十一月可转债量化月报：低估动量偏债增强策略净值达到新高

Quantitative Models and Construction Methods Model: Convertible Bond Timing Strategy - Model Name: Convertible Bond Timing Strategy - Model Construction Idea: The strategy is based on the yield to maturity (YTM) difference between credit bonds and convertible bonds, and the pricing deviation of the CCBA model to time the market[1][8] - Model Construction Process: - Price Level Timing Indicator: Calculate the YTM difference between 3-year AA-rated credit bonds and convertible bonds. When the YTM difference is low, it indicates that the equity market is under pressure, and most convertible bonds have become debt-like, limiting the risk from equity market declines[8] - Option Valuation Timing Indicator: Use the CCBA model to calculate the theoretical pricing of convertible bonds and derive the pricing deviation as (convertible bond price / CCBA model price - 1). This indicator reflects the option valuation level of convertible bonds[8] - Model Evaluation: The strategy is effective in identifying low-price and low-valuation periods, providing high cost-effectiveness for convertible bond allocation[8] Model: Low Valuation + Momentum Convertible Bond Enhancement Strategy - Model Name: Low Valuation + Momentum Convertible Bond Enhancement Strategy - Model Construction Idea: Combine low valuation factors with stock momentum factors to enhance the convertible bond strategy, reducing tail risk and increasing strategy flexibility[17][19] - Model Construction Process: - Low Valuation Factor: Use the ccb_out pricing deviation to identify undervalued convertible bonds[19] - Momentum Factor: Incorporate the past 1, 3, and 6-month stock momentum factors to select the top 30 convertible bonds for allocation[19] - Model Evaluation: The strategy shows stable enhancement effects relative to the benchmark, achieving significant excess returns and absolute returns[19] Model Backtest Results Convertible Bond Timing Strategy - Annualized Return: 9.33%[12] - Annualized Volatility: 6.93%[12] - Maximum Drawdown: 11.79%[12] Low Valuation + Momentum Convertible Bond Enhancement Strategy - Annualized Return: 16.3%[23] - Annualized Volatility: 8.9%[23] - Maximum Drawdown: 12.9%[23] - Information Ratio (IR): 2.39[23] Quantitative Factors and Construction Methods Factor: ccb_out Pricing Deviation - Factor Name: ccb_out Pricing Deviation - Factor Construction Idea: Use the ccb_out model to calculate the pricing deviation of convertible bonds, considering delisting risks[17] - Factor Construction Process: - Calculate the pricing deviation as (convertible bond price / ccb_out model price - 1)[17] - Factor Evaluation: The factor effectively identifies undervalued convertible bonds, providing a stable basis for constructing low valuation strategies[17] Factor: Stock Momentum - Factor Name: Stock Momentum - Factor Construction Idea: Use the past 1, 3, and 6-month stock momentum to enhance the convertible bond strategy[19] - Factor Construction Process: - Calculate the momentum score based on the past 1, 3, and 6-month stock returns and select the top-performing convertible bonds[19] - Factor Evaluation: The factor adds flexibility and reduces tail risk in the strategy, enhancing overall performance[19] Factor Backtest Results ccb_out Pricing Deviation Factor - Annualized Return: 21.6%[39] - Annualized Volatility: 13.7%[39] - Maximum Drawdown: 15.6%[39] - Information Ratio (IR): 2.11[39] Stock Momentum Factor - Annualized Return: 24.5%[44] - Annualized Volatility: 14.3%[44] - Maximum Drawdown: 11.9%[44] - Information Ratio (IR): 2.44[44]