证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 11 月 27 日 量化可转债择券每日跟踪应用指南 ——债市专题报告 核心观点 本文聚焦于系统性介绍不同风格维度下的可转债择券"每日一图"设计逻辑与使用方 法，涵盖通过 115 个因子设计的五类风格（估值、动量、波动率、流动性、量价）的 "行为-估值-波动"三维逻辑基础框架，力争筛选出于未来具备收益弹性的可转债标 的，为资产配置和固收+策略提供量化策略支持。 ❑ 多因子体系与筛选逻辑 基于可转债市场的价量特征与市场风格变化，在前序报告《风格维度下的可转债 多因子体系》中，我们构建了一套涵盖 115 个日频因子的多维度体系，帮助投资 者在日频维度下高效识别不同风格类别下的转债，进而提高收益稳定性与控制组 合各风格敞口，最终从估值（定价锚与安全边际）、动量（行为惯性与资金趋势）、 波动率（风险补偿与期权特征）、流动性（可交易性与资金偏好）、量价相关性（情 绪反馈与结构性博弈）五个风格下选取具备潜力的可转债标的。 ❑ "每日一图"使用方式 每日一图沿用由左向右的呈现逻辑。最左侧从 5 大类风格因子出发，分别展现当 前时点下各 ...

Group 1 - The A-share market continues to exhibit a wide fluctuation pattern, with major indices experiencing weekly declines and market volume shrinking again. Financing increased slightly compared to the previous week, and stock ETFs saw net inflows, with TMT-themed ETFs being the main contributors [4] - In the fund market, pharmaceutical-themed funds performed well, while TMT-themed funds experienced significant pullbacks. Various ETFs across different investment scopes saw inflows, particularly TMT and sci-tech themed ETFs, with notable inflows into the Hang Seng Internet ETF and gold ETFs [5] - The convertible bond market saw a slight increase, with both the convertible bond and equity markets rising since the beginning of 2025, although the convertible bond market's performance was weaker. The demand for high-quality convertible bonds remains strong, and prices are at relatively high levels, necessitating careful selection [6] Group 2 - The energy storage sector is thriving, leading to price increases in lithium-ion battery materials. Short-term supply and demand are tight, with significant price hikes in lithium hexafluorophosphate. The profitability of iron phosphate is expected to recover, and prices for lithium iron phosphate materials are entering an upward channel [8] - The pharmaceutical sector saw a rise in flu-like cases, prompting attention to flu vaccines, respiratory virus testing, and cold medicine sectors. The pharmaceutical index rose by 3.29%, outperforming the CSI 300 index by 4.37 percentage points [8] - The company U (688220.SH) reported a revenue of 2.88 billion yuan for the first three quarters of 2025, a year-on-year increase of 13.42%. The net profit attributable to shareholders was a loss of 327 million yuan, a reduction in loss by 85 million yuan, with a gross margin of 25.38%, up by 1.92 percentage points year-on-year [8]

- The report tracks various market factors, including stock market, commodity market, options market, and convertible bond market, focusing on their weekly performance and trends[1][3][12] - **Stock Market Factors**: The report highlights the following: - **Market Style**: Small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. Both small-cap and value-growth style volatilities decreased[12][14] - **Market Structure**: Industry excess return dispersion and industry rotation speed increased. The proportion of rising constituent stocks also increased, while the concentration of trading in the top 100 stocks and top 5 industries decreased[12][14] - **Market Activity**: Both market volatility and turnover rate declined[13][14] - **Commodity Market Factors**: Key observations include: - **Trend Strength**: The trend strength of agricultural products decreased, while other sectors showed minimal changes[24][31] - **Basis Momentum**: Basis momentum increased across all sectors[24][31] - **Volatility**: Volatility decreased across all sectors except agricultural products[24][31] - **Liquidity**: Liquidity declined across all sectors[24][31] - **Options Market Factors**: The implied volatility levels of SSE 50 and CSI 1000 options decreased. However, the put-call open interest ratio increased. Additionally, the skewness of both put and call options for SSE 50 rose significantly[35] - **Convertible Bond Market Factors**: The convertible bond market performed well, with the following trends: - The premium rate of bonds priced around 100 yuan increased significantly, nearing the 90th percentile of the past year[37] - The premium rate of pure debt bonds also slightly increased, while the proportion of low premium rate bonds remained stable[37] - Weekly trading volume continued to recover[37]

