可转债策略集合每周业绩跟踪：低价转债策略净值继续上行-20210430-财通正文版

金融工程低

价

转债策略净值继续上行2021年

4月

30日可转债策略集合每周业绩跟踪联系信息投

资要点：

转债行情回顾上周中证转债指数收跌-0.00%，成交量

2044.51亿，成交额

3401.68亿。相关报告证券研究报告1、《金融工程：转债策略全线上涨，低价转债加速修复》

2021-04-13

转债策略行情上周策略指数收益均值

0.42%，中位数为

0.49%，最低-0.85%，最高

2.16%。14种转债策略中表现最好的是偏股型转债策略，上涨

2.16%，超额收益2.16%，上周该策略主要成分包括明泰转债、华菱转

2、太

阳转债

、恩捷

转债、欧派转债；表现最差的是绝对低价转债策略

1，下跌-0.85%，超额收益-0.84%，上周该策略主要成分包括广汇转债、城地转债、万顺转

2、强力转债、国城转债。2、《金融工程：低估值策略继续爬坡，偏股型策略企稳》

2021-04-023、《金融工程：双低转债策略净值

V型反转》2021-03-084、《金融工程：维持股性为王，低估值策略底部反弹》

2021-01-225、《金融工程：偏股型策略继续新高，低价信仰持续受挫》

2021-01-09金工点评

转债投资策略建议关注偏股型转债策略。

风

险提示：本文数据仅供投资参考。财通证券研究所请阅读最后一页的重要声明以才聚财，财通天下金工点评证券研究报告内容目录1、

可转债策略概述....................................................52、

低转股溢价率转债策略

..............................................52.1低转股溢价率转债策略构建说明...........................................52.2低转股溢价率转债策略表现...............................................62.3低转股溢价率转债策略本周持仓...........................................63、

低纯债溢价率转债策略

..............................................73.1低纯债溢价率转债策略构建说明...........................................73.2低纯债溢价率转债策略表现...............................................83.3低纯债溢价率转债策略本周持仓...........................................84、

低价转债策略

.....................................................94.1低价转债策略构建说明...................................................94.2低价转债策略表现......................................................104.3低价转债策略本周持仓..................................................105、

绝对低价转债策略

1...............................................115.1绝对低价转债策略

1构建说明............................................115.2绝对低价转债策略

1表现................................................125.3绝对低价转债策略

1本周持仓............................................126、

绝对低价转债策略

2...............................................136.1绝对低价转债策略

2构建说明............................................136.2绝对低价转债策略

2表现................................................136.3绝对低价转债策略

2本周持仓............................................147、

绝对低价转债策略

3...............................................157.1绝对低价转债策略

3构建说明............................................157.2绝对低价转债策略

3表现................................................167.3绝对低价转债策略

3本周持仓............................................168、

偏债型转债策略...................................................198.1偏债型转债策略构建说明................................................198.2偏债型转债策略表现....................................................208.3偏债型转债策略本周持仓................................................209、

偏股型转债策略...................................................219.1偏股型转债策略构建说明................................................219.2偏股型转债策略表现....................................................219.3偏股型转债策略本周持仓................................................2210、

平衡型转债策略..................................................2210.1平衡型转债策略构建说明...............................................2210.2平衡型转债策略表现...................................................2310.3平衡型转债策略本周持仓...............................................2311、

低估值转债策略..................................................2411.1低估值转债策略构建说明...............................................2411.2低估值转债策略表现...................................................2411.3低估值转债策略本周持仓...............................................2512、

低错估比例转债策略

..............................................2612.1低错估比例转债策略构建说明...........................................2612.2低错估比例转债策略表现...............................................2612.3低错估比例转债策略本周持仓...........................................2713、

双低转债策略

1..................................................2713.1双低转债策略

1构建说明...............................................2713.2双低转债策略

1表现...................................................2813.3双低转债策略

1本周持仓...............................................2914、

双低转债策略

2..................................................2914.1双低转债策略

2构建说明...............................................29谨请参阅尾页重要声明及财通证券股票和行业评级标准2金工点评证券研究报告14.2双低转债策略

