量化转债月度跟踪：2025年组合超额收益6.97%

图表索引TOC\o"1-1"\h\z\u图1：发工化组合绩现（20254表1：转因列表 4表2：债新价因子（20251231） 6表3：险债警（20251231） 表4：债时型信号（2025-12） 12一、组合及表现量化可转债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年业绩表现如下。图1：广发金工量化转债组合业绩表现（2025年起）30%25%20%15%10%5%2025-01-012025-01-122025-01-012025-01-122025-01-232025-02-032025-02-142025-02-252025-03-082025-03-192025-03-302025-04-102025-04-212025-05-022025-05-132025-05-242025-06-042025-06-152025-06-262025-07-072025-07-182025-07-292025-08-092025-08-202025-08-312025-09-112025-09-222025-10-032025-10-142025-10-252025-11-052025-11-162025-11-272025-12-082025-12-192025-12-30-5%超额回报 组合总回报 中证转债总回报二、因子数据跟踪上述组合所采用的因子列表如下，构建方式参考报告《考虑分层加权的可转债多因子组合》《传统技术因子在转债组合中的应用》《可转债高频因子探索》。表1：可转债因子列表标的类别因子名称变量名可转债基本面估值隐含波动率iv隐波差ivd债券属性转股价k纯债价值vb剩余到期时间（年）t票面利率rate溢价率转股溢价率rs纯债溢价率rb价量转债收益率（1个月）pct1转债收益率（3个月）pct3转债收益率（6个月）pct6正股基本面价值股价/每股派息pdd市盈率（PE）pe市净率（PB）pb市现率（PCF）pcf市销率（PS）ps质量经营活动产生的现金流量净额／营业利润cash流动比率current1速动比率quick财务费用／营业总收入expense总资产周转率assetturn规模当日总市值mv当日流通市值fmv价量正股收益率（1个月）pctm流动性月换手率（自由流通股本）turnm杠杆资产负债率debt成长归属母公司股东的净利润同比增长率profit营业收入同比增长率earn净资产收益率（平均）同比增长率groe盈利净资产收益率（ROE）roe总资产净利润（ROA）roa投入资本回报率（ROIC）roic价量因子可转债低频价量技术因子001alpha001技术因子002alpha002技术因子…alpha…技术因子099alpha099技术因子101alpha101可转债高频价量已实现方差RD_VAR已实现偏度RD_Skew已实现峰度RD_Kurt高频上行波动率RD_STD_UP高频下行波动率RD_STD_DOWN量价相关性RD_PVCorr趋势强度因子RD_TrendStr平均单笔流入金额占比RD_APTInFlow平均单笔流出金额占比RD_APTOutFlow平均单笔流入流出金额之比RD_APTNetInFlow大单资金净流入比率RD_ApT_netInFlow_bigOrder_ratio大单驱动涨幅RD_Mom_bigOrder聪明钱因子1RD_SmartMoney_rank聪明钱因子2RD_SmartMoney_beta聪明钱因子3RD_SmartMoney_lnv聪明钱因子4RD_SmartMoney_v均价偏差RD_APB时间加权的相对价格位置RD_ARPP由于个债因子数据量大，这里仅展示定价偏差因子≡转债市场价格-理论定价（构建方式参考报告《可转债定价研究：考虑赎回、下修及回售条款与退市、信用风险》）的最新结果。表2：个债最新定价偏差因子（20251231）转债代码日期定价偏差因子110067.SH202512315.32110070.SH2025123118.39110073.SH2025123169.87110075.SH202512317.08110081.SH2025123119.69110084.SH2025123146.39110086.SH2025123132.91110087.SH2025123121.98110089.SH2025123119.47110090.SH2025123128.52110093.SH2025123110.71110094.SH2025123120.42110095.SH2025123113.80110097.SH2025123124.62110098.SH2025123115.49110099.SH2025123141.55111000.SH2025123111.87111002.SH2025123114.57111003.SH2025123144.69111004.SH2025123113.61111010.SH2025123112.91111013.SH2025123138.78111017.SH2025123110.62111018.SH2025123125.52111019.SH2025123118.33111020.SH2025123133.98111021.SH2025123122.11111022.SH2025123134.51113033.SH2025123111.31113042.SH202512314.13113043.SH2025123124.51113046.SH2025123133.42113051.SH2025123154.55113052.SH2025123124.52113053.SH2025123123.73113056.SH202512319.75113062.SH202512319.83113066.SH2025123135.37113067.SH2025123151.45113070.SH2025123137.68113574.SH2025123116.54113575.SH20251231166.88113584.SH2025123123.75113588.SH2025123140.99113589.SH20251231237.35113597.SH2025123146.75113605.SH2025123134.78113623.SH2025123112.38113624.SH2025123150.13113631.SH2025123113.89113632.SH2025123116.71113639.SH2025123127.81113640.SH2025123120.32113644.SH2025123119.37113646.SH2025123119.89113649.SH2025123123.25113652.SH2025123117.94113653.SH2025123117.94113655.SH2025123136.66113656.SH2025123111.36113658.SH2025123144.63113659.SH2025123111.49113661.SH2025123123.19113671.SH2025123118.25113673.SH2025123123.71113674.SH2025123130.63113676.SH2025123122.07113678.SH2025123135.82113680.SH2025123129.38113681.SH2025123125.03113686.SH2025123123.96113688.SH2025123133.65113691.SH2025123120.51113692.SH2025123124.90113