Group 1 - The domestic commodity futures market showed mixed results, with the shipping index (European line) rising over 3% and lithium carbonate dropping over 4% [1] - The China convertible bond index closed down 0.67%, with notable gainers including Zhongneng Convertible Bond and Zhenhua Convertible Bond, which rose 13.15% and 9.57% respectively [1] - The ETF market had varied performances, with the Asia-Pacific Selected ETF leading gains at 2.35%, while the Nikkei 225 ETF fell by 5.76% [1] Group 2 - UBS Securities expressed a positive mid-term outlook for the A-share market, suggesting that growth style remains the main investment theme, with the ChiNext board showing a favorable risk-reward ratio [2] - In the context of AI investments, Invesco's Chief Global Market Strategist noted that the potential of AI is undeniable, but the ultimate winners in the sector will take time to identify, recommending a diversified investment approach [2] - CICC highlighted that the market's upward trend is likely to continue, with structural highlights in sectors such as AI computing power, machinery, automotive, and innovative pharmaceuticals [2] Group 3 - The Chief Economist of AVIC Securities indicated that external risks are easing, leading to improved market risk appetite, and suggested a balanced investment approach focusing on themes like smart technology and aerospace [3] - The recent announcement regarding gold tax policies aims to encourage on-site gold trading by clarifying distinctions between investment and non-investment uses [2]

- The report tracks various market environment factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors [1][7][11] - **Stock Market Factors**: - **Market Style**: The style of large-cap and small-cap stocks was balanced, while the value-growth style leaned towards growth [11][13] - **Market Style Volatility**: Both large-cap/small-cap and value-growth style volatilities increased [11][13] - **Market Structure**: Industry excess return dispersion increased, industry rotation speed decreased, and the proportion of rising constituent stocks increased [11][13] - **Trading Concentration**: The transaction amount of the top 100 stocks slightly decreased, while the transaction amount of the top 5 industries remained unchanged compared to the previous period [11][13] - **Market Activity**: Market volatility increased, and market turnover rate decreased [12][13] - **Commodity Market Factors**: - **Trend Strength**: Precious metals and agricultural products showed a decline in trend strength, while other sectors experienced an increase [26][32] - **Basis Momentum**: Basis momentum increased across all sectors [26][32] - **Volatility**: Volatility rose in all sectors except for the black sector [26][32] - **Liquidity**: Liquidity decreased in precious metals, non-ferrous metals, and agricultural products [26][32] - **Options Market Factors**: - **Implied Volatility**: Implied volatility for the SSE 50 and CSI 1000 indices decreased, reflecting a moderation in market expectations regarding Trump's tariff policies [35] - **Implied Discount Rate**: The implied discount rate for CSI 1000 narrowed, but the market did not turn fully optimistic [35] - **Option Holdings**: Both put and call option holdings increased, indicating persistent market uncertainty [35] - **Convertible Bond Market Factors**: - **Market Recovery**: The convertible bond market showed slight recovery last week [37] - **Valuation**: Pure bond premium rates remained stable, while the premium rate for 100-yuan convertible bonds steadily increased [37] - **Low Premium Convertible Bonds**: The proportion of low premium convertible bonds decreased significantly [37] - **Market Turnover**: Market transaction volume stabilized without further contraction [37]

