风格钝化延续哑铃配置，关注 gamma 因子表现
请阅读最后一页的重要声明！分析师孙彬彬SAC证书编号：S0160525020001sunbb@ctsec.com分析师隋修平SAC证书编号：S0160525020003suixp@ctsec.com联系人李浩时lihs@ctsec.com相关报告会重演》2025-05-17显好转》2025-05-172025-05-16 谨请参阅尾页重要声明及财通证券股票和行业评级标准1可转债市场点评.......................................................................................................................................42市场一周走势...........................................................................................................................................63重要股东转债减持情况...........................................................................................................................84转债发行进展...........................................................................................................................................95私募EB项目更新...................................................................................................................................96风格&策略：转债风格钝化，大额高评级略强...................................................................................97一周转债估值表现：转债估值震荡.....................................................................................................108风险提示.................................................................................................................................................13图1.电子行业指数基本回到4月3日附近.................................................................................................4图2.近期银行转债表现不弱.........................................................................................................................4图3.低价策略近期超额收益回暖.................................................................................................................5图4.双低策略近期超额收益回暖.................................................................................................................5图5.近期高凸性策略超额稳健.....................................................................................................................5图6.截至2025.05.16小额高凸性策略仓位.................................................................................................6图7.转债与权益市场表现.............................................................................................................................7图8.申万行业指数一周涨跌幅.....................................................................................................................7图9.转债一周涨跌幅.....................................................................................................................................7图10.转债一周成交额...................................................................................................................................7图11.中证转债指数与成交额.......................................................................................................................8图12.转债估值情况.......................................................................................................................................8图13.近一年来转债分评级回测结果.........................................................................................................10图14.高评级相对低评级转债收益率净值曲线.........................................................................................10图15.近一年来转债分余额回测结果.........................................................................................................10图16.大额相对小额转债超额收益净值曲线.............................................................................................10图17.近一年来转债分风格回测结果.........................................................................................................10图18.偏股转债相对偏债转债超额收益净值曲线.....................................................................................10图19.分平价溢价率（单位：%）.............................................................................................................11图表目录内容目录 2 谨请参阅尾页重要声明及财通证券股票和行业评级标准3图20.全口径溢价率（单位：%）.............................................................................................................11图21.偏债转债纯债溢价率中位数.............................................................................................................11图22.偏股转债转股溢价率中位数（单位：%）.....................................................................................11图23. YTM大于3、YTM大于0转债个数（单位：只）......................................................................12图24.跌破债底、跌破面值转债个数（单位：只）.................................................................................12图25.银行转债YTM中位数与企业债AAA3年YTM（单位：%）...................................................12图26. AA-至AA+偏债转债YTM中位数与企业债AA3年YTM（单位：%）...................................12图27. AA-至AA+存量转债穿透信用主体发行人属性分布......................................................................12图28. AA-至AA+存量企业债穿透信用主体发行人属性分布..................................................................12图29.调整百元溢价率表现（%）.............................................................................................................13表1.大股东转债持有比例较高的发行人.....................................................................................................8表2.本周转债减持................................................................
