转债估值上升,挖掘结构性机会 2024年07月 31 日 债券研究 可转债研究 湘财证券股份有限公司 XIANGCAI SECURITIES CO.,LTD 证券研究报告 核心要点: □ 7月权益市场大幅上涨,转债表现弱于正股 根据 Wind 数据、7月(7.1-7.30)中证转债指数上涨 3.83%,中证全指上涨 5.8%;年初至今,中证转债指数、中证全指分别上涨 11.11%、10.33%。由 于7月权益市场交投活跃,核心指数均明显上涨,转债整体表现弱于正股, 尤其是跑输中证 500 指数 2.92pct。 相关研究: 2025.06.30 按价格分类看,7 月万得高价转债指数涨幅(+5.84%)大幅领先于低价 (+4.27%)和中价指数(+2.72%),主要得益于正股的持续上涨,高价转 债股性较强,具备更强的跟涨能力。年初至今,低价转债(+11.78%)与高 价转债(+11.76%) 累计涨幅基本持平,均高于中价转债(+9.07%)。 分析师:张智珑 证书编号:S0500521120002 Tel: (8621) 50295363 Email: zzl6599@xcsc.com 地址:上海市浦东新区银城 ...

证券研究报告 固收视角 反内卷拉动价格,需求端牵引息 华泰研究 2025年7月31日|中国内地 吴宇航 研究员 SAC No. S0570518110002 SAC No. S0570521090004 wuyuhang@htsc.com zhangjigiang@htsc.com +(86) 10 6321 1166 吴靖, PhD 研究员 SAC No. S0570523070006 wujing018437@htsc.com +(86) 10 6321 1166 李梓豪 联系人 SAC No. S0570124060040 lizihao@htsc.com +(86) 21 2897 2228 (事件) 中国 7 月官方制造业 PMI 为 49.3, 前值为 49.7。 中国 7月官方非制造业 PMI 为 50.1,前值为 50.5。 (点评) 1、7 月 PMI 为 49.3,较上月下行 0.4pct,可比季节性约为-0.14pct。EMPI 亦有所回落,制造业淡季特征显现,主要 的支撑在于反内卷相关行业,但需求端尤其内需整体上形成拖累。 2、积极的点在于:其一，反内卷对信心的提振作用相对明显,原材料 ...

截至收盘，中证银行指数下跌0.5%，中证全指证券公司指数下跌2.3%，沪深300非银行金融指数下跌2.8%，香港证券指数下跌3.5%。Wind数据显示，香港 证券ETF（513090）连续18个交易日成交额超100亿，该产品月内规模增超130亿元，最新规模达236亿元、创历史新高。 跟踪沪深300非银行金融指数 长江证券称，预计伴随互联互通政策持续加码香港资本市场，港股市场流动性将持续抬升，市场整体活跃度有望随之提升。 好的42只银行业股票组成,反映 A股银行业股票的整体表现 证券保险ETF 该指数由沪深300指数中归属于 资本市场、其他金融、保险行业 的27只股票组成,保险行业占比 超35%,是市场上保险行业占比 最高的指数之一 今日该指数 香港证券ETF 跟踪中证香港证券投资主题指数 该指数由港股通范围内属于资产 管理与托管银行、投资银行业与 经纪业的股票以及港交所作为指 数样本,反映港股通范围内证券 今日该指数 每日经济新闻 ...

