1. Report Industry Investment Rating There is no information about the industry investment rating in the provided content. 2. Core Viewpoints of the Report - The intensity of selling long - term and ultra - long - term bonds by trading desks did not increase this week, which limited the rapid rise of ultra - long - term bond yields to some extent. The willingness of allocation desks to buy long - term and ultra - long - term bonds is still relatively limited, and the 10Y Treasury bond yield may remain volatile at a high level in the short term. It is recommended to moderately participate in long - term bonds during adjustments, and pay attention to the opportunities of spread compression [1][2][10][16]. - This week, affected by the economic start - up, inflation recovery expectations, and external market fluctuations, the bond market was in a tug - of - war between bulls and bears, with intensified fluctuations. The yields of 10Y and 30Y Treasury bonds both rose by 2bp [9]. - The economic data from January to February generally improved, with obvious upward industrial growth and moderate consumption recovery. Since March, automobile consumption has been sluggish, while port throughput has been strong [62][63]. - The Federal Reserve maintained the interest rate range of 3.5% to 3.75%, and the dot - plot implied a hawkish tendency. Overseas bond markets, including US and European bonds, declined, and most emerging market bond markets also fell [71][72]. - The prices of live pigs and Shanghai gold fell this week. The performance of major asset classes was: crude oil > Chinese - funded US dollar bonds > Chinese bonds > rebar > US dollar > CSI 300 > convertible bonds > Shanghai copper > CSI 1000 > Shanghai gold > live pigs [77]. 3. Summary by Relevant Catalogs 3.1 Review and Outlook of the Bond Market - This week, the bond market fluctuated sharply due to the economic start - up, inflation recovery expectations, and external market fluctuations. The yields of 10Y and 30Y Treasury bonds rose by 2bp. The market showed different trends on different days, affected by various factors such as economic data, oil prices, and equity market performance [9]. - From the perspective of trading desks, the selling intensity of long - term and ultra - long - term bonds did not increase. From the perspective of allocation desks, large - scale banks increased their allocation of short - term bonds, and insurance institutions began to increase their allocation of ultra - long - term Treasury bonds in the past two weeks. The 10Y Treasury bond yield may remain volatile at a high level in the short term. It is recommended to moderately participate in long - term bonds during adjustments and pay attention to spread compression opportunities [1][10][14][16]. 3.2 Bond Market Review 3.2.1 Funding Situation - The central bank made a net injection of funds this week, and the funding sentiment was balanced. From March 16th to March 20th, the central bank's open - market net injection was 2458 billion yuan. The R001 and DR001 rates changed by +0.4bp and - 0.09bp respectively compared with March 13th, reaching 1.40% and 1.32%. The 3M certificate of deposit issuance rate first decreased, then increased, and then decreased again. The FR007 - 1Y swap rate first increased, then decreased, and then rebounded. As of March 20th, the 3M national - share bank acceptance bill transfer discount price was 1.43%, down 5bp from March 13th [20][23]. 3.2.2 Secondary Market Trends - This week, bond yields fluctuated sharply, and short - term bonds performed better. The yields of 3m, 1y, 3y, and 20y Treasury bonds declined, while those of 5y, 10y, and 30y Treasury bonds rose. Except for the 7Y - 5Y and 3Y - 1Y, the term spreads of other key - term Treasury bonds widened. As of March 20th, the yields of 10Y and 30Y Treasury bonds rose by 2bp compared with March 13th, reaching 1.83% and 2.39% respectively, and the term spread between them rose by 1bp to 56bp [25]. 3.2.3 Bond Market Sentiment - As of March 20th, the weekly turnover rate of 30Y Treasury bonds fell to 31%. The spread between 50Y - 30Y Treasury bonds widened by 2bp compared with March 13th, and the spread between 30Y - 10Y Treasury bonds widened significantly by 0.6bp to 56bp. The inter - bank leverage ratio dropped to 107.4%, and the exchange leverage ratio dropped to 121.7%. The median duration of medium - and long - term pure - bond funds increased by 0.02 years to 2.57 years compared with March 13th, while the median duration of interest - rate bond funds decreased by 0.03 years this week. The implied tax rate of 10 - year China Development Bank bonds narrowed [38]. 3.2.4 Bond Supply - This week, the net financing of interest - rate bonds increased significantly. From March 16th to March 20th, the net financing of interest - rate bonds was 818 billion yuan, a significant increase of 562.8 billion yuan compared with last week. The net financing of Treasury bonds and local government bonds increased, while that of policy - financial bonds decreased. The net financing of Treasury bonds was 525 billion yuan, an increase of 521.9 billion yuan; the net financing of local government bonds was 255.4 billion yuan, an increase of 147.3 billion yuan; the net financing of policy - financial bonds was 3.77 billion yuan, a decrease of 10.63 billion yuan. The net repayment of inter - bank certificates of deposit increased, and the average issuance rate continued to decline, dropping 1.7bp to 1.53%. Next week, a 7Y coupon - bearing Treasury bond 260007.IB will be newly issued [52][55][59]. 3.3 Economic Data - The economic data from January to February generally improved, with the year - on - year increase of industrial added value of above - scale industries at +6.3%, the year - on - year increase of social consumer goods retail at +2.8% (forecast +2.6%), and the year - on - year increase of fixed - asset investment (excluding rural households) at +1.8% (expected - 5.0%). The LPR quotation has remained unchanged for 10 consecutive months. Since March, automobile consumption has been relatively sluggish, while port throughput has been stronger than the Spring Festival seasonality. Industrial production has continued to improve marginally [62][63]. 3.4 Overseas Bond Market - The Federal Reserve maintained the federal funds rate target range at 3.5% to 3.75%. The dot - plot implied a hawkish tendency. Overseas bond markets, including US and European bonds, declined, and most emerging market bond markets also fell. The 2Y US Treasury bond rate rose 15bp to 3.88%, the 10Y US Treasury bond rate rose 11bp to 4.39%, and the 10Y - 2Y US Treasury bond spread narrowed 4bp to 51bp [71][72]. 3.5 Major Asset Classes - The CSI 300 index adjusted this week, closing at 4567.0 points as of March 20, 2026, a decrease of 2.19% compared with March 13th. This week, the Nanhua Crude Oil Index continued to rise, while the Nanhua Live Pig Index, Shanghai Gold, and Shanghai Copper all declined. The performance of major asset classes was: crude oil > Chinese - funded US dollar bonds > Chinese bonds > rebar > US dollar > CSI 300 > convertible bonds > Shanghai copper > CSI 1000 > Shanghai gold > live pigs [77]. 3.6 Bond Market Calendar - From March 23rd to March 27th, there will be liquidity injections and expirations, government bond supplies, and the release of fundamental data. There are also important domestic and international events, such as the Boao Forum for Asia Annual Conference 2026 and the 14th WTO Ministerial Conference [82].

