2025 年 08 月 29 日 转债凸性策略的优势场景与择券特 征分析 ——转债凸性与定价系列报告之二 ⚫ 1. 转债弹性和凸性的一般性质和分布 ⚫ 转债弹性有两个实际用法：一是基于向上弹性和向下弹性得到平均弹性，用来跟踪控制个 券或者组合的波动情况以及权益敞口暴露情况。如果转债弹性越大，即说明转债个券或者 组合跟随正股的波动能力越强，对应组合的权益敞口越大，反之则说明组合的权益敞口较 小。分平价和溢价率区间的转债弹性具有较强的普适性，且没有进行二次变换，因此在跟 踪和控制组合弹性方面误差较小。二是基于弹性数据差分得到凸性数据，与直接使用弹性 数据相比，这里会存在一定误差和精细度不够的问题。一方面对于转债凸性的划分维度依 赖于弹性划分维度，如果弹性计算只划分到平价和溢价率维度，那么凸性也只能同步跟随， 但是简单的二维区间划分对于凸性计算确实过于粗糙，只能大致反映该平价和溢价率区间 的历史凸性数据，如果两只转债平价和溢价率相同，那么对应的凸性值也会完全相同，导 致区分度不够；另一方面不同平价和溢价率的弹性数据通过取中位数的方式获取，实际弹 性并不能完全等同于一阶导数据，通过差分得到二阶导则进一步放大了误差。 ...

| 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]