2表现...................................................3014.3双低转债策略

2本周持仓...............................................3015、

双低转债策略

3..................................................3115.1双低转债策略

3构建说明...............................................3115.2双低转债策略

3表现...................................................3215.3双低转债策略

3本周持仓...............................................3216、

策略表现总结

...................................................33图表目录图

1：低转股溢价率转债策略走势

................................................6图

2：低纯债溢价率转债策略走势

................................................8图

3：低价转债策略走势

.......................................................10图

4：绝对低价转债策略

1走势

.................................................12图

5：绝对低价转债策略

2走势

.................................................13图

6：绝对低价转债策略

3走势

.................................................16图

7：偏债型转债策略走势

.....................................................20图

8：偏股型转债策略走势

.....................................................21图

9：平衡型转债策略走势

.....................................................23图

10：低估值转债策略走势

....................................................24图

11：低错估比例转债策略走势

................................................26图

12：双低转债策略

1走势

....................................................28图

13：双低转债策略

2走势

....................................................30图

14：双低转债策略

3走势

....................................................32表

1：近日低转股溢价率转债策略成分成交行情

....................................6表

2：低转股溢价率转债策略本周持仓

............................................6表

3：近日低纯债溢价率转债策略成分成交行情

....................................8表

4：低纯债溢价率转债策略本周持仓

............................................8表

5：近日低价转债策略成分成交行情

...........................................10表

6：低价转债策略本周持仓

...................................................10表

7：近日绝对低价转债策略

1成分成交行情

.....................................12表

8：绝对低价转债策略

1本周持仓

.............................................12表

9：近日绝对低价转债策略

2成分成交行情

.....................................13表

10：绝对低价转债策略

2本周持仓

............................................14表

11：近日绝对低价转债策略

3成分成交行情

....................................16表

12：绝对低价转债策略

3本周持仓

............................................16表

13：近日偏债型转债策略成分成交行情

........................................20表

14：偏债型转债策略本周持仓

................................................20表

15：近日偏股型转债策略成分成交行情

........................................21表

16：偏股型转债策略本周持仓

................................................22表

17：近日平衡型转债策略成分成交行情

........................................23谨请参阅尾页重要声明及财通证券股票和行业评级标准3nQtPtRwOvN6MdN8OoMqQoMmNfQoOmRiNqQoR7NsQsRMYmPoRvPoOqO金工点评证券研究报告表

18：平衡型转债策略本周持仓

................................................23表

19：近日低估值转债策略成分成交行情

........................................25表

20：低估值转债策略本周持仓

................................................25表

21：近日低错估比例转债策略成分成交行情

....................................26表

22：低错估比例转债策略本周持仓

............................................27表

23：近日双低转债策略

1成分成交行情

........................................28表

24：双低转债策略

1本周持仓

................................................29表

25：近日双低转债策略

2成分成交行情

........................................30表

26：双低转债策略

2本周持仓

................................................30表

27：近日双低转债策略

3成分成交行情

........................................32表

28：双低转债策略

3本周持仓

................................................32表

29：转债策略评价指标一览

...................................................33表

30：转债策略评价指标一览（续）

.............................................34谨请参阅尾页重要声明及财通证券股票和行业评级标准4金工点评证券研究报告1、

可转债策略概述为找到符合当前市场运行特征的转债量化投资策略，本报告对

14种转债投资策略进行了测试。前

9种策略主要参照直观的单一指标，分别从转股溢价率、纯债溢价率、收盘价、股债性等角度进行构建；中间的低估值策略和低错估比例策略则运用了财通金工转债估值模型，从价值角度进行构建；最后

3种策略则是加入了多因子的思路，将多指标组合作为因子进行构建。各转债策略均以

2018年

3月

1日作为基日，100作为基点，调仓周期选取周频，持仓权重由转债的余额加权决定，单只转债设置持仓上限为

20%。转债池由剔除了回售、爆炒、停牌和将被强赎的

AA-及以上评级的转债组成，手续费假定为万一。同时我们假定可以构造一个完全跟踪中证转债指数的策略，该策略同样以100作为基点，以此作为评价不同转债策略表现的基准。下面我们展示了这

14个策略的历史回测、近日表现与最新持仓，在本报告最后则汇总比较了这些策略的各项指标，以供参考。2、

低转股溢价率转债策略2.1低转股溢价率转债策略构建说明低转股溢价率策略，是将转股溢价率最低的前

10%的转债作为持仓的周频调仓策略。上周低转股溢价率转债策略收涨

0.38%，同期转债指数策略收跌-0.00%，超额收益为

0.38%。谨请参阅尾页重要声明及财通证券股票和行业评级标准5金工点评证券研究报告2.2低转股溢价率转债策略表现图

1：低转股溢价率转债策略走势数据来源：Wind，财通证券研究所表

1：近日低转股溢价率转债策略成分成交行情日期策略净值236.50237.24235.24237.61239.37238.41236.31238.84239.63240.28债券余额(亿)216.08215.16214.57214.13229.66227.30226.82225.52215.76250.25成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-3056.8583.1340.9838.3852.4648.1936.5566.1686.88123.5437.2648.2226.9424.9635.5434.8925.9742.5553.1283.86数据来源：Wind，财通证券研究所2.3低转股溢价率转债策略本周持仓表

