固定收益 | 固定收益专题 转债框架研究 证券研究报告 转债投资机构行为分析手册 我们对不同类投资机构的转债投资策略及偏好进行详细拆解，形成转债投 资机构行为分析手册以供参考，本篇我们聚焦概览与公募基金篇。 转债投资机构与分析方法概览 以 2024 年末数据为例，"私募资管"明显持有更多的电力设备转债，但对 银行、农牧、钢铁、交运、家电等顺周期行业转债持仓更低；"保险"的转 债持仓较为分散，对钢铁、有色、化工、建材等行业的敞口相对较高。"私 募资管"、"QFII"对低评级转债的容忍度更高；"保险"、"证券自营"持仓 中 AAA 评级转债占比较高；"企业年金"、"社保基金"直接持有高评级转 债的规模也并不高（占比约 15%）。"私募资管"持仓转债中 100 元以下占 比超 15%；"保险"、"社保基金"、"QFII"持仓转债则以 110-120 元为主。 风险提示：1）宏观经济增长不及预期；2）正股权益市场波动超预期；3） 转债投资人披露规则及数据统计不完全可能导致偏误。 首先，沪深交易所会逐月披露不同类型投资者投资各类债券情况，而转债 作为交易所固定收益证券中的一种亦会被披露，我们以此来看：公募基金 持有转债 ...

固收：强预期高估值，转债如何赚取超额？20250819 摘要 股票市场成交量持续抬升，增量资金入场，混合型和指数型基金扩容， 动量效应增强，电子、AI 等板块表现良好，预计转债估值将进一步上升， 股性策略表现突出。 银行转债到期或临近到期，部分资金可能流向光伏、化工等反内卷板块， 以及银行内部结构调仓带来的增量资金，这些行业成为银行增量资金的 新去向。 主要机构投资者持仓占比未显著上升，但自然人和一般机构占比下降， 表明私募、券商等其他类型投资者参与抢筹，整体估值上行仍受增量资 金支撑。 股性策略表现最强，基因增配策略如电子医药军工中小盘标的也表现良 好，而高 YT 和基因低配策略表现较弱。配置集中在热门方向反内卷及 弹性中小盘转债。 股性转债溢价率相对平衡转债较低，仍有上升空间。双高转债数量处于 相对低位，股票市场预期尚未达到极值，股性转债具有超额收益潜力。 绝对收益投资者关注基因低配置和低拥挤度指标筛选冷门转债，以及高 a 天策略和双低策略，例如关注 80 评价以下、溢价率较低的标的。 推荐化工类平衡转债如杭氧、丰二、一阳、丰天业，以及中小盘正股相 关标的如科顺海顺、启帆天能。关注银行类兴业浦发重银以及钢 ...

Performance Insights - In Q2 2025, convertible bond funds achieved a median return of 3.52%, outperforming pure bond funds which had returns of 0.96%[1] - The overall performance of typical fixed income + funds surpassed that of pure bond funds following a rapid market recovery after a sharp decline[1] Fund Size and Positioning - In Q2 2025, the size of convertible bond funds decreased by 3.67% (CNY 36 billion) to CNY 948 billion, while first and second-tier bond funds increased by CNY 800 billion and CNY 385 billion, reaching CNY 8,487 billion and CNY 8,077 billion respectively[2][20] - The convertible bond fund's position increased slightly by 0.18 percentage points to 91.41%, while first-tier bond funds saw a minor decrease of 0.11 percentage points to 8.54%[24] Market Dynamics - The decline in convertible bond positions was primarily due to passive reductions, as fund managers struggled to find suitable investment opportunities amidst high demand and rising prices[3][26] - The high valuation of convertible bonds has weakened the common low-price investment strategy, leading to a constrained capacity for bottom-layer investment strategies[3][26] Sector Allocation - Public funds focused on increasing allocations in financial securities and mid-to-low priced cyclical consumer sectors, while reducing holdings in banks and other sectors facing forced redemption[4][37] - The top holdings included financial sector bonds, with significant increases in holdings of bonds from banks and non-bank financial institutions[4][37] Investment Strategy - The demand for convertible bonds remains strong, suggesting a continued bullish stance as long as underlying stocks do not show a downward trend[4] - A "barbell" investment strategy is recommended, combining large-cap bank stocks with policy-driven domestic demand sectors and undervalued technology growth stocks[4]

