[Table_Summary] 报告摘要： 图：量化转债组合业绩表现 [Table_Page] 金融工程|量化投资策略月报 2026 年 3 月 1 日 证券研究报告 [Table_Title] 2 月量化转债组合超额 0.23% 量化转债月度跟踪（2026 年 03 月） 数据来源：Wind, 广发证券发展研究中心 | 表：转债指数最新择时信号 | | | --- | --- | | 模型 | 观点 | | 价量模型 | 1 | | 定价模型 | 1 | | 凸性模型 | 0 | | 仓位 | 67% | 数据来源：Wind, 广发证券发展研究中心 | [分析师： Table_Author]张超 | | | --- | --- | | SAC 执证号：S0260514070002 | | | SFC CE No. BOB130 | | | 020-66335132 | | | zhangchao@gf.com.cn | | | 分析师： | 安宁宁 | | SAC 执证号：S0260512020003 | | | SFC CE No. BNW179 | | | 0755-23948352 | | | ann ...

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]