2：低转股溢价率转债策略本周持仓序号代码转债名称华菱转

2福能转债淮矿转债鸿路转债蓝帆转债滨化转债权重调入时间2021-02-262021-04-302021-04-232021-04-302021-04-232021-02-19123456127023.SZ110048.SH110065.SH128134.SZ128108.SZ113034.SH12.27%9.88%8.53%7.07%6.09%5.80%谨请参阅尾页重要声明及财通证券股票和行业评级标准6金工点评证券研究报告7128128.SZ113025.SH128032.SZ127029.SZ113609.SH128046.SZ128095.SZ128096.SZ127028.SZ110066.SH113504.SH128097.SZ113559.SH128093.SZ113543.SH128113.SZ113598.SH110070.SH113541.SH113585.SH113537.SH128050.SZ113509.SH齐翔转

2明泰转债双环转债中钢转债永安转债利尔转债恩捷转债奥瑞转债英特转债盛屯转债艾华转债奥佳转债永创转债百川转债欧派转债比音转债法兰转债凌钢转债荣晟转债寿仙转债文灿转债钧达转债新泉转债5.78%4.20%3.75%3.61%3.33%3.18%2.74%2.59%2.26%2.24%1.97%1.94%1.93%1.90%1.82%1.65%1.12%1.09%1.00%0.71%0.67%0.53%0.34%2021-04-022021-03-122021-04-302021-04-302021-04-232021-04-302021-03-122021-04-302021-04-232021-04-302021-03-262021-04-302021-04-162021-04-302021-03-122021-03-122021-04-232021-04-302021-01-082021-01-082021-04-162021-01-082021-04-30891011121314151617181920212223242526272829数据来源：Wind，财通证券研究所3、

低纯债溢价率转债策略3.1低纯债溢价率转债策略构建说明低纯债溢价率策略，是将纯债溢价率最低的前

10%的转债作为持仓的周频调仓策略。上周低纯债溢价率转债策略上涨

0.67%，同期转债指数策略收跌-0.00%，超额收益为

0.67%。谨请参阅尾页重要声明及财通证券股票和行业评级标准7金工点评证券研究报告3.2低纯债溢价率转债策略表现图

2：低纯债溢价率转债策略走势数据来源：Wind，财通证券研究所表

3：近日低纯债溢价率转债策略成分成交行情日期策略净值124.08124.77123.81124.10124.28124.58125.06125.41125.58125.11债券余额(亿)333.01333.00333.00333.00359.22359.22359.22359.22359.22374.42成交金额(亿)成交量(亿)13.2633.3025.8623.2523.5340.6249.7751.5946.194.102021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-3012.7936.0427.7823.6824.0847.2465.9582.2874.323.97数据来源：Wind，财通证券研究所3.3低纯债溢价率转债策略本周持仓表

4：低纯债溢价率转债策略本周持仓序号代码转债名称本钢转债广汇转债林洋转债航信转债亨通转债建工转债权重调入时间2020-08-072020-12-182021-04-232021-03-192021-04-302021-02-19123456127018.SZ110072.SH113014.SH110031.SH110056.SH110064.SH18.36%9.10%8.10%6.48%4.62%4.48%谨请参阅尾页重要声明及财通证券股票和行业评级标准8金工点评证券研究报告7113017.SH110052.SH127007.SZ113534.SH128023.SZ127013.SZ123077.SZ127019.SZ128132.SZ128100.SZ113519.SH127003.SZ128044.SZ113530.SH128037.SZ113589.SH123023.SZ113535.SH113525.SH123028.SZ128042.SZ113595.SH113524.SH110058.SH吉视转债贵广转债湖广转债鼎胜转债亚太转债创维转债汉得转债国城转债交建转债搜特转债长久转债海印转债岭南转债大丰转债岩土转债天创转债迪森转债大业转债台华转债清水转债凯中转债花王转债奇精转债永鼎转债4.21%4.12%3.29%3.24%2.70%2.64%2.53%2.30%2.29%2.16%1.88%1.82%1.78%1.70%1.63%1.62%1.43%1.35%1.27%1.23%1.12%0.92%0.89%0.71%2020-04-032020-12-312021-03-052021-03-192018-08-032021-02-052021-02-052020-10-092021-04-302021-01-152020-11-132020-09-302020-09-182020-03-062019-03-292020-11-202021-04-022020-04-102021-04-232021-04-302020-12-312021-04-162021-03-262021-01-1589101112131415161718192021222324252627282930数据来源：Wind，财通证券研究所4、