Core Viewpoint - The recent leadership change at Huashan Fund, with Xu Yong taking over as Party Secretary and Chairman, is seen as a pivotal moment for the integration of Huashan Fund and Haifutong Fund under the newly formed Guotai Haitong Securities [1][2][6]. Group 1: Leadership Change - Xu Yong, previously the General Manager of招商基金, has a diverse background spanning various sectors including government, insurance, and public funds [4][5]. - The transition of leadership comes as the market closely monitors the integration progress of Huashan Fund and Haifutong Fund following the merger of Guotai Junan and Haitong Securities [1][6]. Group 2: Company Performance and Structure - As of July 30, 2025, Huashan Fund manages over 700 billion yuan, ranking 15th in the market, while招商基金 manages over 900 billion yuan, ranking 12th [8]. - Huashan Fund has a diverse product line with 285 funds, including 178 equity and mixed funds, and 40 ETFs, with total assets exceeding 77.67 billion yuan and net assets of 56.87 billion yuan as of the end of 2024 [8][9]. Group 3: Integration Process - The integration of Huashan Fund and Haifutong Fund is expected to accelerate, with regulatory requirements mandating a specific integration plan by February 2026 [9][10]. - Recent data indicates a reduction in the workforce of both Huashan Fund and Haifutong Fund, suggesting early steps towards integration [10][11].

新华社北京7月31日电（记者刘开雄）记者31日从国家税务总局获悉，今年上半年，发生涉税业务的 3500余家证券机构累计代扣代缴申报个人所得税超百亿元，税款均已入库至上市公司所在地，有效防止 税源的不合理跨区域转移。 记者从国家税务总局了解到，限售股转让纳税地点调整税收合规管理措施已平稳运行半年有余，税务部 门运用税收大数据和信息技术，从操作上实现异地申报缴税的"全国通办"，证券机构可以一次申报、一 次缴税。 国家税务总局所得税司有关负责人表示，调整限售股转让个人所得税纳税地点，对保障地方财力、促进 资本市场健康发展等都具有积极意义。下一步，税务部门将持续跟踪政策落地效果，确保相关措施平稳 有序实施，助力加快建设高效规范、公平竞争、充分开放的全国统一大市场。（完） 此前，个人转让上市公司限售股由证券机构代扣代缴、相应税款在证券机构所在地入库。2024年12月， 税务总局会同财政部、证监会出台政策，将个人转让上市公司限售股纳税地点由证券机构所在地调整为 上市公司所在地，防止出现上市公司股东通过转移证券账户变换纳税地点，以享受地方为"争夺"税源而 违规实施的奖补问题。 ...

[Table_Title] 金 金融工程点评 [Table_Message]2025-07-31 金工 ETF 点评：跨境 ETF 单日净流入 66.57 亿元；医药拥挤持续满位，钢铁建材高位 [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 执业资格证书编码：S1190522090001 ◼ 通过构建行业拥挤度监测模型，对申万一级行业指数的拥挤度进行每日监测， 前一交易日医药、钢铁、建材拥挤度靠前，相比较而言，汽车、家电的拥挤 度水平较低，建议关注。此外，传媒、石化拥挤度变动较大。从主力资金流 动来看，前一交易日主力资金流入传媒，流出计算机、电子、电力设备。近 三个交易日主力资金减配有色、电力设备、计算机；增配银行。 三、ETF 产品关注信号 ◼ 根据溢价率 Z-score 模型搭建相关 ETF 产品筛选信号模型，通过滚动测算提 供存在潜在套利机会的标的，此外需警惕标的回调风险。 风险提示：本报告结论完全基于公开历史数据，建议关注的行业指数与 ETF 产品基于 构建的量化模型，仅供大家参考阅读，不构成任何投资建议。 研究助理：孙弋轩 ...

Core Insights - The report predicts that the North Exchange 50 Index will undergo component adjustments on September 11, 2025, with a review cutoff date of July 31, 2025 [3] - The predicted additions to the North Exchange 50 Index include Xingtu Measurement Control, Wanyuantong, Kanglwei, Lintai New Materials, and Juxing Technology, while Tianfangbiao, Huami New Materials, Haosheng Electronics, Chuangyuan Xinke, and Gebijia are expected to be removed [3][4] - Historical data indicates that, prior to adjustments, the average return of newly added stocks outperformed the index in 9 out of 11 instances, with an average excess return of 4.8%, while stocks being removed underperformed in 9 instances with an average excess return of -2.7% [3][8] Component Adjustments - The average daily trading volume and total market capitalization over the past six months were used to determine the adjustments, with specific metrics for each stock listed [3][4] - The predicted new components have varying average daily trading volumes, with Kanglwei at 632.9 million yuan and Lintai New Materials at 145.06 million yuan [4] - The report also lists potential candidates for inclusion, such as Yizhi Moyu, Wantong Hydraulic, Leishen Technology, and Wuhan Land Electric [3][4] Impact of Index Adjustments - The North Exchange 50 Index product size reached 11.162 billion yuan, accounting for 8.86% of the free float market capitalization, indicating a growing trend in index-based investments [3][11] - The report calculates the impact coefficients for the stocks being added and removed, with Kanglwei having the highest impact coefficient at 3.46, followed by Lintai New Materials at 2.17 [3][11] - The report emphasizes the importance of monitoring stocks with high impact coefficients as the adjustment date approaches [3]

