证券研究报告·固定收益·固收周报 固收周报 20260111 转债策略建议控回撤仍为第一要务 2026 年 01 月 11 日 证券分析师 李勇 执业证书：S0600519040001 010-66573671 liyong@dwzq.com.cn 证券分析师 陈伯铭 执业证书：S0600523020002 chenbm@dwzq.com.cn 相关研究 《二级资本债周度数据跟踪 （20260105-20260109）》 2026-01-11 《绿色债券周度数据跟踪（20260105- 20260109）》 2026-01-10 东吴证券研究所 1 / 15 请务必阅读正文之后的免责声明部分 [Table_Tag] [Table_Summary] ◼ 本周（0105－0109）跨年行情黄金经历短线跳水后，迅速反弹回 4500 美元/盎司前期高位，突破前高在即，观察及观点延续前期； 人民币汇率同样经历短线回调，但基于我们对全球主要经济体 财政及货币政策预计双松的认知，且普遍财政赤字货币化倾向 高于中国，继续延续前期看升观点；原油从总需求角度思考边际 看多，而从总供给角度考虑短多长空，综合判断或维持低位震荡 格局 ...

【内容摘要】1月8日，资金面平稳偏松；受股市、商品走弱提振，债市有所修复；转债市场主要指数集体收涨，转债个券多数上涨；各期限美债收益率普遍 上行，主要欧洲经济体10年期国债收益率走势分化。 一、债市要闻 （一）国内要闻 【中共中央政治局常务委员会召开会议】中共中央政治局常务委员会1月8日召开会议，中共中央总书记习近平主持会议并发表重要讲话。会议指出，党中央 听取全国人大常委会、国务院、全国政协、最高人民法院、最高人民检察院党组工作汇报和中央书记处工作报告，是坚持和完善党的领导制度体系，把党中 央集中统一领导落实到国家治理各领域各方面各环节的重要举措。"十五五"时期，我国发展环境面临深刻复杂变化，工作任务艰巨繁重，要坚持好、运用 好、发展好党的领导这一最大优势，为中国式现代化建设提供根本保证。 二、资金面 （一）公开市场操作 1月8日，央行以固定利率、数量招标方式开展了99亿元7天期逆回购操作，其中，操作利率1.40%，投标量99亿元，中标量99亿元。Wind数据显示，当日无 逆回购到期，因此单日净投放资金99亿元。 【美国上周首申人数微升至20.8万，低于预期21.2万】1月8日，美国劳工部公布的数据显示，截 ...

Investment Performance - The investment accounts have shown significant returns this year, with convertible bond accounts yielding 18.5% and stock accounts yielding 36.2%, resulting in a cumulative profit exceeding seven figures [1] - The strategy involved holding stocks and convertible bonds during an upward trend, with a reduction in convertible bond positions in August, followed by an increase in stock allocation due to low positions [1] - The focus was on selecting individual stocks, particularly in the duty-free sector, with an emphasis on maintaining a disciplined approach without emotional or forced decisions [1] Investment Strategy - The investment approach is characterized by diversified allocation rather than adherence to a single style or asset type, prioritizing clear profit logic and assessable win-odds [1] - The overall portfolio management and dynamic adjustments are deemed more critical than the selection of individual stocks, with position sizing being a key determinant of buying and selling decisions [2] Learning and Personal Development - The individual has committed to an average of one hour of reading daily, completing 115 books and recording 3,600 notes, with a preference for Nobel Prize-winning authors in literature [2] - The process of creating a work is likened to nurturing a tree, emphasizing the long-term effort and growth involved in both investment and personal development [2] - The realization that value is not always immediately apparent but grows through continuous practice and experience is highlighted [3] Risk Management - A structured approach to risk management is outlined, with different strategies based on risk and certainty levels: - Low risk and high certainty lead to heavier positions - Medium risk and medium certainty result in balanced allocations - High risk and low certainty suggest light and diversified positions [4] Personal Reflection - The individual expresses satisfaction in pursuing desired activities and believes in the importance of steady progress towards goals, reflecting a positive outlook on life and investment [5]