694.SH2025123138.83113695.SH2025123155.45113696.SH2025123131.16113698.SH2025123146.02113699.SH2025123156.47118000.SH2025123117.45118003.SH2025123119.18118006.SH2025123138.60118007.SH2025123132.29118009.SH2025123114.99118011.SH2025123128.56118012.SH2025123138.92118016.SH2025123134.70118024.SH2025123121.10118025.SH2025123119.02118031.SH202512318.36118034.SH202512317.81118035.SH2025123131.22118036.SH2025123128.35118037.SH2025123145.62118038.SH2025123135.13118039.SH2025123132.14118040.SH2025123153.35118041.SH2025123132.46118044.SH2025123131.76118052.SH2025123158.01118057.SH2025123156.30118059.SH2025123139.79118060.SH2025123180.00118061.SH20251231144.26118062.SH2025123155.82123049.SZ202512317.19123054.SZ2025123138.64123059.SZ2025123128.79123061.SZ2025123124.46123076.SZ2025123133.50123080.SZ2025123145.82123085.SZ2025123123.55123088.SZ2025123132.79123091.SZ2025123142.97123092.SZ2025123137.07123107.SZ2025123138.97123112.SZ2025123134.27123114.SZ2025123122.96123119.SZ2025123148.91123124.SZ2025123122.21123126.SZ2025123139.66123128.SZ2025123111.24123129.SZ2025123159.60123133.SZ2025123123.90123149.SZ2025123120.11123155.SZ2025123124.26123157.SZ2025123135.08123158.SZ2025123117.67123172.SZ2025123141.66123173.SZ2025123136.27123178.SZ2025123114.85123183.SZ2025123117.55123189.SZ2025123128.44123194.SZ2025123115.94123195.SZ2025123127.79123196.SZ2025123124.94123198.SZ2025123125.75123199.SZ2025123139.31123210.SZ2025123133.85123215.SZ2025123116.51123220.SZ2025123135.38123221.SZ2025123131.14123223.SZ2025123150.41123224.SZ2025123126.30123225.SZ2025123126.46123237.SZ2025123138.06123252.SZ2025123169.14123253.SZ2025123127.02123257.SZ2025123142.44123258.SZ2025123157.05123259.SZ2025123135.89123260.SZ2025123173.28123261.SZ2025123174.25123262.SZ2025123148.10123263.SZ2025123132.60127015.SZ202512313.87127016.SZ2025123136.86127018.SZ2025123124.76127022.SZ202512314.48127024.SZ2025123143.07127026.SZ2025123110.77127030.SZ2025123118.15127031.SZ2025123155.57127033.SZ2025123120.29127039.SZ202512318.41127040.SZ2025123121.37127041.SZ2025123142.03127045.SZ2025123123.52127047.SZ2025123130.34127049.SZ2025123144.48127050.SZ2025123117.50127054.SZ2025123132.51127061.SZ2025123116.78127064.SZ2025123124.56127066.SZ2025123124.23127067.SZ2025123113.35127072.SZ2025123124.17127075.SZ2025123117.87127078.SZ2025123127.33127088.SZ2025123120.41127089.SZ2025123111.37127090.SZ2025123121.13127093.SZ2025123132.92127094.SZ2025123129.60127095.SZ2025123123.71127096.SZ2025123145.75127099.SZ2025123118.46127104.SZ2025123145.43127105.SZ2025123117.65127110.SZ2025123140.93127111.SZ2025123133.65128101.SZ2025123138.07128125.SZ2025123125.59128127.SZ2025123143.40128128.SZ2025123162.79128136.SZ2025123134.14128137.SZ2025123131.85128141.SZ2025123114.76128142.SZ2025123132.67三、风险转债提示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（详细方法参考报告《转债退市风险与信用风险监控系统》），对以下可转债进行退市及风险警示。表3：风险转债预警（20251231）交易类强制退市预警：岭南转债财务类强制退市预警：声迅转债ST退市风险警示（财务类，三季报后、年报前显示：精装转债ST其他风险警示：凌钢转债南航转债天业转债三房转债山玻转债明新转债立昂转债华体转债天创转债沪工转债塞力转债灵康转债华正转债苏利转债丰山转债嘉元转债海优转债微芯转债京源转债,瑞科转债芳源转债锂科转债宏图转债盟升转债甬矽转债思瑞定转维尔转债航新转债宝莱转债强力转债2,首华转债,丝路转债裕兴转债中陆转债科蓝转债共同转债百畅转债冠中转债科顺转债易瑞转债华医转债02,本钢转债冀东转债帝欧转债精装转债美锦转债2,联创转债蓝帆转债,龙大转债,科华转债,文科转债事件型信用风险预警：闻泰转债三房转债神马转债双良转债东亚转债财通转债华体转债东时转债天创转债塞力转债灵康转债岱美转债山石转债道通转债京源转债芳源转债宏图转债盟升转债维尔转债,航新转债日升转债瑞丰转债丝路转债申昊转债裕兴转债科蓝转债共同转债恒锋转债百畅转债金埔转债冠中转债万凯转债2,帝欧转债2,声迅转债章鼓转债岭南转债奥佳转债,蓝帆转债,龙