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被打出了负纯债溢价率，对于拥有下修和强制转股条款的这类看涨期权来说，质疑债底的潜台词即是认为，在这个转债剩余的数年生命周期中，不可能再出现任何一个向上超过30%幅度的震荡。在A股较高的波动特性面前，这种假设显然是过于悲观的。从这个角度来说，当时可转债市场丰厚的到期收益率回报，其实是数年来赔率最佳投资机会的信号。从事后来看，转债市场的这一赔率信号，确实也成了市场触底的标志之一。在组合方面，三季度我们持续增加对优秀的低估可转债的配置力度，择机寻找受流动性挤压而出现估值错杀的品种，这一操作在季末的价值回归行情中为组合带来了一定回报。组合的股票仓位继续维持指数增强的配置。但三季度末市场波动开始急剧放大，风格和行业切换加快，对选股模型构成了较大的挑战，超额收益在这一阶段也出现了一定波动。我们预计后续市场波动终将回归正常，指增超额也有望回归稳定。纯债方面，组合久期依然保持灵活，随着季末长久期债券动量有所走弱，组合也适时缩短了久期配置。但后续依然将视市场情况进行择机配置。","declarationDate":"2024-10-24T16:00:00.000Z","lastUpdated":"2026-03-09T14:04:31.369Z","fund":{"_id":3000000020811,"__csrcFundId":13709,"stockCode":"020811","masterFundShortName":"富国盛利增强债券发起式","fundSecondLevel":"bond","stockType":"fund","areaCode":"cn","market":"a","tickerId":20811,"currency":"CNY","masterFundFlag":1,"lastUpdated":"2026-05-01T02:56:50.047Z","status":"normal","exchange":"jj","shortName":"富国盛利增强债券发起式(020811)","name":"富国盛利增强债券型发起式证券投资基金","fundCollectionId":4000050100000,"setUpAssetScale":1508762914.27,"setUpDate":"2024-03-17T16:00:00.000Z","setUpShares":1508762914.27,"inceptionDate":"2024-03-21T16:00:00.000Z","pinyin":"fgslzqzqxfqszqtzjj","followedNum":1,"managers":[{"stockCode":"8801595986","stockType":"fund_manager","exchange":"fm","tickerId":31925189020,"name":"陈斯扬"}]},"announcement":{"linkText":"富国盛利增强债券型发起式证券投资基金二0二四年第3季度报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=1178442","linkType":"PDF","source":"csrc_pdf"}},{"_id":"69aed36f7fea5b3eb053d0e0","date":"2024-06-29T16:00:00.000Z","stockId":3000000020811,"sao":"上半年国内资本市场无疑充满了波折，一季度曾经出现了雪球敲入、股票融资杠杆平仓、微盘股调整等一系列冲击；二季度市场围绕政策端反复博弈，在对地产和财政政策的期待与落空之间，市场预期经历了由热渐冷的转变，摇摇欲坠的权益市场在其中徘徊。整个上半年来看，大盘和红利资产相对强势，小微盘股的调整幅度较大，其中固然有盈利和避险情绪的线索，但市场结构因素和政策导向也起到了重要作用，最终使得这种风格的转变是较为极致和彻底的。这种风格因素还深深影响到了可转债市场。上半年国内可转债市场经历了近年来最严重的一轮信用冲击，大量转债跌穿理论债底，负纯债溢价率的转债占比将近三分之一。过去由于可转债拥有转股条款和下修条款，哪怕资质较弱的发行人，通常只要有一轮小的行情，就可以实现顺利转股，因此兑付风险通常被认为要小于同等级的信用债。但今年当大量的发行公司或是市值沦为小微、或是股价破净、或是接近低价退市，那么传统下修配合转股的模式就受到了很大挑战，实质违约的信用风险就被摆到了台面上。