Group 1: AI Industry Investment Insights - The article analyzes historical technology bull markets to provide insights into the current AI industry investment phase, emphasizing the importance of historical patterns for future investment decisions [3][4] - It identifies two key phases in technology bull markets: valuation expansion and profit-driven periods, highlighting the characteristics of stock price performance during these phases [3][5] Group 2: Valuation Expansion Phase - During the valuation expansion phase, new technologies emerge without profit support, leading to increased valuations driven by industry and policy catalysts [4] - Historical data shows that high industry crowding indicators are common, but the likelihood of price corrections increases within 20 trading days after reaching extreme values, while longer-term trends tend to see new highs [4] - Risk premium is a better measure for valuation boundaries; when the industry risk premium falls below one standard deviation of the rolling two-year average, the market tends to enter a consolidation phase [4] Group 3: Profit-Driven Phase - In the profit-driven phase, exceeding earnings expectations becomes the core driver of market performance, with historical examples including iPhone sales and mobile game penetration rates [5] - Valuation constraints under terminal thinking are crucial, as leading companies' peak stock prices often correspond to future three-year valuation levels around 30-40 times PE [5] - The risk of intensified competition and overcapacity during profit upturns can negatively impact profitability, signaling the end of investment trends [5] Group 4: Investment Recommendations - For overseas computing power, the profit-driven phase is expected to continue, with reasonable long-term valuations around 20-30 times PE, indicating no bubble [6] - Domestic computing power is in the valuation expansion phase, with low risk premiums suggesting that the next market movement may depend on performance realization or systemic declines in risk-free rates [6] - AI applications are also in the valuation expansion phase, with high valuation potential but challenges in predicting the timing and areas of successful applications [6]

Market Overview - In December, the equity-like market transitioned from stability to volatility, with the Wind All A Index rising by 3.30% for the month and 27.65% for the year[12] - The market experienced a significant rebound starting December 17, following a brief dip on December 16, indicating strong market resilience[12] Structural Risks and Fund Sentiment - Structural risks have notably eased, with the concentration of trading volume below historical high levels, dropping to 41% on December 16[25] - Positive fund sentiment was reflected in a net inflow of 806 billion CNY into stock ETFs in December, second only to April's 1,825 billion CNY[35] Convertible Bonds - Convertible bond valuations have shown a significant upward trend, with the valuation center for bonds priced at 100 CNY rising by 2.40 percentage points to 35.77%[18] - The median price for convertible bonds is expected to remain in the 130-135 CNY range if the equity market maintains a strong oscillating pattern[4] Investment Strategy - The report suggests maintaining a bullish mindset, as the market is currently in a low implied volatility state, similar to conditions seen in July[75] - Historical trends indicate that year-end rallies often face resistance at previous highs, but successful breakouts can lead to substantial gains, as seen in 2014 and 2020[76] Risks and Considerations - The primary risk for convertible bonds lies in the potential weakness of the equity market, which could exert dual pressure on valuations and underlying stocks[63] - The report emphasizes the importance of monitoring equity market trends and expectations, as a sustained downturn could negatively impact convertible bond inflows[62]

2025年是职业投资第十个年头，年终收益18.39%。贴两个图，年度收益图和月度收益图。 | 省金 | 资金 | Hill #A | 眼投 | स्ट स्ते | 个人 | 沪深300 | 中证800 | | --- | --- | --- | --- | --- | --- | --- | --- | | स से | 浄値 | स्ट से | 浄値 | | न्तर से | न्तर सं | न्तर स्टे | | 1 | 1. 1850 | | | 2014 | 18. 50% | 51.66% | 48. 28% | | 2 | 1. 6946 | | | 2015 | 43.00% | 5. 58% | 14. 91% | | 3 | 1.9487 | 1 | 1. 1500 | 2016 | 15.00% | -11. 28% | -13. 27% | | 4 | 2. 2216 | 2 | 1. 3110 | 2017 | 14. 00% | 21. 78% | 15. 16% | | 5 | 2. 4104 | 3 | 1. 4224 | 2018 | 8. 50% | -25. ...

