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转债市场变化趋势与中证2000高度一致
转债市场变化趋势与中证2000高度一致
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所属报告:
【山西证券】供需失衡下,预期转债市场将维持高位 推荐指数成分调整套利策略及深度挖掘个券-260106(22页).pdf
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个券层面,转债估值理论上主要由债底和转换价值共同支撑,但在个券市价普遍远超债底的情况下,个券价格变动将主要受正股股价支撑。2023-25年,中证转债与中证 2000相关系数高达 91.47%,2025年以来相关系数更高达 98.21%,两者正相关性极高。
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当前图表所属:
【山西证券】供需失衡下,预期转债市场将维持高位 推荐指数成分调整套利策略及深度挖掘个券-260106(22页).pdf
配置备选组合
适合潜伏的低价债(下修预期、重组预期、强周期潜伏)
偏股型个券组合(高价低溢价率、趋势交易、新债+次新债)
上证投资级可转债及可交换债券指数编制方案
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