低价转债策略4.1低价转债策略构建说明低价转债策略，是将收盘价最低的

10%的转债作为持仓的周频调仓策略。上周低价转债策略上涨

0.65%，同期转债指数策略收跌-0.00%，超额收益为

0.66%。谨请参阅尾页重要声明及财通证券股票和行业评级标准9金工点评证券研究报告4.2低价转债策略表现图

3：低价转债策略走势数据来源：Wind，财通证券研究所表

5：近日低价转债策略成分成交行情日期策略净值127.22127.44126.56127.38127.52127.57128.24128.79129.22128.35债券余额(亿)301.88301.88301.88301.88290.61290.61290.60290.60290.60337.06成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-3011.218.7611.859.327.568.048.689.0816.5737.4660.92103.3799.113.1316.2831.4044.9169.5968.883.35数据来源：Wind，财通证券研究所4.3低价转债策略本周持仓表

6：低价转债策略本周持仓序号代码转债名称本钢转债广汇转债靖远转债建工转债吉视转债权重调入时间2020-08-072020-12-182021-04-302021-04-302021-02-2612345127018.SZ110072.SH127027.SZ110064.SH113017.SH19.77%10.02%8.33%4.94%4.64%谨请参阅尾页重要声明及财通证券股票和行业评级标准10金工点评证券研究报告6110052.SH113596.SH113534.SH123077.SZ128026.SZ123085.SZ123076.SZ127019.SZ128132.SZ128100.SZ128044.SZ128116.SZ128037.SZ113589.SH113600.SH113601.SH123023.SZ113569.SH113535.SH128066.SZ123028.SZ123010.SZ113595.SH128072.SZ128118.SZ贵广转债城地转债鼎胜转债汉得转债众兴转债万顺转

2强力转债国城转债交建转债搜特转债岭南转债瑞达转债岩土转债天创转债新星转债塞力转债迪森转债科达转债大业转债亚泰转债清水转债博世转债花王转债翔鹭转债瀛通转债4.54%3.57%3.56%2.79%2.73%2.68%2.53%2.53%2.53%2.38%1.96%1.93%1.79%1.78%1.77%1.62%1.57%1.53%1.49%1.43%1.35%1.28%1.18%0.90%0.89%2021-04-302020-12-112021-03-262021-03-262021-04-232021-03-052021-01-292020-09-302021-02-102020-11-062020-07-242021-04-162021-04-232020-07-172020-12-252021-04-302021-04-092020-07-242021-04-232021-04-302021-01-292021-04-302020-12-252021-04-232021-01-08789101112131415161718192021222324252627282930数据来源：Wind，财通证券研究所5、

绝对低价转债策略

15.1绝对低价转债策略

1构建说明绝对低价转债策略

1，是将价格低于

95元的所有转债作为持仓的周频调仓策略。上周绝对低价转债策略

1下跌-0.85%，同期转债指数策略收跌-0.00%，超额收益为-0.84%。谨请参阅尾页重要声明及财通证券股票和行业评级标准11金工点评证券研究报告5.2绝对低价转债策略

1表现图

4：绝对低价转债策略

1走势数据来源：Wind，财通证券研究所表

7：近日绝对低价转债策略

1成分成交行情日期策略净值118.44118.71117.80118.59118.93118.33117.80118.19118.17117.93债券余额(亿)199.44199.44199.44199.44109.23109.23109.23109.23109.23181.75成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-308.247.065.975.922.172.701.711.932.111.958.817.576.406.262.393.001.922.152.322.13数据来源：Wind，财通证券研究所5.3绝对低价转债策略