1. Report Industry Investment Rating No information regarding the industry investment rating was provided in the report. 2. Core Viewpoints of the Report - Convertible bond funds are mainly divided into two categories: convertible bond thematic funds and high - convertible - bond - position funds. The market scale of convertible bond thematic funds has never exceeded 10 billion, and its development has stagnated since 2022, with two convertible bond ETFs seizing a large share. Long - term, the excess return of convertible bond thematic funds is not significant, and the 15% - 20% stock position leads to poor drawdown control ability. In general, convertible bond thematic funds are gradually reducing their dependence on stocks and strengthening the "convertible bond thematic fund" label [3][25][96]. - The scale of high - convertible - bond - position funds changes greatly with market conditions, reaching a peak when the market turns from a decline to an increase. Single - fund scale is relatively large, and there are many "blockbuster" funds. The head concentration of high - convertible - bond - position funds is decreasing and is slightly lower than that of convertible bond thematic funds [39][42][45]. - Convertible bond assets have characteristics between stocks and bonds, with high long - term investment value. They are more inclined to the "small - and - micro - cap" style, and are highly correlated with the CSI 2000 Index [50][54][62]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Fund Definition and Classification - **Convertible Bond Thematic Funds**: Funds with "convertible bond" in their names are generally regarded as convertible bond funds. They are subject to the "double 80%" rule, with a convertible bond position of not less than 64%. There are differences in stock investment provisions in the fund contracts [13]. - **High - Convertible - Bond - Position Funds**: Funds with a convertible bond position of not less than 64% are also considered convertible bond funds. Before 2022, the convertible bond positions of "old - shell" first - and second - tier bond funds were very flexible. After 2022, newly established first - and second - tier bond funds generally do not operate with high convertible bond positions. Funds with an average convertible bond holding market value accounting for not less than 50% of the fund net value in the past four quarters are called broad - sense convertible bond funds [17]. 3.2 Convertible Bond Thematic Fund Performance Analysis - **Long - term Excess Return and Drawdown Control**: In the long - term, the excess return of convertible bond thematic funds is not significant, and the drawdown control ability is poor. In the rising market of convertible bonds from 2020 - 2021 and in 2025, there was some excess return. However, the maximum drawdown was greater than that of the CSI Convertible Bond Index. In 2022, the annualized return and maximum drawdown were far behind the CSI Convertible Bond Index. The 15% - 20% stock position led to more drawdowns than the CSI Convertible Bond Index [67][79]. - **Performance Differentiation**: In the rising stage of the equity market, it is easier for convertible bond thematic funds to outperform the performance benchmark and the CSI Convertible Bond Index. However, in the falling and volatile stages, it is difficult to outperform [94]. - **Development Trend**: Convertible bond thematic funds are gradually reducing their dependence on stocks. Since 2023, the proportion of convertible bond funds participating in stock investment has been decreasing, while the proportion of funds with a convertible bond position of over 80% has been increasing [84]. 3.3 "Blockbuster" Convertible Bond Thematic Fund Logic Switch - **Historical Scale Changes**: In the rising stage of the equity market, the scale of representative convertible bond thematic funds grows rapidly, but then experiences a large decline. After 2022, the market scale of convertible bond thematic funds has basically stagnated due to the impact of two convertible bond ETFs [102]. - **Characteristics of "Blockbuster" Funds**: Compared with the previous round of the rising equity market, the "blockbuster" convertible bond funds now have a higher convertible bond position and pay more attention to performance [104].

