Core Viewpoint - The quantitative convertible bond portfolio has performed well in February, achieving a return of 34.84% since 2025, with an excess return of 8.15% compared to the China Securities Convertible Bond Index [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] - In February 2026, the portfolio achieved a return of 1.01%, with an excess return of 0.23% [1] Group 2: Convertible Bond Factors - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds, with detailed data available for subscribers [2] 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 February with a recommended position of 2/3 [4][17]

Group 1 - The quantitative convertible bond portfolio performed well in February, achieving a return of 1.01% with an excess return of 0.23%. Since 2025, the portfolio has generated a total return of 34.84%, outperforming the CSI Convertible Bond Index by 8.15% [4][10]. - The portfolio is constructed using three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [4][10]. - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors, providing insights into the latest pricing deviation factors [4][14]. Group 2 - The report includes a risk warning for convertible bonds based on forced delisting and risk warning rules from exchanges, as well as event-based and credit scoring methods [4][29]. - The timing model for convertible bond indices is based on three dimensions: price-volume model, pricing deviation, and bond elasticity, indicating a bullish signal with a current position of 67% [4][32]. - The latest timing signals for the CSI Convertible Bond Index show consistent bullish indicators from both the price-volume and pricing models [4][34].

Group 1 - The quantitative convertible bond portfolio performed well in January, achieving a return of 6.26% and an excess return of 0.43% compared to the index [5] - Since 2025, the portfolio has generated a total return of 33.49%, with an excess return of 7.92% relative to the China Convertible Bond Index [5] - The portfolio is constructed based on three factor systems: fundamental factors, low-frequency price-volume factors, and high-frequency price-volume factors, with monthly rebalancing [11][12] Group 2 - The report tracks 32 fundamental factors, 80 low-frequency price-volume factors, and 32 high-frequency price-volume factors for convertible bonds [5] - The latest data on pricing deviation factors is presented, showing the difference between market prices and theoretical pricing [19] - The report includes a list of convertible bond factors used in the portfolio construction, detailing various financial metrics and ratios [15][16] Group 3 - A risk warning is issued for convertible bonds based on forced delisting and risk warning rules, including various types of credit risks [5][33] - Specific convertible bonds are highlighted for forced delisting warnings, including "Lingnan Convertible Bond" and "Shengxun Convertible Bond" [33] - The report provides a comprehensive risk assessment for convertible bonds, categorizing them into trading, financial, and event-type credit risks [33] Group 4 - The timing model for convertible bonds is based on price-volume models, pricing deviations, and bond elasticity, with a current position recommendation of 67% [5][35] - The timing signals for January indicate bullish signals from both the price-volume model and the pricing model [36] - The report outlines the recent signals from the timing model, confirming a consistent bullish outlook for the convertible bond market [36]

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].