Core Viewpoint - The report provides an overview of the performance and investment strategy of the Yongying Xincheng Mixed Securities Investment Fund for the second quarter of 2025, highlighting its focus on stable asset appreciation while managing risks effectively [1][2]. Fund Product Overview - Fund Name: Yongying Xincheng Mixed Securities Investment Fund - Fund Manager: Yongying Fund Management Co., Ltd. - Fund Custodian: Huaxia Bank Co., Ltd. - Total Fund Shares at Period End: 173,529,451.42 shares [2]. - Investment Objective: Long-term stable appreciation of net asset value [2]. - Investment Strategies: Includes major asset allocation strategies, stock investment strategies, convertible bond investment strategies, and futures investment strategies [2]. Financial Indicators and Fund Performance - As of the end of the reporting period, the net asset value of Yongying Xincheng Mixed A was 1.0466 RMB, with a net value growth rate of 1.05% against a benchmark return of 1.33% [10]. - The net asset value of Yongying Xincheng Mixed C was 1.0408 RMB, with a net value growth rate of 1.19% against a benchmark return of 1.33% [11]. - The fund's performance over the past three months showed a net value growth rate of 1.05% for Class A, 1.05% for Class C, and 1.19% for Class E [10][11]. Investment Portfolio Report - The fund's total assets included 192,186,502.32 RMB in bonds, representing 93.21% of total assets, with no stocks held at the end of the reporting period [12]. - The portfolio included 126,227,020.55 RMB in policy financial bonds, accounting for 69.70% of the fund's net assets [12]. Management Report - The fund management adhered to a strict fair trading system, ensuring equitable treatment of all investment portfolios without significant violations [9]. - The management team consists of experienced professionals, including Liu Xingyu with 11 years of experience and Yuan Xu with 15 years of experience in the securities industry [6][7].

Market Overview and Analysis - The primary market saw the issuance of government bonds, local bonds, and policy financial bonds amounting to 280.1 billion, 72.1 billion, and 161.0 billion respectively, with net financing of 199.9 billion, 21.6 billion, and 155.0 billion [1] - Non-financial credit bonds had a total issuance of 208.2 billion, with a net financing amount of 84.3 billion [1] - One new convertible bond was issued, expected to raise 0.7 billion [1] Secondary Market Review - Interest rates declined last week, influenced by factors such as the lowest funding rates of the year, the return of wealth management funds, reduced government bond issuance, and the stock-bond relationship [2] Liquidity Tracking - The net withdrawal through Open Market Operations (OMO) was 1.4 trillion, but fiscal spending supplemented liquidity, leading to a noticeable easing of funds at the beginning of the month [3] - Anonymous funds dropped to 1.3%, and one-year government stock certificates fell below 1.6% [3] Policy and Fundamentals - The Central Financial Committee emphasized the need for lawful governance of enterprises to curb low-price disorderly competition [4] - The manufacturing PMI for June recorded at 49.7, surpassing expectations and previous values [4] Overseas Market - The U.S. Congress passed the "Great Beauty" tax reduction bill, and non-farm employment numbers for June exceeded expectations [5] - The S&P 500 rose by 1.7% over the week, while the 10-year U.S. Treasury yield increased by 6 basis points [5] Equity Market - The A-share market saw most broad-based indices rise, driven by strong bank sector performance and favorable news in the innovation drug sector [6] - The Wind All A index increased by 1.22%, the CSI 300 rose by 1.54%, and the ChiNext surged by 1.50% [6] - Daily average trading volume decreased to 1.44 trillion, with a weekly average trading volume drop of 130.2 billion [6] - As of July 3, 2025, the total financing balance for All A reached 1,846.38 billion, an increase of 19.847 billion compared to June 26, marking nine consecutive trading days of net growth [6] Bond Market Strategy Outlook - The government bond supply pressure remains high in Q3, and the overall liquidity is expected to remain loose to support government bond issuance and stabilize growth [7] - Economic growth risks are increasing due to weakened export demand, a downturn in the real estate cycle, and reduced support from new policies [7] - Current bond investments have a high probability of success, but the potential for returns depends on the realization of fundamental expectations [7] - Convertible bonds face supply-demand contradictions, with liquidity remaining relatively loose, but the convertible bond index has reached new highs, indicating a need for careful selection of underlying assets [7]