Report Industry Investment Rating No information provided. Core Viewpoints - After the holiday, the convertible bond market declined slightly, but convertible bond ETFs continued to attract incremental funds. Before the Two Sessions, the convertible bond market is expected to feature policy - based games and sector rotations. Performance support will remain the core of valuation, high - price and high - premium convertible bonds may fluctuate significantly, and high - quality large - cap convertible bonds are expected to perform steadily. If investors' risk appetite increases, it is cost - effective to increase holdings in the main technology sectors [3][11]. Summary by Directory Policy Tracking - On February 25, 2026, five departments including the Shanghai Municipal Commission of Housing and Urban - Rural Development issued a notice to optimize real estate policies, including adjusting housing purchase restrictions, optimizing housing provident fund loan policies, and improving personal housing property tax policies, aiming to promote the stable and healthy development of the real estate market [4]. Secondary Market - Last week, major domestic equity market indices rose, with the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index up 1.98%, 2.80%, and 1.05% respectively. Overseas, the conflict in the Middle East escalated, driving up precious metals and crude oil prices. Domestically, the RMB exchange rate strengthened, and the central bank took measures to prevent exchange - rate overshoot. The equity market showed a structural upward trend, with pro - cyclical sectors stronger [5]. - The convertible bond market indices declined, with average daily trading volume decreasing. However, convertible bond ETFs had a net purchase of 7.2 billion yuan. The large - cap style of the convertible bond market was dominant, and most convertible bonds in various industries fell. In terms of valuation, most industries' convertible bond valuations decreased [7][8][9]. - In the short term, the convertible bond market will follow the equity market with an upward - trending and volatile pattern. High - price and high - premium convertible bonds may fluctuate, and large - cap high - quality convertible bonds are expected to perform steadily. If market activity increases, it is advisable to increase holdings in technology - related convertible bonds [11]. - Most individual convertible bonds fell. Among rising bonds, Youcai Convertible Bond and Shuangliang Convertible Bond rose significantly due to non - early redemption announcements. Among falling bonds, those facing early redemption risk declined deeply [12]. Primary Market - No new convertible bonds were issued last week, and Aiwei Convertible Bond was listed. As of last Friday, the convertible bond market's outstanding scale decreased. Five convertible bonds were approved by the CSRC and seven passed the review of the issuance examination committee, waiting to be issued [31][32]. - In terms of terms tracking, one convertible bond announced a downward revision of the conversion price, four announced early redemption, and several announced non - early redemption or expected to trigger early redemption conditions. Ten convertible bonds had a conversion ratio of over 5% [34][36].

Core Viewpoint - The article highlights the top ten stocks with net financing purchases on February 6, indicating strong investor interest in these securities [1] Group 1: Stock Performance - Hengtong Optic-electric (亨通光电) leads with a net purchase of 404 million yuan [1] - The 500ETF follows with a net purchase of 234 million yuan [1] - Shuangliang Energy (双良节能) recorded a net purchase of 223 million yuan [1] - The Convertible Bond ETF (转债ETF) had a net purchase of 202 million yuan [1] - Hongda shares (宏达股份) saw a net purchase of 192 million yuan [1] - CITIC Securities (中信证券) had a net purchase of 181 million yuan [1] - Cambricon Technologies (寒武纪) recorded a net purchase of 153 million yuan [1] - Zhaoyi Innovation (兆易创新) had a net purchase of 150 million yuan [1] - Juguang Technology (炬光科技) saw a net purchase of 131 million yuan [1] - The 1000ETF had a net purchase of 117 million yuan [1]

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core View of the Report - The proportion of high - price and high - valuation convertible bonds has reached a historical peak. With the TMT, automotive, chemical, electrical equipment, and machinery industries as representatives, the proportion of convertible bonds with both high prices and high valuations is over 40%. [4][22] - The convertible bond market is performing strongly. The median convertible bond price remains at a historical high, trading sentiment is hot, and certain types of convertible bonds have actively increased their valuations. [2][11] - Last week, the risk preference of funds decreased significantly. Stock ETF shares decreased substantially, while convertible bond ETFs were favored by funds. [3][21] 3. Summary by Related Catalogs Market Performance - Last week, there was policy cooling in the equity market. Broad - based ETF funds flowed out significantly, while convertible bond ETFs flowed in reversely. Bull market expectations were strong, and equity - like convertible bonds and newly - issued bonds drove the convertible bond performance to be stronger than that of equities. [2][11] - The median convertible bond price remained at a historical high, fluctuating around 138 yuan. The average daily trading volume of the entire convertible bond market was 92.2 billion yuan, second only to the "924" level. The 100 - yuan premium rate continued to rise to 33% at a historical high, and the implied volatility fluctuated around the historical extreme point of 45%. The implied volatility difference remained at a historical high of around 13%. [2][11] - The trading sentiment of convertible bonds was hot, and the turnover rates of convertible bonds with extremely low balances and low ratings were relatively high. The valuations of high - price and equity - like convertible bonds actively increased, with a growth rate (1.7%) higher than that of the underlying stocks (1.26%); the valuations of convertible bonds issued by companies with an underlying stock market value of over 20 billion yuan also actively increased, with a growth rate (1.9%) higher than that of the underlying stocks (0.8%); newly - issued bonds and convertible bonds listed within 2 years also significantly and actively increased their valuations. [2][11] Funds Sentiment - From the comparison of the share fluctuations of various broad - based indexes, bond - type, and major commodity (gold) ETFs, the risk preference of funds decreased significantly last week. Stock ETF shares decreased by 12%. In particular, the ChiNext ETF, Science and