银河证券发布研报称，国家"稳增长、稳股市"、"提振资本市场"的政策目标仍将持续定调板块未来走 向，流动性适度宽松环境延续、资本市场环境持续优化、投资者信心重塑等多方面因素共同推动证券板 块景气度上行，中长期资金扩容预期进一步增强基本面改善预期。截至2025年7月25日，证券板块PB估 值1.46x，处于2010以来27.80%分位，仍然具备较高安全边际，板块配置正当时。 本周A股日均成交1.85万亿，两融余额比上涨2.07%本周(7.21-7.25)日均股票成交额为1.85万亿元，环比 上涨19.59%，相对于年初上涨31.17%。在换手率方面，A股日均换手率为4.25%，环比上涨0.46pct。在 两融余额方面，A股日均两融余额为1.94万亿元，环比上涨2.07%,相对于年初上涨3.79%;日均融资余额 1.92万亿元，日均融券余额为135.56亿元。 本周A股迎来2家公司上市，市场股权募资金额超134亿本周(7.21-7.25)，A股市场实现股权融资134.46亿 元。IPO方面，A股共有2家企业上市：技源集团（603262）(603262.SH)登录主板，募资规模5.44亿元， 主承销商为东方证券;山大 ...

Quantitative Models and Construction Methods Model: Duration Timing Model - **Construction Idea**: Predict the yield curve and map the expected returns of bonds with different durations[20] - **Construction Process**: - Use the improved Diebold2006 model to predict the instantaneous yield curve - Predict level, slope, and curvature factors - Level factor prediction based on macro variables and policy rate following - Slope and curvature factors prediction based on AR(1) model[20] - **Evaluation**: The model effectively predicts the yield curve and provides actionable insights for bond duration management[20] - **Test Results**: - July return: 6.6bp - Benchmark return: -25.8bp - Strategy excess return: 32.4bp[21] Model: Gold Timing Model - **Construction Idea**: Relate the forward real returns of gold and US TIPS to construct the expected return model for gold[32] - **Construction Process**: - Use the formula: $E[Real\_Return^{gold}]=k\times E[Real\_Return^{Tips}]$ - Estimate parameter k using OLS with an extended window - Use the Fed's long-term inflation target of 2% as a proxy[32] - **Evaluation**: The model provides a robust framework for predicting gold returns based on TIPS yields[32] - **Test Results**: - Expected return for the next year: 22.4% - Past year absolute return: 39.77%[33][35] Model: Active Risk Budget Model - **Construction Idea**: Combine the risk parity model with active signals to construct an active risk budget model for optimal stock and bond allocation[37] - **Construction Process**: - Use the Fed model to define equity risk premium (ERP): $ERP={\frac{1}{PE_{ttm}}}-YTM_{TB}^{10Y}$ - Adjust asset weights dynamically based on ERP, stock valuation percentiles, and market liquidity (M2-M1 spread) - Convert equity asset signal scores into risk budget weights using the softmax function: $softmax(x)={\frac{\exp(\lambda x)}{\exp(\lambda x)+\exp(-\lambda x)}}$[39][47] - **Evaluation**: The model dynamically adjusts asset weights based on multiple dimensions, providing a balanced risk-return profile[37] - **Test Results**: - July stock position: 18.72% - Bond position: 81.28% - July portfolio return: 0.84% - August stock position: 7.44% - Bond position: 92.56%[51] Model Backtest Results 1. **Duration Timing Model** - July return: 6.6bp - Benchmark return: -25.8bp - Strategy excess return: 32.4bp[21] 2. **Gold Timing Model** - Expected