股债性分类指数看，10 月偏债型转债整体表现相对最好，偏股型转债整体 下行。三类转债整体涨跌幅均弱于对应类别正股。 10 月各风格转债指数表现分化明显，其中低价、高 YTM、高股息风格转 债指数涨幅最大，且跑赢中证转债指数，而动量、低溢价转债指数本月涨 幅为负。年内来看，低溢价转债指数涨幅已低于双低风格。从 2018-2024 各年度 11 月来看，历史 11 月双低、高股息风格胜率相对中证转债指数更 高。 固定收益 | 固定收益专题 贝塔收敛，低估为锚 证券研究报告 转债量化月报 转债指数跟踪 10 月主要权益指数、中证转债指数先下后上，整体呈"V"形走势。中证 转债指数月度下跌 0.11%，年内来看，中证转债指数涨幅为 16.99%。 期权估值继续冲高，当前已高于历史 99%分位水平 期权定价看，转债市场估值自 8 月下旬高点回落后，10 月末估值再次冲高， 当前估值偏差值为 6.94%，高于 2018 年以来 99%分位水平（6.63%）。市场 低估转债个券数量仅 17 只，数量占比为 4.49%。中长期来看，警惕估值水 平均值回归带来的回调风险。 结构上看，当前仅 A+及 A评级分档下转债整体估值低于 ...

Core Insights - The trend of institutionalization and passive investment in the convertible bond market is accelerating, with public funds holding a record 41% of convertible bonds by mid-2025, indicating a shift from active alpha-driven strategies to beta-driven strategies [2][12][16] - The LSM (Least Squares Monte Carlo) model identifies mispricing in convertible bonds, allowing for the discovery of undervalued securities [3][19][29] - A multi-factor enhancement strategy combining valuation, game theory, and elasticity factors has shown an annualized return of 25.1%, significantly outperforming convertible bond ETFs by over 19% [4][47] Group 1: Special Background - The convertible bond market is experiencing unprecedented institutionalization and indexation, with the total market size fluctuating from 705.3 billion yuan at the end of 2021 to 672.8 billion yuan by mid-2025 [12][16] - The rapid growth of convertible bond ETFs, which reached over 700 billion yuan in less than three months, is attracting significant capital seeking low-cost exposure to the convertible bond market [13][16] Group 2: Option Pricing - The LSM model effectively incorporates complex games and default risks, achieving a high explanatory power (R² of 98.6%) in pricing convertible bonds [3][29] - The model's unique perspective on undervaluation differs from traditional dual-low valuation methods, allowing it to identify mispricing opportunities due to factors like clause complexity and volatility perception [30][31] Group 3: Factor Enhancement - The multi-factor strategy utilizes three key factors: dual-low valuation, convertible bond balance, and underlying stock volatility, to construct a portfolio that captures undervalued securities with game value and upward elasticity [4][42][47] - The strategy's performance has been validated through backtesting, demonstrating superior risk-adjusted returns compared to benchmarks [47] Group 4: Strong Redemption Prediction - The demand for strong redemption from issuers is evident, with 30 convertible bonds announcing strong redemptions in the second half of 2025, primarily driven by the performance of underlying stocks [48][49] - A predictive model quantifies the probability of redemption events, helping investors avoid risks and identify opportunities based on issuer behavior [5][49]