| 转债代码 | 转债名称 | 类型 | 日期 | 公告 | | --- | --- | --- | --- | --- | | 127062 | 垒知转债 | 不下修 | 2026-01-07 | 公告 | | 123211 | 阳谷转债 | 不强赎 | 2026-01-07 | 公告 | | 转债代码 | 转债名称 | 现价 | 强赎价 | 最后交易日 | 最后转股日 | 转股价值 | 剩余规模 | 转债占正股 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | (亿元) | 流通市值比 | | 123249 | 英搏转债 | 143.002 | 100.100 | 2025-12-30 | 2026-01-06 | 143.25 | 0.022 | 0.04% | | 123233 | 凯盛转债 | 141.488 | 100.100 | 2026-01-09 | 2026-01-14 | 141.43 | 1.082 | 0.91% | | 128116 | 瑞达转债 | 135.600 | 101.118 ...

智通财经1月6日讯（编辑 杨斌）随着上证指数跨年的13连阳，转债市场也迎来十年的突破。尽管在本 轮上行中，ETF和保险的资金持续流出转债市场，但业内预计，随着资金季节性回流叠加权益的春季行 情，转债市场仍有维持强势。 今日，中证转债指数大涨1.35%收于505.77点，在突破去年8月高点的同时，十年来第一次站上500点。 同时，市场成交量再度接近千亿元。 不过，在本轮转债市场加速上涨的同时，转债ETF资金却持续净流出。数据显示，可转债ETF的基金份 额在去年9月初达到48.5亿份的历史高点，随后震荡下行，2025年末下降至38亿份。 （资料来源：Wind数 图：可转债ETF基金份额变化 据，智通财经整理） 东方金诚研究指出，近期转债跟随权益放量上涨，但转债ETF资金的持续流出，也显示低风偏资金的相 对谨慎预期，短期转债波动或有所加剧，进入震荡行情，需关注市场量能与情绪变化判断后续方向。 市场连续大涨后，公募转债中位价格已达133.72元，全市场37只转债价格超过200元。从12月以来涨幅 居前的转债来看，多为高价转债。 图：12月以来涨幅居前的转债 | 证券名称 | 2025年12月 以来涨跌幅% | 最新收 ...

转债周度跟踪 20251231 2026 年 01 月 04 日 设转债估值重回高位。 ● 1. 周观点及展望 ○ 风险提示： 权益市场波动风险，转债信用风险等。 请务必仔细阅读正文之后的各项信息披露与声明 徐亚 A0230524060002 xuya@swsresearch.com 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 申万宏源研究微信服务 ● 2025 年 12 月以来转债迎来新一轮修复行情，本轮修复行情中偏股高平价转债领涨，商 业航天主题行情下军工板块涨幅较大，加之强赎风险阶段性释放，高平价转债估值重回高 位。但剩余期限逐步缩短+转债下修弱于预期，偏债转债估值松动明显，因此与前期相比， 转债估值结构有所切换。从 2025 年底表现来看，风险偏好依旧维持高位，春季躁动预期 较为一致，转债预计仍受益于权益市场上涨+小微盘活跃，但考虑到偏股转债估值重回高 位，估值端保护较前 ...

转债周策略 20260104 如何跟踪转债相对股票的性价比 glmszqdatemark 如何跟踪转债相对股票的性价比 （1）转换价值大于等于 130 元的股性转债，涨跌仍相对正股存在一定的"钝化"， 但和正股涨跌的相关性明显高于转换价值更低的转债。 通过计算日频的跟涨比数据和跟跌比数据，可以统计得到月频的平均跟涨比数据 和跟跌比数据，月频的涨跌比数据。从月度转债跟涨比和跟跌比来看，我们可得 到以下分析结论： 风险提示：转债估值压缩风险，个股业绩波动风险。 2026 年 01 月 04 日 [Table_Author] | 分析师 | 徐亮 | | --- | --- | | 执业证书： S0590525110037 | | | 邮箱： | xliang@glms.com.cn | | 分析师 | 林浩睿 | | 执业证书： S0590525110039 | | | 邮箱： | linhaorui@glms.com.cn | | 研究助理 | 黄涵静 | | 执业证书： S0590125110075 | | | 邮箱： | huanghanjing@glms.com.cn | 相关研究 本公司具备证券投资咨询 ...