Group 1 - The recent stock market has experienced increased volatility, while the bond market shows signs of improvement but remains oscillatory. The optimistic expectation for the resumption of government bond trading operations has contributed to this recovery, with the ten-year government bond yield dropping below 1.75% [2][5] - The market style has slightly shifted towards small-cap stocks, with growth styles prevailing. The volatility of market styles has increased, while the volatility of value and growth styles has decreased [7][8] - In the commodity market, the strength of the non-ferrous and energy chemical sectors has increased, while the trend strength of other sectors remains stable. The basis momentum across all sectors has decreased [3][20][23] Group 2 - In the options market, the implied volatility of the Shanghai Stock Exchange 50 index remains stable, while the implied volatility of the CSI 1000 index has begun to decline. The market experienced a brief pullback in early September, particularly affecting small-cap stocks, but current sentiment has eased [28] - The convertible bond market showed a relatively flat performance, with the index primarily oscillating. The premium rate for convertible bonds remains stable, and the proportion of low premium convertible bonds has not changed significantly [30]

Report Key Points Summary 1. Report Industry Investment Rating No industry investment rating is provided in the content. 2. Report's Core View - From September 1 - 6, 2025, the convertible bond market repaired. Medium - sized varieties gained more attention, while the trading volume proportion of small - sized ones declined, indicating a shift in capital preference. Valuations stretched overall, with the median market price oscillating upwards and remaining at a high level. The implied volatility rose slightly, reflecting increased market optimism [2][6]. - In the industry, power equipment and light manufacturing performed well, while communication and computer sectors faced pressure. Trading was concentrated in electronics, power equipment, and machinery. Individual bonds were still driven by underlying stocks, and some callable bonds achieved high returns. Overall, medium - sized convertible bonds have relative advantages in terms of scale and scarcity. It is advisable to focus on individual bonds with underlying stock support and stable fundamentals, while being vigilant about short - term volatility risks in highly crowded areas [2][6]. 3. Summary by Related Catalogs Market Theme and Style Shift - There may be a trend in the equity market of switching from small - cap to mid - and large - cap indices. Since August 2025, the trading volume proportion of small - cap indices has declined, while that of mid - and large - cap indices has increased. The rolling excess returns of mid - and large - cap indices have also slightly risen since August 2025 [18]. - The attention to medium - sized convertible bonds has increased. The trading volume proportion of medium - and small - sized convertible bond indices shows a significant negative correlation. The proportion of small - sized indices has been in a downward trend since the end of June 2025, and the 12 - week rolling excess return of medium - sized convertible bonds is on the rise, indicating a possible style shift from small - to medium - sized [20]. - Medium - sized convertible bonds currently have relatively low overall scale compared to the previous high of the median market price. With scarcity and a relatively loose market environment, they may be supported to strengthen. Their valuation is in a reasonable range, with the balance - weighted conversion premium rate at the 31.4% quantile since September 2020 and the median premium rate at the 46.4% quantile [22]. Market Weekly Review - **Equity Market**: A - share major indices oscillated and consolidated, with the ChiNext Index rising against the trend. The large - cap sector showed relative resilience. Main funds continued to flow out, but the outflow pressure eased. On Friday, some funds flowed back, indicating market confidence in the future. Industries showed differentiation, with power equipment, non - ferrous metals and other cyclical and resource products strengthening, while AI and military sectors declined. Trading concentration remained high, with funds concentrated in electronics, power equipment, and computer sectors [10]. - **Convertible Bond Market**: The convertible bond market repaired overall, with large - cap varieties rebounding more prominently and small - cap ones relatively under pressure. Market sentiment improved. Valuations stretched overall, with the median market price oscillating upwards and remaining at a high level. The implied volatility rose slightly, reflecting market optimism. Power equipment and light manufacturing led the rise, while communication and computer sectors were relatively weak. Trading activity was concentrated in power equipment, electronics, and machinery. Individual bonds were mainly driven by underlying stocks, and some callable bonds continued to achieve high returns [10]. - **Primary Market**: The primary market supply was stable. There were no new bond listings, but 6 companies updated their issuance plans, indicating sufficient future reserves. In terms of terms, 4 bonds announced potential downward revisions, 4 announced no downward revisions, and 3 proposed downward revisions. In terms of redemptions, 5 bonds were expected to trigger redemptions, 2 announced no early redemptions, and 5 announced early redemptions [10].