Technology Innovation 50 ETF, and SSE 50 ETF shrank by 16%, 12%, and 12% respectively last week. In contrast, the CSI 2000 ETF had a relatively large expansion, with its shares increasing by 7% last week. [3][21] - Convertible bond ETFs have been favored by funds recently. On the basis of performing no worse than equities in the previous week, their shares increased by 4.3% last week; the shares of interest - rate bonds continued to show an obvious shrinking trend. [3][21] Investment Strategy - Currently, the proportion of high - price and high - valuation convertible bonds has reached a historical peak. It is recommended to focus on newly - issued convertible bonds. Currently, newly - issued bonds are mainly from the Science and Technology Innovation Board, with high - quality underlying stocks and good performance realization. Against the background of strong expectations for the second stage of the equity bull market, their scarcity has increased. [4][22] - Combining performance, it is recommended to focus on: Maolai Convertible Bond, Qizhong Convertible Bond, Weidao Convertible Bond, Yongxi Convertible Bond, Luwei Convertible Bond, Weice Convertible Bond, Anji Convertible Bond, and Dinglong Convertible Bond in the electronics industry; Ruike Convertible Bond in the field of robotics and industrial automation; Jin 05 Convertible Bond, Funeng Convertible Bond, Jinlang Convertible Bond 02, and Yingliu Convertible Bond in the fields of energy power and gas turbines; Bo 25 Convertible Bond in the automotive industry; and Jin 25 Convertible Bond. [4][22]

1. Report Industry Investment Rating - No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The convertible bond market remains strong this week, with only a significant correction on Tuesday. The short - term demand for convertible bonds is still strong, and the convertible bond ETF has continued to see net inflows since New Year's Day. New bonds are generally priced high recently. In the context of the equity bull - market expectation, significant pullbacks in convertible bonds are unlikely, but the future upward trend space is limited. It is recommended to focus on structural opportunities, and pay attention to sub - new bonds and those whose issuers have waived the right to early redemption. Convertible bond valuations may have a slight correction under regulatory pressure, and investors can allocate during the adjustment [7][10]. - At the beginning of this week, the market continued its strong upward trend, with both the technology and cyclical sectors strengthening. The total market turnover approached 4 trillion yuan. There was a significant divergence in previous popular sectors, with the commercial space sector correcting sharply. After the regulatory authorities increased the margin for margin financing, the market cooled down, and the balance of margin trading and the daily turnover of the entire A - share market decreased significantly. The regulatory authorities further defined the market as a "slow and long - term bull market" over the weekend. In the long - term, the upward logic remains unchanged. The market is expected to move sideways with a slight upward trend, and the market trend will shift from the technology + dividend sectors to mid - cap blue - chip stocks. The cyclical, consumer, and manufacturing sectors are favored [7][11]. 3. Summary by Relevant Catalogs 3.1 Convertible Bond Views: Strengthened Expectations of a Slow Bull Market, Seize Structural Opportunities - The convertible bond market is strong, with a slight correction in the hundred - yuan premium rate, but it remains at a very high level. The short - term demand for convertible bonds is strong, with continuous net inflows into convertible bond ETFs since New Year's Day and high pricing of new bonds. In the equity bull - market expectation, there will be no significant pullbacks in convertible bonds, but the upward space is limited. Structural opportunities should be focused on, and sub - new bonds and those with waived early redemption rights can be emphasized. Convertible bond valuations may correct slightly under regulatory pressure, and investors can allocate during adjustments [10]. - The market was strong at the beginning of the week, with technology and cyclical sectors rising. The total turnover approached 4 trillion yuan, and there was a divergence in popular sectors. After regulatory measures, the market cooled down. The regulatory authorities defined the market as a "slow and long - term bull market" over the weekend. The upward logic remains unchanged in the long - term, and the market is expected to move sideways with a slight upward trend, shifting to mid - cap blue - chip stocks. The cyclical, consumer, and manufacturing sectors are favored [11]. 3.2 Convertible Bond Review: Record - High Trading Volume, Slight Decline in Valuations 3.2.1 Market Overall Performance: Most Equity Indexes Closed Higher, Trading Volume Increased - The equity market rose with increased volume and then declined this week. Small - and medium - cap stocks performed strongly. The Kechuang 50 index rose 2.58%, the CSI 500 index rose 2.18%, the Beizheng 50 index rose 1.58%, the CSI 1000 index rose 1.27%, the Shenzhen Component Index rose 1.14%, the CSI Convertible Bond Index rose 1.08%, the ChiNext Index rose 1.00%, the CSI 2000 index rose 0.94%, while the Shanghai Composite Index fell 0.45%, the CSI 300 index fell 0.57%, and the SSE 50 index fell 1.74%. In terms of industries, the computer, electronics, and non - ferrous metals sectors led the gains, while the national defense and military industry, real estate, and agriculture, forestry, animal husbandry, and fishery sectors declined. The average daily trading volume increased significantly by 616.623 billion yuan to 3.46 trillion yuan. The top ten convertible bonds in terms of weekly gains were Jin 05 Convertible Bond, Huayi Convertible Bond, etc. In terms of trading volume, Jiamei Convertible Bond, Dingjie Convertible Bond, etc. were relatively active [15]. 3.2.2 Significant Increase in Trading Volume, High - Price and Low - Rating Convertible Bonds Performed Well - Convertible bonds rose significantly this week. The hundred - yuan premium rate declined slightly but remained at an absolute high. The average daily trading volume increased significantly to 101.923 billion yuan, peaking at 109.860 billion yuan on Wednesday and then falling below 100 billion yuan. The CSI Convertible Bond Index rose 1.08%, the median conversion price increased 0.9% to 106.0 yuan, and the median conversion premium rate increased 0.8% to 33.1%. In terms of style, high - price and low - rating convertible bonds continued to lead the gains, while high - rating and dual - low convertible bonds performed weakly [22].

