Group 1 - The quantitative convertible bond portfolio achieved an excess return of 1.39% in the first quarter, with a total return of 25.94% since 2025, outperforming the CSI Convertible Bond Index by 8.64% [1][3] - In March 2026, the portfolio recorded a return of -6.60%, with an excess return of 0.81% [3] - The portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [9][10] Group 2 - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors are tracked for the convertible bonds [3][10] - The report highlights the latest data on pricing deviation factors, showcasing the differences between market prices and theoretical pricing [17][18] Group 3 - The report provides risk warnings for convertible bonds based on delisting and risk warning rules from exchanges, as well as event-based and credit scoring methods [28][30] - Specific convertible bonds are flagged for mandatory delisting risks, financial delisting risks, and credit risks, including names like Lingang Convertible Bond and Shengxun Convertible Bond [30] Group 4 - The timing strategy for the CSI Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, with the latest view indicating a zero position as no bullish signals were present [31][32] - The timing model signals for March 2026 show a consistent zero position by the end of the month, indicating a cautious approach [34]

Group 1 - The quantitative convertible bond portfolio performed well in February, achieving a return of 1.01% with an excess return of 0.23%. Since 2025, the portfolio has generated a total return of 34.84%, outperforming the CSI Convertible Bond Index by 8.15% [4][10]. - The portfolio is constructed using three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [4][10]. - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors, providing insights into the latest pricing deviation factors [4][14]. Group 2 - The report includes a risk warning for convertible bonds based on forced delisting and risk warning rules from exchanges, as well as event-based and credit scoring methods [4][29]. - The timing model for convertible bond indices is based on three dimensions: price-volume model, pricing deviation, and bond elasticity, indicating a bullish signal with a current position of 67% [4][32]. - The latest timing signals for the CSI Convertible Bond Index show consistent bullish indicators from both the price-volume and pricing models [4][34].

Core Viewpoint - The quantitative convertible bond portfolio has performed well in January, generating a return of 33.49% since 2025, with an excess return of 7.92% compared to the China Securities Convertible Bond Index [1] Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [5] - In January 2026, the portfolio achieved a return of 6.26%, with an excess return of 0.43% [1] Group 2: Convertible Bond Factors - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds are being tracked [2] - The report illustrates the latest data using the pricing deviation factor as an example [2] Group 3: Convertible Bond Risk Warnings - The report provides risk warnings for convertible bonds based on forced delisting and risk warning rules from exchanges, as well as results from event-based and credit scoring methods [3][15] - Specific convertible bonds are highlighted for various risks, including trading-related forced delisting and financial-related forced delisting [16] Group 4: Timing of Convertible Bond Index - The report employs price-volume models, pricing deviations, and convertible bond elasticity for timing and position management of the China Securities Convertible Bond Index [4] - As of the end of January, both the price-volume model and pricing model indicated bullish signals, with a recommended position of 2/3 [4][17]