Market Overview - The current market sentiment remains heated, with the A-share upward cycle not yet over, but transitioning from a unilateral rise to a "slow bull" phase, indicating potential short-term volatility [1][4] - Growth style shows greater elasticity supported by industrial trends and earnings growth prospects, while cyclical style remains more stable; a balanced approach is recommended for investors [1][4] Equity Market Analysis - Last week, the market style favored large-cap stocks, with value style significantly outperforming; the volatility of large and small-cap styles increased rapidly, while value and growth style volatility decreased [6][7] - The excess return dispersion of industry indices increased, indicating a rise in industry rotation speed, while the proportion of rising constituent stocks decreased, suggesting a weakening of the strong index trend [6] - The trading concentration increased, with the top 100 stocks' trading volume share rising, while the top five industries' trading volume share remained stable compared to the previous period [6] Market Activity - Market volatility and turnover rate continued to rise last week, indicating increased market activity [7] Commodity Market Insights - In the commodity market, the energy and chemical sector's trend strength increased, while other sectors remained stable; the basis differential momentum for black and energy sectors rose [21] - Volatility increased in the black and precious metals sectors, with liquidity performance showing divergence across sectors [21] Options Market Overview - Implied volatility for the SSE 50 and CSI 1000 remains high but has shown marginal easing; the skew of put options for the 50ETF has risen rapidly, while the CSI 1000 remains unchanged [25] Convertible Bond Market Analysis - The convertible bond market experienced a decline followed by recovery, with significant volatility; the premium rate for bonds convertible at 100 yuan stabilized at a mid-level [27] - The proportion of low premium convertible bonds has notably decreased, with these bonds performing relatively well; market trading volume has contracted but remains within a healthy range [27]

Group 1: Report Industry Investment Rating - No information provided on the report industry investment rating Group 2: Core Viewpoints of the Report - The current momentum of convertible bonds comes from the equity market. In a slow - bull equity environment, the trend of convertible bonds remains unchanged, but the upward momentum has shifted from the first stage of rapid growth driven by both the underlying stock and valuation to the second stage of slow and volatile growth. This week's significant decline in valuation is likely a short - term low point. In the long run, convertible bonds are still relatively high - quality assets, and the market outlook remains positive, with more trading opportunities. The bond - selection strategy should not be overly aggressive [5][8] Group 3: Summary by Directory 1. Convertible Bond Viewpoint: Valuation Adjustment Does Not Alter the Slow - Bull Market - Since late June, convertible bonds have risen with equities but experienced a significant pullback this week. The sharp compression of valuation led to underperformance compared to the underlying stocks, with the 100 - yuan premium rate compressed by over 4 percentage points. The adjustment was expected, but the magnitude was large. In an environment where fixed - income investors seek returns from equities due to declining pure - bond yields, the valuation of convertible bonds has continuously broken previous highs. High valuations do not cause trend - changing disturbances in a bull market but increase volatility during corrections. During this adjustment, there were signs of redemptions in secondary bond funds, while primary bond funds remained relatively stable, and ETFs continued to see net inflows [5][8] - This week, equities continued to rise with increasing trading volume. The margin trading balance exceeded 2.2 trillion yuan, and the securities ETF had the largest net inflow. Driven by the "Artificial Intelligence +" policy, semiconductors and communication equipment (AI computing power chain) led the gains, and lithium - battery stocks led the rise due to strong performance from leading companies. While the market rose, volatility increased. The corrections on Tuesday and Wednesday cooled down the rapidly rising market, which is overall beneficial and lays a foundation for the slow - bull market [5][8] 2. Convertible Bond Review: Equity Volatility and Valuation Decline During the Week 2.1 Market Overall Performance: Equity Volatility and Consolidation, Technology Sector Leading the Gains - From August 25th to August 29th, the market showed a mixed performance. The Shanghai Composite Index rose 0.84%, the Shenzhen Component Index rose 4.36%, the CSI 300 rose 2.71%, the CSI 1000 rose 1.03%, the ChiNext Index rose 7.74%, the STAR 50 rose 7.49%, and the Beijing Stock Exchange 50 fell 1.63%. In terms of industries, communication, non - ferrous metals, and electronics led the gains. The average daily trading volume increased significantly by 397.513 billion yuan to 2.98 trillion yuan [11] - The top ten convertible bonds in terms of gains last week were Weidao, Chongda, Jing23, Jincheng, Saili, Lingyi, Hongtu, Zhenghai, Yanggu, and Zhonglu convertible bonds. In terms of trading volume, Dayuan, Outong, Saili, Lingyi, Zhongqi, Dongjie, Jing23, Zhenghai, Chongda, and Dongshi convertible bonds were relatively active [11] 2.2 Both the Underlying Stock and Valuation Are Weak, with Smaller Declines in Large - Cap and AA+ Convertible Bonds - This week, convertible bonds were significantly affected by equity market volatility and declined. The average daily trading volume continued to rise to 100.704 billion yuan. The CSI Convertible Bond Index fell 2.58%, the parity center decreased by 0.8% to 111.2 yuan, and the conversion premium rate center decreased by 3.0% to 18.7%. In terms of style, large - cap and AA+ convertible bonds had smaller declines this week, while high - priced and low - rated convertible bonds had larger declines [16]