1. Report Industry Investment Rating - The report does not provide a specific industry investment rating. 2. Core Viewpoints of the Report - The "resource products + military manufacturing" trend may continue, and the mid - cap growth style may be dominant in 2026 [2][75][76][82]. - The ETF market's rapid development momentum continues, with various asset varieties showing a "multi - point bloom" situation. The scale has successively exceeded 4 trillion, 5 trillion, and 6 trillion yuan [4]. - In 2026, the "mid - cap blue - chip" style is expected, and industry allocation should focus on the three main lines of "manufacturing, consumption, and cyclical" sectors [4]. 3. Summary According to Relevant Catalogs 3.1 ETF Market Overview - As of December 31, 2025, there were 1381 domestic ETF products, an increase of 350 compared to the end of 2024, with a cumulative scale of 6.03 trillion yuan, an increase of 2.18 trillion yuan compared to the end of 2024, and it successively exceeded the 4 - trillion, 5 - trillion, and 6 - trillion - yuan thresholds during the year [4][8]. 3.2 Dynamics of Various Asset - Class ETFs 3.2.1 A - share ETFs - As of December 31, 2025, there were 826 A - share ETFs, an increase of 27 from the previous month, with a total scale of 28381.44 billion yuan, a decrease of 943.82 billion yuan from the previous month. Currently, 7 products have a scale of over 100 billion yuan [10]. - The CSI A500 products have high capital activity, and satellite - related ETFs have top - performing results. Multiple A500 funds have high average daily trading volumes, and satellite - related ETFs have an average monthly increase of over 40% [13]. 3.2.2 Cross - border ETFs - As of December 31, 2025, there were 247 cross - border ETFs, an increase of 6 from the previous month, with a total scale of 9630.25 billion yuan, a decrease of 67.04 billion yuan from the previous month. Gold - related ETFs are relatively active, with some gold - stock ETFs having a nearly 8% increase in the past month [16][19]. 3.2.3 Bond ETFs - As of December 31, 2025, there were 53 bond ETFs, the same as the previous month, with a current total scale of 8290 billion yuan, a significant increase of 1117 billion yuan from the previous month. Short - term financing ETFs and benchmark treasury bond ETFs are actively traded, and convertible bond - related ETFs have top - performing results recently [22]. 3.2.4 Commodity ETFs - As of December 31, 2025, there were 17 commodity ETFs, the same as the previous month, with a current total scale of 2505 billion yuan, an increase of 90 billion yuan from the previous month. In addition to gold - related ETFs, the Dacheng Non - ferrous Metals ETF has a significant increase in price and volume, rising over 10% in the past month [27]. 3.3 Manager Landscape - The rankings of top managers remain basically stable. Huaxia Fund and E Fund still rank among the top two in non - monetary ETF management scale. In terms of broad - based ETFs, Huaxia Fund ranks first, with a management scale of 6423 billion yuan; in terms of industry ETFs, Huaxia Fund and E Fund rank first and second, with management scales of 2272 billion yuan and 2114 billion yuan respectively [33]. - The concentration of top managers has declined again. As of December 31, 2025, the scale concentration of the top 10 managers decreased by 0.2 percentage points from the previous month to 76.76% [4][36]. 3.4 Capital Flow Changes - In terms of major asset classes, bond and A - share ETFs have received significant capital allocation, while money - market products have been under - allocated. In December, the capital flowing into the ETF market totaled 286 billion yuan, with bond and A - share products having the largest inflows, totaling 216.9 billion yuan, and cross - border products also having an inflow of 70.7 billion yuan. There was an outflow of 7 billion yuan from money - market products [39]. - In terms of sub - sectors, capital has significantly increased the allocation of CSI A500, cross - border technology, science and technology innovation bonds, and gold products. Among A - share products, broad - based products have a large inflow of 102.7 billion yuan, mainly due to the 98 - billion - yuan inflow of CSI A500 products, while industry products have an obvious outflow of 29.2 billion yuan [42]. 3.5 Product Declaration Dynamics - In December 2025, the market received 66 declared products, a decrease of 9 from the previous month but still at a high level in recent years. The declared products in December are diversified, covering areas such as batteries, home appliances, non - ferrous metals, public utilities, ChiNext 50, satellites, engineering machinery, animal husbandry and aquaculture, robots, and free cash flow [46]. 3.6 ETF Holder Structure Analysis 3.6.1 Changes in the Proportion of Individual/Institutional Investors - Overall, the proportion of institutional investors' holdings has been rising in the past two years and currently accounts for about 65%. As of June 30, 2025, institutional investors held 1.78 trillion shares, a year - on - year increase of 38.9%, and the proportion of their holdings increased by 4.7 percentage points from the previous period [53]. 3.6.2 Holdings Preference Characteristics of Various Institutional Investors - State - owned funds: The proportion of holdings in broad - based ETFs remains high, accounting for about 98%. The allocation proportion of the CSI 1000 and CSI A500 sectors has increased [65]. - Brokerages: Broad - based products still account for the majority, and the proportion of holdings in industry products has increased. As of mid - 2025, the proportion of industry products increased to 20.5%, a 2.7 - percentage - point increase from the previous period, while broad - based products accounted for 69.6% [69]. - Insurance funds: The proportion of allocation to industry ETFs has significantly increased, and it is roughly the same as that of broad - based ETFs. As of mid - 2025, the proportion of industry ETFs increased to 44%, a 9.6 - percentage - point increase from the previous period, and broad - based ETFs accounted for 41.7% [72]. 3.7 ETF Monthly Investment Strategy 3.7.1 Rotation Strategy Based on Industry and Style Sentiment and ETF Implementation - Industry perspective: The "resource products + military manufacturing" sector may continue to develop. In January 2026, the model recommends focusing on the communication, non - ferrous metals, power equipment and new energy, national defense and military industry, and coal industries [75][82]. - Style perspective: The mid - cap growth style may be dominant in January 2026, with its sentiment possibly in an expansion state and relatively good market performance [76][86]. 3.7.2 ETF Selection Based on Subjective Strategy Analysis - The market is expected to revolve around "mid - cap blue - chips." In terms of industries, the three main lines of manufacturing, consumption, and cyclical sectors are worthy of attention [76]. 3.7.3 ETF Asset Pool for Reference in January - The table provides a reference for corresponding ETF products based on the conclusions of the industry sentiment rotation strategy and subjective strategy analysis, covering mid - cap broad - based, strategy - based, technology manufacturing, consumption, and cyclical sectors [93][95].

