还有哪些转债"进可攻，退可守"？ 证券研究报告 固收定期报告 / 2025.08.17 分析师 孙彬彬 SAC 证书编号：S0160525020001 sunbb@ctsec.com 分析师 隋修平 SAC 证书编号：S0160525020003 suixp@ctsec.com 分析师 李浩时 SAC 证书编号：S0160525080002 lihs@ctsec.com 相关报告 1. 《流动性 | 税期资金波动怎么看？》 2025-08-16 2. 《高频｜北京楼市边际回暖，出行动能回 升》 2025-08-16 3. 《利率｜再提"防空转"意味着什么？》 2025-08-16 核心观点 请阅读最后一页的重要声明！ ❖ 高估值环境下，部分固收类型投资者出现类似"畏高"情绪。由于产品 属性缘故，固收类型投资者天然对回撤敏感，而转债高估值意味着未来可能 存在的潜在回撤。尤其是在今年前 7 个月已经通过含权资产获得丰厚收益的 机构，则更希望有机会能够在充分参与后市权益行情的情况下锁定已有回报。 ❖ 基于我们此前的报告，转债凸性类似债券凸性，能够在正股涨时增厚 收益，在正股跌时对冲跌幅，因此高凸性转债能更好的发挥转 ...

| 指数 | 收盘 | | 涨跌（％） | | | --- | --- | --- | --- | --- | | 名称 | （点） | 1 日 | 5 日 | 1 月 | | 上证指数 | 3583 | 0.66 | 3.2 | -0.41 | | 深证综指 | 2193 | 0.78 | 5.63 | -0.88 | | 风格指数 (％) | 昨日 | 近 1 个月 | 近 6 个月 | | --- | --- | --- | --- | | 大盘指数 | 0.41 | 2.17 | 6.74 | | 中盘指数 | 0.45 | 4.75 | 7.98 | | 小盘指数 | 1.02 | 7.56 | 15.69 | | 涨幅居前 行业(％) | 昨日 | 近 1 个月 | 近 6 个月 | | --- | --- | --- | --- | | 航天装备Ⅱ | 5.72 | 5.64 | 22.74 | | 地面兵装Ⅱ | 4.9 | 15.86 | 83.95 | | 贵金属 | 4.8 | 0.43 | 25.98 | | 军工电子Ⅱ | 3.42 | 5.46 | 29.56 | | 电机Ⅱ | ...

Group 1 - The core viewpoint of the report emphasizes the relationship between convertible bond prices and their parity, focusing on the first and second derivatives of this relationship, which are crucial for understanding the elasticity and convexity of convertible bonds [4][12][51] - The report identifies that high convexity in convertible bonds is concentrated in low parity zones, and that convexity increases during valuation uptrends [2][27] - The analysis indicates that during valuation uptrends, convertible bonds tend to rise more than they fall, exhibiting higher convexity, while during downtrends, they tend to fall more than they rise, showing lower convexity [48][49] Group 2 - The report discusses the effectiveness of convexity as a factor, noting that it reflects the asymmetry in how convertible bonds respond to price increases and decreases, and that it is a valuable characteristic for investment strategies [51][61] - It highlights that the timing of convexity-based trading strategies has been effective, with lower turnover but better timing compared to median prices of convertible bonds [52][61] - The report concludes that high convexity strategies have shown significant advantages over low-price strategies, particularly since 2020, although they do not outperform low-price strategies in terms of controlling drawdowns [61]