固 定 收 益 2026 年 01 月 09 日 2026 年可转债年度策略：穿越"墨西拿海峡" 团队成员 投资要点： 转债估值：月不西沉？ 固 定 收 益 深 度 从历史上看，转债估值并不直接反映正股波动率的趋势变化而更 多跟随正股方向性同步变化，而从当前来看市场对于 26 年正股方向性 的信心依然较强，另一方面以纯债资产的历史实际收益率来衡量转债 配置的机会成本，预计至少在未来一个季度到半年左右的时间里，这 一机会成本都大概率偏低，同时在结构上低波动低估值的银行、消费 类转债的逐步退出，高波动的成长新券发行带来转债整体的隐含波动 率上升，我们预计 26 年转债的估值可能类似 22 年会持续处在历史偏 高水平上，判断转债整体估值、分位数等全市场资产特征指标及其意 义，变成了一件难且效用偏低的事，对于结构和个券的关注或将更具 性价比。 从负债端角度来看，由于在新产品中转债占用含权资产仓位，估 值支撑主要靠老产品规模增长，而对于转债的仓位边际又在持续下行， 26 年负债端虽不至于拖累估值表现，但或也很难成为估值进一步上行 的推动力。转债当前的高估值状态实际上已经计入了未来正股的可观 涨幅，这一上涨预期如果要得到 ...

Group 1 - The report indicates that the convertible bond market experienced significant fluctuations in August, with the convertible bond index showing an upward trend but facing adjustments towards the end of the month due to various factors including the weakening of the banking sector and an increase in strong redemption of convertible bonds [3][6][7] - The strategy for September suggests a cautious approach towards convertible bonds, with expectations for lower returns due to the "dumbbell" style weakening and the potential for short-term adjustments in the market [3][33] - The report highlights the validation of the "potential yield" indicator system, which indicated a significant risk of short-term adjustments in the convertible bond market as the implied three-month yield fell below -5% [3][19][22] Group 2 - The report outlines a revised monthly strategy composition for September, which includes three components: short-term high-odds selection, low-price enhancement strategy, and active selection, reflecting the current market environment [3][35] - Specific convertible bonds are recommended for attention in September, including the high-odds selection of Pudong Development Bank Convertible Bond, and low-price enhancement strategies focusing on Jia Yuan, Jingke, Southeast, and Fangyuan Convertible Bonds [3][36][37] - The active selection strategy emphasizes avoiding bonds with a high likelihood of strong redemption while maintaining a focus on sectors with growth potential [3][38]

Group 1 - The report highlights that the convertible bond market is currently perceived as "expensive," with many participants focusing on short-term relative returns rather than long-term value [5][36][35] - The strategy emphasizes "odds thinking" over "winning rate thinking," suggesting that investors are more concerned with short-term profit potential in the current market environment [18][29] - The report introduces the "implied 3-month yield" indicator, which measures the speed of potential yield realization, indicating that the market lacks clear positioning signals at present [19][29] Group 2 - The report notes that the convertible bond index reached a new high in July, driven by strong performance in cyclical sectors and the photovoltaic industry, despite some underperformance in bank convertible bonds [5][6][29] - The strategy for August includes focusing on high-odds targets, maintaining a balanced industry distribution, and selecting bonds with high yield-to-maturity (YTM) [37][38][39] - Specific convertible bonds recommended for attention include Green Energy Convertible Bond, Pudong Development Bank Convertible Bond, and others, reflecting a focus on high-odds opportunities [38][39][40]