Summary of Conference Call Records Industry Overview - The fixed income strategy is facing challenges due to increased interest rate volatility, leading to the ineffectiveness of single-duration strategies and limited space for credit spreads. The fixed income plus strategy is gaining attention, but the traditional fixed income plus sector is limited in capacity and facing a contraction issue [1][3]. Key Insights and Arguments - **Mixed Investment Strategy**: A mixed investment strategy combining stocks and bonds can optimize risk and return. International experiences, such as the Morningstar Core Plus Bond fund, suggest that increasing equity assets can enhance returns. The long-term return of China's equity market is promising, but it is characterized by high volatility. The National Social Security Fund has achieved an average annual return of 7.39% through mixed investments [1][5]. - **Policy Guidance for Long-term Funds**: Policies guiding long-term funds into the market are encouraging institutions to increase equity allocations. Large insurance companies are expected to invest 30% of new premiums into A-shares annually. By the end of 2025, the proportion of stock and fund investments by life insurance companies is projected to reach about 15%, resulting in an estimated annual inflow of over 100 billion yuan into the A-share market [1][6]. - **Impact of Incremental Funds**: Incremental funds are expected to have a rapid corrective effect on undervalued assets. For instance, the banking sector is favored by insurance funds due to its low valuation and high dividends, with the price-to-book ratio expected to recover from 0.52 to 0.74, indicating a cumulative increase of nearly 64% from 2024 to 2025 [1][7]. - **Valuation Comparison**: As of November 2025, the PE TTM of the CSI 300 index is 13.92, significantly lower than the S&P 500 index at 28. This indicates that Chinese equity assets offer high cost-performance compared to global markets [1][8]. - **Concentration in Growth Sectors**: The ChiNext board focuses on high-end manufacturing, with the top seven constituent stocks being leading blue-chip companies. The dynamic PE for 2026 is expected to be around 25 times, reflecting an increase in concentration and a slow bull market similar to the Nasdaq 100 index [1][4][10]. Additional Important Insights - **Challenges for Traditional Fixed Income Strategies**: The traditional fixed income strategies are challenged by increased interest rate volatility and limited credit spread expansion, making it difficult for investors to find yield [2][3]. - **Emerging Tools in Fixed Income Plus Market**: New tools in the fixed income plus market include convertible bond ETFs and a focus on fixed proportion stock-bond ETFs, which are expected to attract long-term capital due to their low fees and high transparency [1][13][14]. - **Rebalancing Strategy Benefits**: Implementing a rebalancing strategy can significantly reduce the volatility of an asset portfolio, enhancing overall stability by adjusting asset proportions based on market movements [1][18]. - **Future of Multi-Asset Allocation**: The trend towards multi-asset allocation is characterized by high transparency and liquidity, which will lower the entry barriers for individual investors and promote innovation among institutions [1][25]. - **Performance of Dividend Low Volatility Index**: The dividend low volatility index has shown stable historical performance, with a 5-year annualized return of 4% and a volatility of only 1%, indicating its robustness compared to other indices [1][24]. This summary encapsulates the key points from the conference call records, highlighting the challenges and opportunities within the fixed income and equity markets, as well as the implications of policy changes and investment strategies.