Summary of Conference Call Records Industry Overview - The conference call primarily discusses the bond market, equity market, and convertible bonds, providing insights into current market conditions and strategies for investment. Key Points and Arguments Bond Market Strategies - Small investors are advised to attempt bottom-fishing for small wave operations, while long-term or large funds should reduce portfolio duration and wait for a clear downward turn in interest rates before re-entering [1][4] - The current bond market adjustment is characterized as atypical and not directly related to funding tightness, suggesting that it will not trigger widespread redemptions or credit declines [1][7] - A right-side trading strategy is recommended, focusing on the process of forming a top rather than a sharp peak, with attention to macroeconomic narratives cooling down [1][10] Funding Conditions - The funding outlook for Q3 and Q4 is optimistic, with expectations of continued looseness in the funding environment due to reduced government bond supply pressure and weak loan demand [1][5] - Current funding tightness is viewed as a result of the bond market's decline rather than a cause, indicating that the funding environment will likely remain loose even without significant monetary policy changes [1][5] Equity Market and Convertible Bonds - The upward trend in the equity market is expected to continue, with convertible bonds remaining attractive in a rising stock market context [1][6] - The probability of a significant decline in the equity market is low, as the current rise is driven by liquidity rather than fundamental factors [1][14] Market Reactions and Investor Behavior - Recent adjustments in the bond market are attributed to market sentiment rather than clear negative factors, with institutions adopting strategies of waiting for better entry points or engaging in wave trading [1][3][17] - Personal investors' experiences with fixed-income asset management products have remained stable, with a shift towards more stable products like insurance asset management or bank deposits rather than equities [1][9] Price Trends and Inflation - PPI is expected to rebound from -4 to around -2, but the momentum for sustained increases is limited, which may affect CPI and the bond market's response [2][11] - The current market's reaction differs from historical patterns, with strong expectations leading to more immediate responses rather than waiting for downstream price increases [1][12] Long-term Investment Considerations - Caution is advised regarding investments in ultra-long credit bonds in the current market environment, as these are more attractive in a bull market [1][19] - The second round of the Sci-Tech Innovation ETF issuance is not expected to trigger significant speculative buying, as the first round has already shown strong demand [1][21] Impact of New Stock Issuance - The impact of new stock issuance on the funding environment is noted, with significant amounts of capital being frozen during subscription periods, leading to short-term funding tightness [1][22] Bottom-Fishing Opportunities - The current market is seen as a potential bottom-fishing opportunity, but the experience may not be favorable due to widespread bullish sentiment without corresponding action [1][23] Other Important Insights - The negative feedback mechanism in the securities market is considered easily disrupted due to strategic adjustments and the current low leverage environment among traditional institutions [1][8] - The government's increased focus on healthy real estate development may lead to further monetary policy stimulation, impacting overall economic trends [1][18]