1本周持仓表

8：绝对低价转债策略

1本周持仓序号代码转债名称广汇转债本钢转债城地转债万顺转

2强力转债权重调入时间2020-12-182021-04-302020-12-252021-01-082021-01-2912345110072.SH127018.SZ113596.SH123085.SZ123076.SZ19.30%19.29%9.05%6.78%6.41%谨请参阅尾页重要声明及财通证券股票和行业评级标准12金工点评证券研究报告67127019.SZ128132.SZ128100.SZ128044.SZ113589.SH113569.SH113595.SH123028.SZ国城转债交建转债搜特转债岭南转债天创转债科达转债花王转债清水转债6.41%6.40%6.03%4.97%4.52%3.89%3.52%3.43%2020-09-302020-12-182020-12-182020-12-182020-12-112020-12-182020-12-252021-04-308910111213数据来源：Wind，财通证券研究所6、

绝对低价转债策略

26.1绝对低价转债策略

2构建说明绝对低价转债策略

2，是将价格低于

100元的所有转债作为持仓的周频调仓策略。上周绝对低价转债策略

2收涨

0.24%，同期转债指数策略收跌-0.00%，超额收益为

0.25%。6.2绝对低价转债策略

2表现图

5：绝对低价转债策略

2走势数据来源：Wind，财通证券研究所表

9：近日绝对低价转债策略

2成分成交行情日期策略净值126.79债券余额(亿)660.68成交金额(亿)17.50成交量(亿)18.102021-04-192021-04-20127.27660.6839.9237.29谨请参阅尾页重要声明及财通证券股票和行业评级标准13金工点评证券研究报告2021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-30126.69127.02126.85126.76126.96127.45127.74127.16660.68660.67541.95541.94541.94541.94541.94636.1336.0733.9932.3519.2634.1147.8973.8782.366.1033.1319.5040.1363.87107.63113.505.89数据来源：Wind，财通证券研究所6.3绝对低价转债策略

2本周持仓表

10：绝对低价转债策略

2本周持仓序号1代码转债名称本钢转债广汇转债林洋转债靖远转债龙净转债利群转债建工转债吉视转债贵广转债金田转债崇达转

2鲁泰转债湖广转债城地转债鼎胜转债创维转债文科转债汉得转债众兴转债万顺转

2新北转债强力转债国城转债交建转债铁汉转债拓尔转债长集转债搜特转债超声转债长久转债明电转债岭南转债孚日转债瑞达转债权重调入时间2020-08-072020-12-182021-04-162021-01-292021-04-092021-04-162021-01-292020-10-302021-01-082021-04-302021-04-302021-04-302020-12-252020-12-182021-01-152021-01-292020-12-252021-01-292021-01-152020-12-312021-04-302020-12-252020-09-302020-10-302021-04-302021-04-302021-04-302020-12-112021-04-302020-12-252021-04-302020-11-202020-12-182020-12-31127018.SZ110072.SH113014.SH127027.SZ110068.SH113033.SH110064.SH113017.SH110052.SH113046.SH128131.SZ127016.SZ127007.SZ113596.SH113534.SH127013.SZ128127.SZ123077.SZ128026.SZ123085.SZ128083.SZ123076.SZ127019.SZ128132.SZ123004.SZ123105.SZ128105.SZ128100.SZ127026.SZ113519.SH123087.SZ128044.SZ128087.SZ128116.SZ10.67%5.29%4.71%4.40%3.14%2.83%2.61%2.45%2.40%2.36%2.20%2.20%1.91%1.88%1.88%1.54%1.49%1.47%1.44%1.41%1.38%1.33%1.33%1.33%1.26%1.26%1.26%1.26%1.10%1.09%1.06%1.04%1.02%1.02%2345678910111213141516171819202122232425262728293031323334谨请参阅尾页重要声明及财通证券股票和行业评级标准14金工点评证券研究报告353637383940414243444546474849505152535455565758596061626364656667686970128139.SZ113584.SH113604.SH113530.SH128037.SZ113589.SH113600.SH123081.SZ127021.SZ113601.SH113036.SH123023.SZ113569.SH113535.SH128066.SZ113525.SH113532.SH128022.SZ123028.SZ123010.SZ128042.SZ123059.SZ113595.SH113578.SH123069.SZ128049.SZ128117.SZ128072.SZ113597.SH128118.SZ128069.SZ123054.SZ110058.SH123065.SZ128076.SZ123057.SZ祥鑫转债家悦转债多伦转债大丰转债岩土转债天创转债新星转债精研转债特发转

