays a crucial role in shaping the "debt floor" of convertible bonds. A decrease in market interest rates enhances the attractiveness of convertible bonds as fixed-income assets, thereby supporting their price [10]. - Unique terms such as price adjustment clauses can create opportunities for value enhancement. When the stock price falls below a certain threshold, companies can lower the conversion price, increasing the number of shares each bond can convert into, thus boosting its market value [10][11]. - Supply and demand dynamics significantly impact the valuation of convertible bonds. The issuance pace and scale of convertible bonds are influenced by new stock offerings and refinancing policies, while institutional demand from public funds and insurance companies also plays a critical role [11]. Group 3: Common Quantitative Strategies for Convertible Bonds - Quantitative strategies for investing in convertible bonds involve using computer models to systematically identify and execute investment opportunities, minimizing emotional decision-making. Common strategies include: - **Dual Low Strategy**: Focuses on bonds with low prices and low conversion premiums to balance safety and upside potential [12]. - **Low Premium Strategy**: Targets bonds with very low or negative conversion premiums, capitalizing on strong stock performance [12]. - **High YTM Strategy**: Treats convertible bonds as fixed-income securities to secure stable interest income, particularly in bearish or volatile markets [12]. - **Event-Driven Strategy**: Monitors events that may cause price fluctuations, such as earnings announcements or proposed conversion price adjustments, to capitalize on market reactions [12].

Investment Rating - The report does not explicitly provide an investment rating for the convertible bond sector, but it discusses the relative performance and suitability of different types of convertible bonds, indicating a preference for balanced and bond-like convertible bonds for long-term holding [7][13]. Core Insights - The report emphasizes the value of convertible bonds in terms of allocation and timing strategies, categorizing them into bond-like, balanced, and equity-like convertible bonds. It suggests that balanced and bond-like convertible bonds have higher risk premiums and are better suited for long-term investment, while equity-like convertible bonds offer better timing opportunities due to their lower risk premiums [1][7][13]. - The report highlights the performance of convertible bonds in the recent market, noting that the equity-like convertible bonds performed the best in the last month, driven by stock contributions, while the overall market experienced a decline followed by a rebound [3][29]. Summary by Sections Convertible Bond Allocation and Timing Value - Convertible bonds can be categorized into bond-like, balanced, and equity-like types based on their pricing deviations. The report suggests that balanced and bond-like convertible bonds are more suitable for long-term investment due to their higher Sharpe and Calmar ratios compared to equity-like convertible bonds, which have higher volatility and drawdowns [1][7][11]. Market Review: Convertible Bond Market Downturn and Rebound - The convertible bond market experienced a downturn followed by a rebound, with stock contributions providing a positive return of 0.31% while valuation adjustments led to a negative return of -0.83% over the past month. Equity-like convertible bonds showed the strongest performance, with a positive stock contribution of 2.18% [3][29]. Convertible Bond Strategy Tracking - The report outlines various strategies for selecting and timing convertible bonds, including a low valuation strategy that has achieved a 21.7% absolute return since 2018. The strategy focuses on selecting the lowest priced convertible bonds and adjusting allocations based on relative valuations [32][40].

证券研究报告 | 金融工程 gszqdatemark 2025 05 13 年 月 日 量化点评报告 转债的配置与择时价值——五月可转债量化月报 转债的配置与择时价值。我们可以将转债个券分为偏债、平衡与偏股转债， 等权配置形成分域净值，并分别使用转债定价偏离度进行择时形成择时策 略，由策略结果可以看出： 1）平衡偏债转债风险溢价高，配置价值高但择时性价比低：平衡偏债转债 本身风险溢价较高，择时策略并未产生很明显的绩效提升，因此平衡与偏 债转债更适合弱化择时并进行长期配置，且构建因子策略进行稳定增强。 2）偏股转债风险溢价低，配置价值低但择时性价比高：偏股转债本身风险 溢价较低，夏普率与卡玛比率仅为 0.46 与 0.28。而基于估值的择时策略 可以在提升收益的同时降低风险，使得夏普率与卡玛比率分别上升至 0.87 与 0.74，因此偏股转债可以通过择时指标进行波段操作从而提升收益降低 风险。 转债的选债与择时。我们可以将选债与偏股择时按照如下方式结合： 1）选债部分：对于平衡与偏债转债我们使用低估+正股动量因子进行选债 增强，偏股转债我们使用低估因子进行选债增强。 2）择时部分：我们将平衡与偏债转债相对于中证 ...