1. Industry Investment Rating - The report does not mention the investment rating of the industry. 2. Core Viewpoints - In the short term, the convertible bonds are expected to perform strongly due to the pull of the underlying stocks and the return of funds. The recent increase in market trading volume and the strong performance of Hong Kong stocks during the New Year holiday suggest a strong short - term pulling effect of underlying stocks on convertible bonds. The signs of allocation - type funds entering the market through convertible bond ETFs and the positive impact of the new fund redemption fee regulations on the bond market sentiment are also beneficial to convertible bonds. However, the subsequent impact of the conflict between the US and Venezuela needs continuous attention. Overall, with the market risk appetite remaining high, it is still cost - effective to buy the main - line technology convertible bonds and bottom - position weighted convertible bonds on dips to prepare for the spring rally [3][12]. 3. Summary by Directory Policy Tracking - On December 29, 2025, the National Development and Reform Commission and the Ministry of Finance issued the "Notice on Implementing the Policy of Large - scale Equipment Upgrading and Consumer Goods Trade - in in 2026", which optimized the support scope, subsidy standards, and implementation mechanism of the "two new" policy in 2026 [4][6]. - On December 31, 2025, the National Development and Reform Commission and the National Energy Administration issued the "Guiding Opinions on Promoting the High - quality Development of the Power Grid", aiming to build a new power grid platform by 2030, with the proportion of new energy power generation reaching about 30% [4]. - On December 31, 2025, the China Securities Regulatory Commission revised and issued the "Administrative Provisions on the Sales Fees of Publicly - Offered Securities Investment Funds", which optimized the redemption fee collection methods, added conditional exemption provisions for bond - type and index - type funds, and extended the transition period to 12 months [5][7]. Secondary Market - The equity market was differentiated last week. The Shanghai Composite Index rose 0.13%, while the Shenzhen Component Index and the ChiNext Index fell 0.58% and 1.25% respectively. Overseas, the US employment data exceeded expectations, and the market's interest - rate cut expectations were revised down. Domestically, the manufacturing PMI in December returned to the expansion range for the first time since April [7]. - The convertible bond market indexes fell collectively last week. The CSI Convertible Bond Index, the SSE Convertible Bond Index, and the SZSE Convertible Bond Index fell 0.27%, 0.14%, and 0.45% respectively, with an average daily trading volume of 8.1011 billion yuan, a marginal increase of 95.3 million yuan from the previous week. The net redemption scale of Boshi CSI Convertible Bond ETF significantly shrank to 565 million yuan, while Haitong Securities SSE Convertible Bond ETF net - subscribed 498 million yuan of convertible bonds [9]. - Structurally, low - rated convertible bonds outperformed last week, and medium - priced convertible bonds rose against the trend, while high - priced convertible bonds underperformed. In terms of historical quantiles, the median level of the underlying stock price, conversion value, and convertible bond price decreased slightly, and the conversion premium rate and trading sentiment also declined [10]. - In terms of industries, most convertible bonds in various industries rose last week. National defense and military industry convertible bonds led the market with an average increase of over 7%, and building material convertible bonds also performed well with an average increase of over 3%. Only food and beverage, agriculture, forestry, animal husbandry, and fishery convertible bonds fell slightly. In terms of valuation, most industries' convertible bond valuations increased [11]. - In terms of individual bonds, most convertible bonds in the market fell last week. Among the rising bonds, Tianchuang Convertible Bond led the market with a weekly increase of over 58%, while among the falling bonds, Haohan Convertible Bond fell more than 13% [14]. Primary Market - No convertible bonds were issued last week. Shenyu Convertible Bond, Tianzhun Convertible Bond, and Dingjie Convertible Bond were listed, and Zhongqi Convertible Bond and Chutian Convertible Bond were redeemed early. As of December 31, the convertible bond market's outstanding scale was 554.3 billion yuan, a decrease of 179.593 billion yuan from the beginning of the year and 4.491 billion yuan from the previous week [33]. - The conversion ratio of one convertible bond exceeded 5% last week, 5 less than the previous week. It was Huanxu Convertible Bond, mainly due to the high conversion caused by the negative conversion premium rate after the notice of the impending call - back clause [36][37]. - The issuance of convertible bonds by companies like Shang Sheng Electronics, Ai Wei Electronics, Chun Feng Power, and Hua Feng Measurement and Control has obtained the registration approval from the CSRC. As of last Friday, 7 convertible bonds have been approved by the CSRC to be issued, totaling 8.583 billion yuan, and 6 convertible bonds have passed the review of the issuance examination committee, totaling 3.361 billion yuan [37][38]. - In terms of clause tracking, one convertible bond announced a downward revision of the conversion price, and one convertible bond announced an early redemption last week. Some convertible bonds also announced the impending triggering of the conversion price downward - revision condition or the early redemption condition [37].

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - In 2026, the "fixed - income asset shortage" and "high equity market sentiment" that drove the convertible bond market in 2025 may continue. The convertible bond market is expected to have a return opportunity of over 10% next year [4]. - The supply - demand structure of the convertible bond market will continue to evolve in 2026, with the term structure becoming "dumbbell - shaped", the "aging" of convertible bonds slowing down slightly, the proportion of funds held in convertible bonds remaining high, and the influence of convertible bond ETFs becoming more prominent [4]. - In 2026, the valuation of convertible bonds is likely to remain high. The market risk appetite is not weak, the convertible bond positions of low - risk - preference investors are at a historical low, and the probability of extreme credit risk events in the short term is limited [4]. - In terms of strategy, attention should be paid to "higher - order" undervaluation. The contradiction between the high demand for undervalued convertible bonds from "fixed - income +" investors with a bond - biased approach and the "weak supply" of traditional low - priced convertible bonds needs to be resolved by constructing more complex undervaluation evaluation criteria [4]. - In the context of the "involution" of clause games, more attention should be paid to the odds. In the high - valuation environment, the valuation of convertible bonds is rapidly compressed before the call - back, and the game space for downward revisions has reached a historical low [4]. 