广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 基于交易所退市及风险警示规则，以及事件法和信用打分法计算结果，报告对具有交易类强制退市风险、财务类强制退市风险、*ST风险、 ST风险、事件型信用风险、打分型信用风险的可转债进行了风险提示。 转债指数择时： 基于价量模型、定价偏差和转债弹性三个维度，对中证转债指数进行多空择时及仓位管理。其中，2月底价量模型与定价模型为看多信号， 最新观点为2/3仓位。 摘要 量化转债组合2月表现良好 ： 组合基于可转债基本面因子、低频价量因子、高频价量因子三套因子体系生成，月度调仓。2025年以来组合收益34.84%，相对中证转债 指数超额收益8.15%；2026年2月组合收益1.01%，超额收益0.23%。 量化转债因子： 我们跟踪了32个转债基本面因子，80个转债低频价量因子和32个转债高频价量因子，详细数据欢迎订阅。报告以定价偏差因子为例，展示 了最新数据。 转债风险预警： 一、 组合及表现 量化可 ...

[Table_Summary] 报告摘要： 图：量化转债组合业绩表现 [Table_Page] 金融工程|量化投资策略月报 2026 年 3 月 1 日 证券研究报告 [Table_Title] 2 月量化转债组合超额 0.23% 量化转债月度跟踪（2026 年 03 月） 数据来源：Wind, 广发证券发展研究中心 | 表：转债指数最新择时信号 | | | --- | --- | | 模型 | 观点 | | 价量模型 | 1 | | 定价模型 | 1 | | 凸性模型 | 0 | | 仓位 | 67% | 数据来源：Wind, 广发证券发展研究中心 | [分析师： Table_Author]张超 | | | --- | --- | | SAC 执证号：S0260514070002 | | | SFC CE No. BOB130 | | | 020-66335132 | | | zhangchao@gf.com.cn | | | 分析师： | 安宁宁 | | SAC 执证号：S0260512020003 | | | SFC CE No. BNW179 | | | 0755-23948352 | | | ann ...

[Table_Page] 金融工程|量化投资策略月报 2026 年 2 月 1 日 证券研究报告 [Table_Title] 1 月量化转债组合超额 0.43% 量化转债月度跟踪（2026 年 02 月） [Table_Summary] 报告摘要： 图：量化转债组合业绩表现 | 表：转债指数择时信号 | | | --- | --- | | 模型 | 观点 | | 价量模型 | 1 | | 定价模型 | 1 | | 凸性模型 | 0 | | 仓位 | 67% | 数据来源：Wind, 广发证券发展研究中心 | [分析师： Table_Author]张超 | | | --- | --- | | | SAC 执证号：S0260514070002 | | | SFC CE No. BOB130 | | 020-66335132 | | | | zhangchao@gf.com.cn | | 分析师： | 安宁宁 | | | SAC 执证号：S0260512020003 | | | SFC CE No. BNW179 | | 0755-23948352 | | | | anningning@gf.com.cn | | ...

Core Viewpoint - The quantitative convertible bond portfolio performed well in December, achieving a return of 4.57% for the month and a cumulative return of 25.63% since 2025, outperforming the China Securities Convertible Bond Index by 6.97% [1]. Group 1: Portfolio and Performance - The quantitative convertible bond portfolio is generated based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [5]. - The portfolio's performance in December 2025 showed a monthly return of 4.57% and an excess return of 2.43% compared to the benchmark [1]. Group 2: Convertible Bond Factors - A total of 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds are being tracked, with detailed data available for subscription [2]. - The report illustrates the latest data using the pricing deviation factor as an example, which measures the difference between market price and theoretical pricing [12]. Group 3: Convertible Bond Index Timing - The timing strategy for the China Securities Convertible Bond Index is based on price-volume models, pricing deviations, and bond elasticity, indicating a bullish signal at the end of December with a recommended position of 2/3 [4][16]. - The timing signals for December 2025 show a consistent bullish outlook based on pricing models, with a position recommendation of 67% from December 22 onwards [16]. Group 4: Risk Warnings - The report provides risk warnings for convertible bonds based on forced delisting and risk alert rules, identifying specific bonds with trading and financial delisting risks [3][14]. - Various convertible bonds are flagged for different types of risks, including trading-related delisting warnings and event-type credit risk alerts [15].