return for the next year: 22.4% - Past year absolute return: 39.77%[33][35] 3. **Active Risk Budget Model** - July stock position: 18.72% - Bond position: 81.28% - July portfolio return: 0.84% - August stock position: 7.44% - Bond position: 92.56%[51] Quantitative Factors and Construction Methods Factor: High-Frequency Macroeconomic Factors - **Construction Idea**: Use asset portfolio simulation to construct a high-frequency macro factor system to observe market macro expectations[12] - **Construction Process**: - Combine real macro indicators to form low-frequency macro factors - Select assets leading low-frequency macro factors - Use rolling multiple leading regression to determine asset weights and simulate macro factor trends[12] - **Evaluation**: High-frequency macro factors provide leading indicators for market expectations, offering valuable insights for asset allocation[12] Factor: Convertible Bond Valuation Factors - **Construction Idea**: Compare the relative valuation of convertible bonds and stocks, and between convertible bonds and credit bonds[25] - **Construction Process**: - Construct the "100-yuan conversion premium rate" to compare the valuation of convertible bonds and stocks - Use the "modified YTM - credit bond YTM" median to compare the valuation of debt-biased convertible bonds and credit bonds - Construct style rotation portfolios based on market sentiment indicators like 20-day momentum and volatility deviation[25][27] - **Evaluation**: The factors effectively capture the relative valuation and style characteristics of convertible bonds, aiding in portfolio construction[25][27] - **Test Results**: - "100-yuan conversion premium rate": 33.71% - "Modified YTM - credit bond YTM" median: -2.06% - Style rotation annualized return: 24.54% - Maximum drawdown: 15.89% - IR: 1.47 - Monthly win rate: 65.17% - 2025 return: 35.17%[26][29] Factor Backtest Results 1. **High-Frequency Macroeconomic Factors** - High-frequency economic growth: Upward trend - High-frequency consumer inflation: Downward trend - High-frequency producer inflation: Upward trend[17] 2. **Convertible Bond Valuation Factors** - "100-yuan conversion premium rate": 33.71% - "Modified YTM - credit bond YTM" median: -2.06% - Style rotation annualized return: 24.54% - Maximum drawdown: 15.89% - IR: 1.47 - Monthly win rate: 65.17% - 2025 return: 35.17%[26][29]

事件。 中共中央政治局 7 月 30 日召开会议，决定今年 10 月在北京召开中国共产党第二十届中央委员 会第四次全体会议，主要议程是，中共中央政治局向中央委员会报告工作，研究关于制定国民经济和社会 发展第十五个五年规划的建议。会议分析研究当前经济形势，部署下半年经济工作。中共中央总书记习近 平主持会议。 会议指出 ，要持续防范化解重点领域风险。落实好 中央城市工作 会议精神，高质量开展城 市更新。 投 资建议：维持"增持"评级。 今年四季度面临高基数期，我们判断三季度政策存在政策加力预期，缓释 基本面压力，力争实现止跌回稳目标。若四季度错峰销售不能平稳，"以销定产"逻辑下 2025 年上半年蓝 筹房企开发项目存在销售压力，岁末现金流转进而把压力传导至 2026 年投资端， 2025 年 12 月中央经 济工作会议和 2026 年两会或将成地产重要时点。 2024 年房地产竣工失速下滑，销售与竣工之间差值为 2.36 亿平，我们看好下半年的竣工修复。 落实会议精神，地产政策转型。 7 月政治局会议指出，"落实好中央城市工作会议精神"。中央城市工作会 议指出，"我国城镇化正从快速增长期转向稳定发展期，城市发展正 ...