2塞力转债宁建转债迪森转债科达转债大业转债亚泰转债台华转债海环转债众信转债清水转债博世转债凯中转债银信转债花王转债全筑转债金诺转债华源转债道恩转债翔鹭转债佳力转债瀛通转债华森转债思特转债永鼎转债宝莱转债金轮转债美联转债1.02%1.01%1.01%0.99%0.95%0.94%0.93%0.90%0.86%0.85%0.85%0.83%0.81%0.79%0.75%0.74%0.72%0.72%0.71%0.67%0.65%0.61%0.61%0.60%0.58%0.57%0.57%0.47%0.47%0.47%0.47%0.43%0.41%0.34%0.34%0.32%2021-04-302021-03-122021-01-292020-12-252020-06-122020-10-302020-12-252021-02-052021-01-292021-01-152021-01-222020-12-252020-12-112021-04-092021-01-082021-04-162021-04-302021-04-302020-12-252021-01-292021-04-302021-04-302020-12-252021-01-082021-04-302021-04-302021-02-052020-12-252020-12-252020-12-252020-12-252020-12-252021-01-082021-04-302020-12-252021-04-30数据来源：Wind，财通证券研究所7、

绝对低价转债策略

37.1绝对低价转债策略

3构建说明绝对低价转债策略

3，是将价格低于

105元的所有转债作为持仓的周频调仓策略。上周绝对低价转债策略

3收跌-0.12%，同期转债指数策略收跌-0.00%，超额收益为-0.12%。谨请参阅尾页重要声明及财通证券股票和行业评级标准15金工点评证券研究报告7.2绝对低价转债策略

3表现图

6：绝对低价转债策略

3走势数据来源：Wind，财通证券研究所表

11：近日绝对低价转债策略

3成分成交行情日期策略净值132.28132.50132.36132.44132.17132.00131.82132.14132.46132.01债券余额(亿)2123.102123.102123.092123.092137.132137.132137.132137.132137.132171.42成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-3043.2163.7861.0652.0343.4566.2184.22124.11146.3927.9342.4659.6757.5850.1142.6059.3267.7689.93113.4627.88数据来源：Wind，财通证券研究所7.3绝对低价转债策略

3本周持仓表

12：绝对低价转债策略

3本周持仓序号代码转债名称浦发转债大秦转债上银转债温氏转债本钢转债权重调入时间2020-07-172021-01-222021-02-192021-04-232020-08-0712345110059.SH113044.SH113042.SH123107.SZ127018.SZ19.97%15.36%9.60%4.46%3.26%谨请参阅尾页重要声明及财通证券股票和行业评级标准16金工点评证券研究报告6113037.SH110072.SH113014.SH113024.SH127027.SZ127006.SZ110068.SH113033.SH128034.SZ110056.SH110064.SH113017.SH110052.SH113046.SH128131.SZ127016.SZ113516.SH113039.SH127007.SZ113596.SH113534.SH128013.SZ128140.SZ113620.SH113619.SH128023.SZ127013.SZ128127.SZ123077.SZ128026.SZ123049.SZ123085.SZ113549.SH128083.SZ123076.SZ127019.SZ128132.SZ123004.SZ123105.SZ128105.SZ128133.SZ128100.SZ113505.SH128124.SZ123086.SZ110071.SH113599.SH127026.SZ123071.SZ紫银转债广汇转债林洋转债核建转债靖远转债敖东转债龙净转债利群转债江银转债亨通转债建工转债吉视转债贵广转债金田转债崇达转

