转债量化类策略更新：改良双低策略持续占优，年内超额近8%

Quantitative Models and Construction Methods 1. Model Name: Low Price Enhanced Strategy (PMS Code: 1621837) - Model Construction Idea: The low-price factor has been effective in the convertible bond market for a long time, often used as a foundational strategy by convertible bond funds and "fixed income+" funds. The strategy aims to enhance returns by relaxing industry restrictions and focusing on convertible bonds with higher payoff potential under policy support and changing trading logic [2][3] - Model Construction Process: - Stock Fundamentals Dimension: Select companies with positive net profit, positive operating cash flow, and a positive cash-to-maturing-debt ratio. Relax constraints on stock price-to-book ratio and stock price floor [2][3] - Convertible Bond Characteristics Dimension: Choose bonds with more than 30 days of listing, over 360 days of remaining maturity, a balance greater than 100 million yuan, and a credit rating above AA-. Exclude bonds with announced or triggered forced redemption clauses [3] - Convertible Bond Trading Dimension: Focus on actively traded bonds in the top 75% of stock trading activity, with a conversion premium below 80% and a price above 80 yuan. Limit industry concentration to 20% [3] - Execution: Select up to 20 convertible bonds with the lowest prices that meet the criteria, compare with the previous holdings, and adjust by removing non-compliant bonds and adding compliant ones [3] - Model Evaluation: The strategy sacrifices some stock fundamentals quality to achieve higher payoff potential while maintaining a focus on avoiding default risks [2][3] 2. Model Name: Low Price Large Market Cap Enhanced Strategy (PMS Code: 1630007) - Model Construction Idea: This strategy enhances the low-price factor by incorporating large market cap preferences, aligning with the investment tendencies of institutional investors such as insurance and bank wealth management funds. It aims to increase returns by relaxing industry restrictions and focusing on mid-to-large-cap convertible bonds [15][17] - Model Construction Process: - Stock Fundamentals Dimension: Select companies with positive net profit, positive operating cash flow, and a positive cash-to-maturing-debt ratio. Relax constraints on stock price-to-book ratio and stock price floor [15][17] - Convertible Bond Characteristics Dimension: Choose bonds with more than 30 days of listing, over 360 days of remaining maturity, a balance greater than 100 million yuan, and a credit rating above AA-. Exclude bonds with announced or triggered forced redemption clauses [17] - Convertible Bond Trading Dimension: Focus on actively traded mid-to-large-cap bonds in the top 75% of stock trading activity, with a conversion premium below 80% and a price above 80 yuan. Limit industry concentration to 20% [17] - Execution: Select up to 20 convertible bonds with the lowest prices that meet the criteria, compare with the previous holdings, and adjust by removing non-compliant bonds and adding compliant ones [17] - Model Evaluation: The strategy balances the low-price factor with large market cap preferences, aiming to achieve higher returns while maintaining a focus on avoiding default risks [15][17] 3. Model Name: Improved Double Low Strategy (PMS Code: 1631754) - Model Construction Idea: This strategy selects convertible bonds with low prices and low conversion premiums, dynamically adjusting and rotating holdings to balance safety and potential returns [28][30] - Model Construction Process: - Stock Fundamentals Dimension: Select companies with positive net profit, positive operating cash flow, and a positive cash-to-maturing-debt ratio [30] - Convertible Bond Characteristics Dimension: Choose bonds with more than 30 days of listing, over 360 days of remaining maturity, a balance greater than 100 million yuan, and a credit rating above A+. Exclude bonds with announced or triggered forced redemption clauses [30] - Convertible Bond Trading Dimension: Focus on actively traded bonds in the top 75% of stock trading activity, with a price above 80 yuan. Limit industry concentration to 20% [30] - Execution: Select up to 10 convertible bonds with the lowest combined "double low" values (price and conversion premium), compare with the previous holdings, and adjust by removing non-compliant bonds and adding compliant ones [30] - Model Evaluation: The strategy effectively balances price and value, providing a safety cushion while seeking higher potential returns [28][30] --- Model Backtesting Results 1. Low Price Enhanced Strategy - Cumulative Return (YTD): 6.74% [4][9] - Sharpe Ratio: 0.48 [4][9] - Alpha: 2.67% [9] - Maximum Drawdown: -10.81% [4][9] - Daily Win Rate: 54.11% [4][9] - Weekly Win Rate: 52.17% [4][9] - Monthly Win Rate: 44.44% [4][9] - Profit-Loss Ratio: 1.22 [4][9] 2. Low Price Large Market Cap Enhanced Strategy - Cumulative Return (YTD): 6.08% [18][22] - Sharpe Ratio: 0.44 [18][22] - Alpha: 2.04% [22] - Maximum Drawdown: -11.51% [18][22] - Daily Win Rate: 58.44% [18][22] - Weekly Win Rate: 50.00% [18][22] - Monthly Win Rate: 55.56% [18][22] - Profit-Loss Ratio: 1.04 [18][22] 3. Improved Double Low Strategy - Cumulative Return (YTD): 11.61% [31][34] - Sharpe Ratio: 0.80 [31][34] - Alpha: 7.83% [34] - Maximum Drawdown: -11.19% [31][34] - Daily Win Rate: 53.25% [31][34] - Weekly Win Rate: 52.17% [31][34] - Monthly Win Rate: 66.67% [31][34] - Profit-Loss Ratio: 0.97 [31][34]