加之机构赎回的冲击和流动性的匮乏，导致转债市场进入了负反馈的循环，大量原本被视为低信用风险的转债也连带出现了跌穿债底的状况。尽管我们认为这种市场状况是不理性的、最终大概率会出现修复，但在摇摆的负债端之下，修复的进程或许比以往都要漫长。上半年表现最佳的无疑是债券。由于国内经济增长放缓、通胀低迷、政府债券发行进度放缓、低风险偏好资金配置需求强劲等因素，债券市场经历了超预期的牛市，长端利率创下历史低点。尽管出于维护汇率的需求，央行多次提醒长端利率过快下行的风险，但供需的失衡仍然在推动利率震荡下行。组合方面，上半年股票指数增强仓位的超额收益稳健，对冲了一部分市场贝塔的下行。尽管超额收益在1月份受到一定冲击，但随后得到了较快的修复，组合在配置上相较指数整体偏向价值和红利风格，这一选择为组合贡献了大部分的超额收益来源。 组合在可转债仓位配置上，相较转债等权指数更偏向大盘和价值风格，并增加部分高信用等级偏债型转债来作为信用债的替代，但受到市场因素的影响，转债市场整体受到的冲击显著，弱化了其在当前位置上本应具有的防御能力。在纯债仓位上，组合仍以高等级高流动性品种为主，辅以利率债的交易性配置。","declarationDate":"2024-07-18T16:00:00.000Z","lastUpdated":"2026-03-09T14:04:31.366Z","mo":"当前权益市场对于经济增长和政策的预期已经较低，估值也处在长期具有吸引力的位置。但资金流向的逆转仍然需要更强的触发契机，一切还有待经济增长出现更为积极的信号、或者财政政策给出更加积极的态度，以扭转当前风险偏好的下降。由于权益市场已经经历了较为漫长的调整，赚钱效应的消失也使得供需格局持续走弱，相较过去，或许需要更长时间来构建起新的信心。但因为多数悲观预期已经被当前的价格所反映，待权益类资产的供需企稳，市场的修复显然是可以期待的。可转债市场已经经历了显著的超调，在机构资金赎回和降仓等流动性冲击下，转债的静态到期收益率已经达到了近年来的新高水平。考虑到绝大部分发行人仍然可以有效利用转债条款来最终促进转股，当前市场对可转债的广泛的信用风险担忧，显然是过虑的。我们相应市场最终会回到更加理性的轨道上来。但在此之前，或许仍需要等待一段时间，以期看到市场供需面的平衡，以缓解转债赎回压力下的流动性冲击。纯债方面，就当前经济增长的强度而言，国内利率水平所面临的风险仍然很有限，如果政府债券仍然保持较为缓慢的发行节奏，或许利率仍有继续下行的空间。但目前各等级利差都已经压缩到相对较为极致的水平，债市所蕴含的风险也在积累。保持积极的参与，但同时留三分清醒，或许是当前较为合理的策略。","fund":{"_id":3000000020811,"__csrcFundId":13709,"stockCode":"020811","masterFundShortName":"富国盛利增强债券发起式","fundSecondLevel":"bond","stockType":"fund","areaCode":"cn","market":"a","tickerId":20811,"currency":"CNY","masterFundFlag":1,"lastUpdated":"2026-05-01T02:56:50.047Z","status":"normal","exchange":"jj","shortName":"富国盛利增强债券发起式(020811)","name":"富国盛利增强债券型发起式证券投资基金","fundCollectionId":4000050100000,"setUpAssetScale":1508762914.27,"setUpDate":"2024-03-17T16:00:00.000Z","setUpShares":1508762914.27,"inceptionDate":"2024-03-21T16:00:00.000Z","pinyin":"fgslzqzqxfqszqtzjj","followedNum":1,"managers":[{"stockCode":"8801595986","stockType":"fund_manager","exchange":"fm","tickerId":31925189020,"name":"陈斯扬"}]},"announcement":{"linkText":"富国盛利增强债券型发起式证券投资基金二0二四年中期报告","linkUrl":"http://eid.csrc.gov.cn/fund/disclose/instance_show_pdf_id.do?instanceid=1153493","linkType":"PDF","source":"csrc_pdf"}}]}