量化转债月度跟踪：可转债择时系统维持低仓位

图表索引图1：广发金工量转债组合绩表现（2025年起） 4表1：可转债因子表 4表2：个债最新定偏差因子（20260630） 6表3：风险转债预（20260630） 9表4：转债择时模近期信号（202606） 9一、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年以来业绩表现如下。图1：广发金工量化转债组合业绩表现（2025年起）40%

超额回报 组合总回报 中证转债总回报35%30%25%20%15%10%5%0%2025-01-012025-04-112025-07-202025-10-282026-02-052026-05-16-5%，广发证券发展研究中心二、因子数据跟踪标的类别因子名称变量名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，广发证券发展研究中心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。转债代码日期定价偏差因子110076.SH2026063045.5756转债代码日期定价偏差因子110076.SH2026063045.5756110081.SH20260630-13.2285110084.SH2026063021.64736110090.SH2026063035.89916110097.SH2026063042.53259110098.SH2026063026.04854110099.SH2026063037.2779111002.SH2026063032.65924111003.SH2026063021.9378111020.SH2026063042.0891111022.SH2026063033.46349111024.SH2026063078.91018113042.SH2026063014.86493113043.SH2026063025.46515113046.SH2026063012.24362113048.SH2026063027.76927113051.SH2026063016.16678113052.SH2026063031.06996113056.SH2026063019.7999113058.SH2026063017SH2026063027.57486113066.SH2026063038.66723113070.SH2026063051.58695113597.SH2026063055.86901113605.SH2026063043.26548113610.SH2026063014.77576113631.SH2026063025.95983113636.SH2026063010.6893113643.SH2026063017.91936113644.SH20260630-2.66137113646.SH2026063028.45308113659.SH2026063025.3754113661.SH2026063029.9043113678.SH2026063027.84814113680.SH2026063019.5754113681.SH202606302.558779113686.SH2026063028.10379113688.SH2026063041.97441113691.SH2026063042.77975113695.SH2026063026.34207113699.SH2026063086.66928113701.SH20260630126.7874118007.SH2026063012.83418118012.SH2026063019.5189118013.SH2026063051.93277118024.SH2026063036.61333118027.SH202606305.155178118031.SH2026063021.97479118035.SH2026063029.68504118036.SH2026063031.49141118039.SH2026063025SH2026063078.33753118065.SH2026063059.31734123061.SZ20260630-0.90163123092.SZ2026063046.43285123109.SZ2026063015.79096123122.SZ2026063014.34358123142.SZ2026063023.63024123149.SZ2026063029.30726123150.SZ2026063015.60249123160.SZ2026063029.76929123165.SZ2026063019.69481123171.SZ2026063010.85669123172.SZ2026063010.59047123183.SZ2026063012.98926123195.SZ2026063029.43221123199.SZ2026063017.52971123216.SZ2026063056.98155123222.SZ2026063024.68687123225.SZ2026063024.46033123235.SZ2026063032.05173123252.SZ2026063026.11048123253.SZ2026063048.34356123257.SZ2026063044.41763123259.SZ2026063094.27752123269.SZ2026063060.10106123271.SZ20260630122.6281123272.SZ2026063072.50016127030.SZ2026063012.51064127034.SZ2026063013.21828127038.SZ2026063029.5241127040.SZ2026063025.66444127041.SZ20260630-1.92559127045.SZ2026063015.36287127047.SZ2026063035.12665127050.SZ2026063024.37547127053.SZ2026063053.28147127064.SZ2026063029.61906127078.SZ2026063017.37527127084.SZ2026063030.93544127089.SZ2026063013.85102127095.SZ2026063024.29995127099.SZ2026063022.58688127103.SZ2026063042.98575127104.SZ2026063021.42501127110.SZ2026063035.48264127112.SZ2026063066.79883127113.SZ2026063059.05298128134.SZ2026063035.47859128136.SZ2026063013.50861128142.SZ2026063018.0922，广发证券发展研究中心三、风险转债提示（），表3：风险转债预警（20260630）交易类强制退市预警：三房转债,龙大转债财务类强制退市预警：-*ST退市风险警示（财务类，三季报后、年报前显示）：-ST其他风险警示：南航转债,闻泰转债,通22转债,神马转债,双良转债,山玻转债,明新转债,东亚转债,隆22转债,灵康转债,风语转债,丰山转债,丽岛转债,和邦转债,瑞科转债,芳源转债,天23转债,晶能转债,航新转债,宝莱转债,强力转债,天壕转债,日升转债,万讯转债,丝路转债,债,康医转债,火星转债,中陆转债,惠云转债,共同转债,漱玉转债,恒锋转债,百畅转债,金埔转债,冠中转债,铭利转债,翔丰转债,02,盛虹转债,帝欧转债,精装转债,美锦转债,声迅转债,晶澳转债,欧晶转债,科华转债,文科转债事件型信用风险预警：精达转债,闻泰转债,三房转债,神马转债,双良转债,晶科转债,东时转债,灵康转债,江山转债,嘉诚转债,密卫转债,汇通转债,应流转债,山石转债,芳源转债,宏图转债,航新转债,威唐转债,天壕转债,卫宁转债,丝路转债,申昊转债,裕兴转债,火星转债,科蓝转债,共同转债,恒锋转债,百畅转债,冠中转债,铭利转债,科顺转债,艾录转债,亿田转债,中装转2,帝欧转债,美锦转债,章鼓转债,泰坦转债,欧晶转债,龙大转债,科华转债,文科转债,青农转债打分型信用风险预警：通22转债,精工转债,天业转债,三房转债,双良转债,天润转债,龙建转债,华发定转,华康转债,紫银转债,东时转债,江山转债,巨星转债,汇通转债,金23转债,芯能转债,海天转债,芳源转债,宏图转债,23转债,科蓝转债,漱玉转债,02,科顺转债,盛虹转债,希望2,湘佳转债,美锦转债,山路转债,晶澳转债,宜化转债,龙大转债,宏川转债,文科转债，广发证券发展研究中心四、转债市场择时基于价量模型、定价偏差和转债弹性三个维度，对中证转债指数（000832.CSI）进行多空择时及仓位管理（参考报告《可转债指数择时的三个视角》），6月信号数据如下表，最新观点为1/3仓位。日期价量模型择时信号定价模型择时信号凸性模型多空信号仓位观点2026-6-1日期价量模型择时信号定价模型择时信号凸性模型多空信号仓位观点2026-6-101033%2026-6-201033%2026-6-301033%2026-6-401033%2026-6-50000%2026-6-80000%2026-6-90000%2026-6-100000%2026-6-110000%2026-6-1201033%2026-6-1501033%2026-6-1601033%2026-6-1701033%2026-6-180000%2026-6-220000%2026-6-230000%2026-6-240000%2026-6-250000%2026-6-260000%2026-6-290000%2026-6-3001033%，广发证券发展研究中心五、风险提示广发张超李豪林涛

小组：首席分析师，暨南大学硕士，从业14年，2011年进入广发证券发展研究中心。：联席首席分析师，中山大学硕士，2015年进入广发证券发展研究中心。：资深分析师，中山大学硕士，2012年进入广发证券发展研究中心。：资深分析师，上海交通