固收+扩容下的资金面分析和择时思路 - 解码转债超额收益 之源 20260226 摘要 机构投资者已占据可转债市场主导地位，五类主要机构（公募基金、企 业年金、保险机构、私募基金、券商资管与自营）合计持仓占比已超过 80%，而一般机构与自然人占比则持续下降，主要驱动力来自固收+策 略扩容和转债市场的老龄化。 股票市场预期直接影响机构配置转债的斜率。乐观的市场预期会加速机 构增持转债，反之则可能导致减持。历史数据显示，2022 年初、2023 年末以及 2025 年二季度，市场悲观情绪均导致机构转债持仓占比下降。 机构化和股性化趋势改变了转债投资框架，传统双低策略的有效性降低， 基本面驱动的个券选择权重上升。市场呈现结构化特征，不同行业转债 的正股弹性与基本面差异显著，导致跨行业的策略一致性下降。 在结构性市场中，胜率思维比赔率思维更重要。高溢价股性转债有时仍 具备较高的跟涨和赔率，因为其对正股的跟涨充分，且上涨过程验证了 正股资质的改善，从而支撑溢价率维持在高位。 2025 年，公募基金、券商、私募等机构在转债市场的占比上升，而年 金与保险等偏绝对收益资金的直投份额下降。保险资金倾向于在股票市 场回落、转债估 ...

1. Report's Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - In the short - term, when there is no significant market catalyst and incremental funds have not entered the market, a strategy of going long on volatility can increase the returns of the convertible bond portfolio. The excess returns mainly come from risk - pricing compensation and the avoidance of the "volatility trap" [2][11]. - In the long - term, liquidity premium may be a relatively stable source of excess returns in the convertible bond market. With the expected liquidity easing, low - interest rates, narrowing credit spreads, and the structural rise of the equity market, the convertible bond market is expected to be in a "high - valuation" state for a long time, and the equity factor is expected to dominate convertible bond returns [3][14]. - The convertible bond market has been oscillating upward, maintaining stable trading volume, range - bound movement, and compressed valuations. In the industry dimension, sectors such as information technology, optional consumption, and finance have strengthened, while the energy and materials sectors have weakened. In the medium - term, although the supply of convertible bonds continues to shrink, the expected incremental funds are sufficient, and the convertible bond market is expected to have a new round of upward trends [1][10]. 3. Summary of Each Section According to the Table of Contents 3.1 Convertible Bond Weekly Thoughts - From 2025/12/08 to 2025/12/12, the convertible bond market oscillated upward, maintaining stable trading volume, range - bound movement, and compressed valuations. Information technology (+0.72%), optional consumption (+0.48%), and finance (+0.18%) sectors strengthened, while energy (-1.93%) and materials (-0.59%) sectors weakened. Due to bond market adjustments, the valuation of debt - like convertible bonds contracted, while equity - like convertible bonds strengthened and their valuations expanded [10]. - In the short - term, as of 2025/12/12, the volatility style performed best in the past week. The average return of this style in the past week was about -0.17%, with a relatively controllable overall drawdown. Going long on volatility can bring excess returns from risk - pricing compensation and the avoidance of the "volatility trap" [11]. - In the medium - term, the release of relevant policies may bring incremental funds to the market. Since 2021, under neutral market conditions, the liquidity style has performed best with stable excess returns. Future liquidity easing and low - interest rates will support convertible bond valuations, and the convertible bond market is expected to move towards "strengthened equity attributes" [13][14]. 3.2 Convertible Bond Market Tracking 3.2.1 Convertible Bond Market Conditions - The report provides the performance data of various convertible bond indices in different time periods, such as the performance of the Wande Convertible Bond Energy Index, Wande Convertible Bond Materials Index, etc., in the past week, two weeks, since September, one month, two months, half - year, and one year [18]. 3.2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten individual convertible bonds in terms of price changes in the past week [21]. 3.2.3 Convertible Bond Valuations - The report presents the valuation trends of debt - like, balanced, and equity - like convertible bonds, as well as the conversion premium rate valuation trends of convertible bonds with different parities [22][30]. 3.2.4 Convertible Bond Prices - The report shows the proportion trend of high - price bonds and the median price of convertible bonds [32].