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]