Key Insights - As of June 2025, China's foreign exchange reserves stood at 33,174 billion USD, indicating a stable economic environment [1] - The convertible bond market showed a 3.3% increase in June, following a 4.7% rise in the stock market, driven by policy stimuli and geopolitical factors [2][3] - The life sciences upstream sector is experiencing a turning point, with a projected revenue growth of 10.75% year-on-year in 2024, driven by stable investment and domestic substitution trends [7][8] - The North Exchange is expected to maintain high trading activity and market attention, with a focus on new industries such as artificial intelligence and commercial aerospace for the second half of 2025 [12][17] Convertible Bond Market - The convertible bond market's valuation is not overly high, with structural opportunities still available, particularly in sectors showing improved economic conditions such as non-ferrous metals, machinery, agriculture, and computing [4][3] - The market is transitioning from a policy-driven focus to a fundamental pricing approach, with expectations of a 5% economic growth target being met [3][4] - Recommended convertible bonds for July include Guotou Convertible Bond, Ran 23 Convertible Bond, and others, indicating a strategic focus on sectors benefiting from policy support [4] Life Sciences Upstream Sector - The life sciences upstream sector is characterized by high specialization and significant barriers to entry, with major companies expanding and exploring international markets [7][8] - The sector is poised for growth due to the booming demand for innovative drugs, with the Chinese antibody drug market expected to reach 510.8 billion RMB by 2030 [8] - Mergers and acquisitions are becoming more prevalent, with domestic companies looking to replicate the growth paths of global giants, enhancing industry concentration and growth potential [9][10] North Exchange - The North Exchange's trading activity has slightly decreased, with an average daily turnover of approximately 279.83 billion RMB, but it remains higher than other markets [13] - The North Exchange's overall price-to-earnings ratio is around 50.4 times, indicating a slight decline but still higher than other boards, with the electronics sector showing the highest ratios [14] - The North Exchange is optimizing its evaluation system to support the high-quality development of small and medium-sized enterprises, focusing on innovation and market ecology improvement [15][17]

2025 年 06 月 21 日 利好因素增多，大盘转债继续领涨 ——转债周度跟踪 20250620 ⚫ 1. 周观点及展望 ⚫ 上涨动能减弱+海外因素扰动等因素影响下权益市场下跌，加之非银转债密集提议下修， 转债大盘表现好于小盘，非银、公用事业、银行、电力设备等板块领涨，底仓品种表现 亮眼，市场情绪仍高涨，转债估值向上突破关键点位。此外，评级下调仍是压制因素之 一，今年 5 月至 6 月 20 日共有 11 只转债被下调评级（2024 年同期共 13 只），转债评 级下调情况大致持平于去年同期，偏债型转债被下调评级后普遍表现较差，但平价水平、 违约预期整体好于去年，导致信用风险预期并未明显扩散，光伏转债震荡偏强。策略上， 股债震荡市预期下，估值强支撑下的转债资产有望录得不错相对收益，建议维持中性仓 位，勤交易，积少成多。配置上，建议仍以高股息大盘偏债转债为主，叠加平衡偏股方 向，重点关注近期提议下修的案例，寻找潜在强促转股意愿的标的。继续推荐不对称性 交易、双低动量及结合条款博弈。 ⚫ 2. 转债估值 债 券 周 评 相关研究 - 证 券 研 究 报 告 黄伟平 A0230524110002 huangwp ...

证券研究报告 | 债券定期报告 2025 年 06 月 10 日 关注科技板块转债机会 可转债策略周报（0603-0606） 成交久期缩短，收益率回落 一、一周行情回顾：转债市场随权益市场上涨 截至上周五，万得全 A 指数收于 5,156.21 点，一周上涨 1.61%；上证指数收于 3,385.36 点，一周上涨 1.13%；中证转债收于 433.92 点，一周上涨 1.08%；可 转债正股指数收于 1,855.59 点，一周上涨 2.39%。 权益市场方面，上证指数放量上涨。上周主要股指均上涨，其中创业板指领涨。 节奏上，周二到周四各指数持续上涨，周五小幅回调。分行业看，通信、有色 金属、电子、综合和计算机行业表现较好，家用电器、食品饮料、交通运输、 煤炭和钢铁行业跌幅领先。 转债行情方面，上周中证转债指数上涨，成交量转为增长。上周 AA-及以下级 别转债、小盘转债、高价转债表现相对占优。分行业看，轻工制造、有色金属、 计算机、家用电器和电子行业转债表现相对较好，银行、钢铁、商业贸易、建 筑材料和国防军工行业转债涨幅落后。个券层面，金陵转债（轻工制造）、亿 田转债（家用电器）、京源转债（公用事业）、华体转 ...