2鲁泰转债吴银转债嘉泽转债湖广转债城地转债鼎胜转债洪涛转债润建转债傲农转债世运转债亚太转债创维转债文科转债汉得转债众兴转债维尔转债万顺转

2白电转债新北转债强力转债国城转债交建转债铁汉转债拓尔转债长集转债奇正转债搜特转债杭电转债科华转债海兰转债湖盐转债嘉友转债超声转债天能转债2.16%1.62%1.44%1.44%1.34%1.16%0.96%0.86%0.84%0.82%0.80%0.75%0.73%0.72%0.67%0.67%0.62%0.60%0.58%0.58%0.58%0.56%0.52%0.48%0.48%0.48%0.47%0.46%0.45%0.44%0.44%0.43%0.42%0.42%0.41%0.41%0.41%0.39%0.38%0.38%0.38%0.38%0.36%0.35%0.35%0.35%0.35%0.34%0.34%2021-02-052020-12-112021-02-052021-01-222021-01-292020-12-182020-12-252021-01-082021-04-302021-01-292020-12-112020-04-172020-11-202021-04-162021-01-292020-12-112021-04-302021-04-162020-12-112020-12-112021-01-152021-04-302020-12-312021-04-092021-02-262018-03-022020-12-182020-12-182020-12-182021-01-082021-04-302020-12-312020-12-252021-02-052020-12-182020-09-302020-10-232020-11-202021-04-302021-04-022021-02-052020-10-302020-12-042020-12-112021-04-302020-12-252020-12-182021-01-152020-12-31789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354谨请参阅尾页重要声明及财通证券股票和行业评级标准17金工点评证券研究报告555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103113519.SH127003.SZ123087.SZ123102.SZ128044.SZ128087.SZ128116.SZ128139.SZ113584.SH113604.SH113528.SH110038.SH128063.SZ113530.SH128037.SZ123075.SZ113589.SH113600.SH123056.SZ123081.SZ123068.SZ127021.SZ113591.SH123044.SZ113601.SH113036.SH127014.SZ123023.SZ113569.SH123089.SZ123053.SZ113535.SH128066.SZ113525.SH113532.SH128022.SZ123028.SZ128125.SZ123010.SZ128138.SZ128042.SZ128018.SZ123059.SZ113578.SH123069.SZ128049.SZ128117.SZ113595.SH128014.SZ长久转债海印转债明电转债华自转债岭南转债孚日转债瑞达转债祥鑫转债家悦转债多伦转债长城转债济川转债未来转债大丰转债岩土转债贝斯转债天创转债新星转债雪榕转债精研转债弘信转债特发转

2胜达转债红相转债塞力转债宁建转债北方转债迪森转债科达转债九洲转

2宝通转债大业转债亚泰转债台华转债海环转债众信转债清水转债华阳转债博世转债侨银转债凯中转债时达转债银信转债全筑转债金诺转债华源转债道恩转债花王转债永东转债0.33%0.32%0.32%0.32%0.32%0.31%0.31%0.31%0.31%0.31%0.30%0.30%0.30%0.30%0.29%0.29%0.29%0.29%0.28%0.27%0.27%0.26%0.26%0.26%0.26%0.26%0.26%0.25%0.25%0.24%0.24%0.24%0.23%0.23%0.22%0.22%0.22%0.22%0.21%0.20%0.20%0.19%0.19%0.18%0.18%0.17%0.17%0.16%0.16%2020-12-182020-12-252021-01-082021-04-022020-06-052020-07-172020-12-252021-04-022021-01-292021-01-292020-12-112021-01-292021-01-152020-09-112020-04-032021-01-292020-07-172020-12-112021-03-052021-01-292021-04-302021-01-082020-09-182021-02-102020-12-252020-12-182021-04-162020-12-112020-07-172021-03-262021-01-292020-04-172020-12-252020-12-182020-11-202021-03-262020-12-182021-03-262020-12-252020-12-252020-12-182020-12-112021-01-082020-12-252020-12-182020-12-182021-01-292020-12-182020-07-17谨请参阅尾页重要声明及财通证券股票和行业评级标准18金工点评证券研究报告104105106107108109110111112113114115116117118119120121122123124125126127128113568.SH113524.SH113027.SH123074.SZ123106.SZ128123.SZ123007.SZ128072.SZ113597.SH128118.SZ128069.SZ128025.SZ128073.SZ123054.SZ128122.SZ113576.SH128021.SZ110058.SH123112.SZ113565.SH123065.SZ128076.SZ123057.SZ128039.SZ113502.SH新春转债奇精转债华钰转债隆利转债正丹转债国光转债道氏转债翔鹭转债佳力转债瀛通转债华森转债特一转债哈尔转债思特转债兴森转债起步转债兄弟转债永鼎转债万讯转债宏辉转债宝莱转债金轮转债美联转债三力转债嘉澳转债0.16%0.16%0.16%0.16%0.15%0.15%0.15%0.14%0.14%0.14%0.14%0.14%0.14%0.13%0.13%0.13%0.13%0.13%0.12%0.11%0.11%0.10%0.10%0.10%0.09%2020-12-182020-12-112021-03-122021-04-302021-04-232021-04-162021-03-122020-12-112020-12-182020-12-182020-12-182021-04-302021-01-152020-12-252020-12-252021-04-022021-04-302021-01-082021-04-302021-04-302021-03-192020-12-182021-01-152021-01-292021-03-26数据来源：Wind，财通证券研究所8、