3. Summary According to the Directory 3.1 Convertible Bond "Ecological Niche" Advantage Remains Unchanged, with a Decent Return Space in 2026 - The two factors that drove the convertible bond market in 2025, "fixed - income asset shortage" and "high equity market sentiment", may continue in 2026. As of November 20, 2025, the median parity of the convertible bond market exceeded 100 yuan, and the overall equity nature of convertible bonds was at a historical high. The strong equity market is expected to be the most important support for convertible bonds in 2026 [8]. - The demand for convertible bonds from "fixed - income +" investors, especially bond - biased accounts with stock position limits, is expected to remain high due to the low long - term interest rate environment, which will support the valuation of convertible bonds [8]. - The convertible bond index is expected to have a return space of over 10% in 2026. Based on the delta calculation, if the Shanghai Composite Index reaches 4500 - 5000 points in 2026, the overall return of convertible bonds may be around 8% - 17%, and the actual return space may be higher [8]. 3.2 The "Aging" Speed May Slow Down Slightly, and the Dumbbell Structure Gradually Appears - The contraction speed of the convertible bond market in 2026 is expected to be slightly lower than that in 2025, and the stock size may reach 450 - 500 billion yuan. As of November 21, 2025, the stock size of the convertible bond market was about 550 billion yuan, a decrease of nearly 180 billion yuan from the end of 2024. The net supply of convertible bonds in 2026 may be - 100 billion yuan [13]. - The "aging" of convertible bonds in 2026 may slow down slightly, and the median remaining term of convertible bonds at the end of next year may be about 2.2 years. The main reasons are the redemption of many short - term convertible bonds since 2025 and the recovery of convertible bond supply starting from mid - 2025 [15]. - In 2026, the number of medium - term convertible bonds will significantly decrease, and the term structure will evolve into a "dumbbell - shaped" structure. By the end of 2026, the number of 3 - 4 - year convertible bonds will decline from over 100 at the beginning of the year to about 30. The market may form a structure with medium - and large - sized convertible bonds within 3 years at one end and small - and medium - sized growth technology - related convertible bonds over 4 years at the other end [16]. - In terms of industries, the convertible bonds of non - bank finance, commercial retail, and consumer service industries will all mature by the end of 2026. The non - bank finance industry involves the largest scale and the most targets, with 4 convertible bonds worth 15 billion yuan maturing. The remaining industries' distributions may not change much, and the balance of convertible bonds in the banking, power equipment and new energy, and basic chemical industries significantly leads the others [18]. 3.3 The Proportion of Funds May Further Increase, Pay Attention to Convertible Bond ETFs - As of the end of October 2025, the proportion of convertible bonds held by funds is estimated to reach 47%, the highest level since the data was released. The increase in the proportion of convertible bonds held by public funds is mainly due to the decrease in the scale of convertible bonds held by insurance and annuity funds. By October 2025, the scale of convertible bonds held by insurance may be less than 50 billion yuan, a decrease of nearly 30% from August 2025, and the scale of convertible bonds held by annuities may be close to 130 billion yuan, a record low [20]. - In 2026, the proportion of convertible bonds held by funds is expected to remain high and may even reach a new high. Retail investors have a long - term trend of reducing their holdings of convertible bonds. Insurance and annuity funds may participate in the convertible bond market through FOFs in 2026 due to the low net supply of large - scale and high - rating convertible bonds and the high overall valuation of convertible bonds [22]. - The scale of convertible bond ETFs may continue to expand, and attention should be paid to the potential impact of the high proportion of ETFs on the convertible bond market. As of the end of October 2025, the market value of convertible bonds held by convertible bond ETFs reached 67.84 billion yuan, accounting for nearly 10% of the convertible bond market. The high valuation of newly issued convertible bonds may be related to convertible bond ETFs [27]. 3.4 Valuation is Supported, and There is Room for More Optimism - In 2025, the valuation of convertible bonds increased significantly, and the implied volatility returned to the central level of 2023. As of November 20, 2025, the premium rate per 100 yuan of convertible bonds continued to break through historical highs, and the median implied volatility of convertible bonds exceeded 40% [30]. - In 2026, the valuation of convertible bonds is likely to remain high. The current market risk appetite is not weak, the convertible bond positions of low - risk - preference investors are at a historical low, and the probability of extreme credit risk events in the short term is limited [30]. - The high point of convertible bond valuation may be around 35% - 40%, and considering the possible decline in long - term interest rates and the increase in the bond floor of convertible bonds in 2026, the high point of valuation may be even higher [33]. 3.5 In the High - Valuation Environment, It is Recommended to Focus on "Higher - Order" Undervaluation - In 2025, convertible bond investors clearly preferred undervalued targets. As of November 21, 2025, the return of the low - price strategy was 21.1%, with an excess return of 4.6% compared to the CSI Convertible Bond Index. The relatively "abnormal" excess return may be mainly due to institutional behavior [37]. - In 2026, it may be more difficult for the pure low - price strategy to obtain excess returns. The market is facing the contradiction between the high demand for undervalued convertible bonds from "fixed - income +" investors with a bond - biased approach and the "weak supply" of traditional low - priced convertible bonds. It is recommended to focus on "higher - order" undervaluation [41]. - The convexity strategy may be a good entry point for "higher - order undervaluation". Since 2025, the series of convexity strategies have achieved excellent results, with a Calmar ratio of over 3 and a return of over 20% [42]. 3.6 The "Involution" of Clause Games, and More Attention Should Be Paid to the Odds - In the fourth quarter of 2025, the experience of convertible bond clause games was not good. In the high - level volatile environment of the equity market, listed companies became more cautious in considering convertible bond clauses. As of November 21, 2025, only 1 convertible bond proposed a downward revision in that month, and the ratio of downward - revision announcements to possible downward - revision announcements was 0.04:1, both the lowest levels since March 2023. The ratio of call - back announcements to non - call - back announcements in November was 1.57:1, the highest level in 2025 [45]. - In the high - valuation environment, the convertible bond call - back game has become "involution". The difference in the average conversion premium rate of convertible bonds with a call - back progress of 80% - 100% and those with a progress of 0 - 20% has rapidly expanded since September 2025, and the conversion premium rate of convertible bonds with a high call - back progress has fallen to a historical low [47]. - The game space for convertible bond downward revisions is narrowing. Under the dual influence of high valuation and institutional preference for undervalued convertible bonds, the average difference between the prices of all convertible bonds eligible for downward revision and the expected price after a full downward revision has narrowed to a relatively low level since 2021 [48]. - The report also lists the convertible bonds whose cooling - off periods for downward revisions and call - backs will end in 2026 [52][53][54].