Summary of Conference Call Notes Company/Industry Involved - The discussion revolves around the application of reinforcement learning models in the convertible bond market. Core Points and Arguments 1. **Reinforcement Learning Model Performance** The model optimizes convertible bond returns by evaluating current buying behavior and future selling timing. Data from outside the sample indicates that since 2020, the model often suggests a buying recommendation of 0, indicating a lack of market buying opportunities, with only a few periods suggesting purchases [1][5][10]. 2. **Market Conditions and Investment Strategy** When market views are clear, specific investment recommendations can be emphasized. In contrast, when the market is ambiguous, it is more beneficial to focus on structural opportunities within specific sectors or industries rather than relying on overall market trends [1][6]. 3. **Risk Management and Positioning** Position management can be dynamically adjusted based on market conditions. The average position over the long term is 46%, which is suitable for combining with secondary bond funds or half-position convertible bonds. In extreme cases, the strategy may completely exit the market to avoid risks, maintaining a neutral viewpoint for flexible adjustments [1][13]. 4. **Model Limitations** The model is not suitable for all types of convertible bonds, particularly large-cap bonds in sectors like electricity and banking, due to differing patterns and large data volumes that exceed standard office equipment capabilities [1][10][12]. 5. **Historical Performance and Risk Avoidance** Historical data shows that the model effectively avoids trend risks, successfully steering clear of significant market downturns in January 2024 and March 2025, while re-entering during upward trends. However, it struggles with identifying specific liquidity issues in small-cap stocks [1][11]. 6. **Current Market Outlook** As of June 2024, the market model indicated an oversold condition, but the recovery took longer than expected. The current market model's viewpoint is neutral at 0.51, suggesting investors should carefully evaluate their strategies rather than making impulsive buy or sell decisions [1][14]. 7. **Investment Recommendations** The types of securities currently suitable for purchase include: - Long-term rising call options with low premiums - Individual bonds with high YTM and stable underlying stock performance - Bonds with moderate valuation elasticity, with the first category being the most recommended [2][15]. 8. **Combining Fundamental and Strategic Analysis** In convertible bond research, a detailed combination of fundamental and strategic analysis is essential. This approach helps investment managers effectively select securities for purchase and develop corresponding strategies [1][16]. 9. **Communication Skills of Convertible Bond Managers** Convertible bond investment managers must possess strong research and communication skills to explain complex products to non-professionals effectively. Clear communication is crucial, especially when addressing common recurring questions [1][18]. Other Important but Possibly Overlooked Content - The model's ability to avoid local optimization issues by introducing more factors and using random exploration strategies, such as simulated annealing, to enhance its generalization capabilities [1][9]. - The historical underperformance of near-term bonds, which often do not yield favorable results compared to full sample tests, suggesting a preference for selecting bonds with better long-term potential [1][17].

2025 年 04 月 15 日 固定收益点评 研究所： 证券分析师： 靳毅 S0350517100001 jiny01@ghzq.com.cn 证券分析师： 范圣哲 S0350522080001 fansz@ghzq.com.cn [Table_Title] 转债再现"黄金坑" 固定收益点评 最近一年走势 相关报告 毅，范圣哲》——2024-10-27 《债券研究月报：高 YTM 转债配置正当时*靳毅， 范圣哲》——2024-08-25 《债券研究月报：转债如何有效择时？*靳毅，范 圣哲》——2024-07-28 投资要点: 国海证券研究所 请务必阅读正文后免责条款部分 《固定收益点评：指数新高，转债如何应对？*靳 毅，范圣哲》——2025-04-03 《债券研究月报：2025 转债年度策略*靳毅，范圣 哲》——2024-12-26 《债券研究月报：牛市，转债如何跟涨正股？*靳 另一方面，大行注资落地，打开利率下行空间。我们在《大行注资落地，如何影 响债市》中提到，本轮央行注资特别国债 5000 亿元对债市影响主要有两个方面： ①从供给端来看，发行期限主要为 5Y 和 7Y，在 4-6 月相对平滑发行，供给 ...