偏债型转债策略8.1偏债型转债策略构建说明偏债型转债策略，是取所有平价底价溢价率小于-15%的转债作为偏债型转债池，将其中平价底价溢价率最小的

10%的转债作为持仓的周频调仓策略。上周偏债型转债策略上涨

0.93%，同期转债指数策略收跌-0.00%，超额收益为0.93%。谨请参阅尾页重要声明及财通证券股票和行业评级标准19金工点评证券研究报告8.2偏债型转债策略表现图

7：偏债型转债策略走势数据来源：Wind，财通证券研究所表

13：近日偏债型转债策略成分成交行情日期策略净值113.77116.79115.67114.31114.19114.01114.10115.92115.45115.25债券余额(亿)65.45成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-304.2228.9922.2817.640.754.1825.8219.9816.920.7665.4565.4565.4584.9684.960.930.9484.960.800.8084.9626.2719.970.6622.9618.150.6884.9567.14数据来源：Wind，财通证券研究所8.3偏债型转债策略本周持仓表

14：偏债型转债策略本周持仓序号代码转债名称航信转债城地转债国城转债岭南转债岩土转债权重调入时间2021-01-222021-04-302021-03-262021-04-022020-01-1012345110031.SH113596.SH127019.SZ128044.SZ128037.SZ20.00%20.00%16.37%12.70%11.61%谨请参阅尾页重要声明及财通证券股票和行业评级标准20金工点评证券研究报告678113589.SH123065.SZ113502.SH天创转债宝莱转债嘉澳转债11.55%4.22%3.56%2021-03-262021-04-302020-12-18数据来源：Wind，财通证券研究所9、

偏股型转债策略9.1偏股型转债策略构建说明偏股型转债策略，是取所有平价底价溢价率大于

15%的转债作为偏股型转债池，将其中平价底价溢价率最大的

10%的转债作为持仓的周频调仓策略。上周偏股型转债策略大涨

2.16%，同期转债指数策略收跌-0.00%，超额收益为2.16%。9.2偏股型转债策略表现图

8：偏股型转债策略走势数据来源：Wind，财通证券研究所表

15：近日偏股型转债策略成分成交行情日期策略净值210.01211.03211.99211.25210.48债券余额(亿)33.09成交金额(亿)11.60成交量(亿)6.142021-04-192021-04-202021-04-212021-04-222021-04-2333.0538.9818.345.9733.0511.4533.0512.346.2278.1432.0618.55谨请参阅尾页重要声明及财通证券股票和行业评级标准21金工点评证券研究报告2021-04-262021-04-272021-04-282021-04-292021-04-30208.07208.29209.34210.72215.0277.9177.8277.7670.3896.0716.289.129.9117.3518.5629.4922.1710.0615.9511.24数据来源：Wind，财通证券研究所9.3偏股型转债策略本周持仓表

16：偏股型转债策略本周持仓序号代码转债名称太阳转债紫金转债金能转债恩捷转债欧派转债火炬转债新泉转债天铁转债权重调入时间2021-04-232021-04-302021-04-302021-03-122021-02-052020-09-252021-04-302021-04-0212345678128029.SZ113041.SH113545.SH128095.SZ113543.SH113582.SH113509.SH123046.SZ20.00%20.00%20.00%16.23%10.77%9.29%2.00%1.71%数据来源：Wind，财通证券研究所10、

平衡型转债策略10.1平衡型转债策略构建说明平衡型转债策略，是取所有平价底价溢价率介于-15%至

15%之间的转债作为平衡型转债池，将其中平价底价溢价率最接近

0的

10%的转债作为持仓的周频调仓策略。上周平衡型转债策略下跌-0.66%，同期转债指数策略收跌-0.00%，超额收益为-0.66%。谨请参阅尾页重要声明及财通证券股票和行业评级标准22金工点评证券研究报告10.2平衡型转债策略表现图

9：平衡型转债策略走势数据来源：Wind，财通证券研究所表

17：近日平衡型转债策略成分成交行情日期策略净值138.11137.98137.85138.49137.98137.63136.59137.45137.54137.07债券余额(亿)150.94150.94150.94150.94118.29118.29118.29118.22118.16340.52成交金额(亿)成交量(亿)2021-04-192021-04-202021-04-212021-04-222021-04-232021-04-262021-04-272021-04-282021-04-292021-04-303.333.113.593.007.016.863.867.897.445.063.012.813.252.646.636.453.676.92