转债配置月报：4月转债配置：看好平衡低估风格转债-20250421

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (Premium Rate per 100 Yuan Conversion) - Model Construction Idea: This model aims to compare the valuation of convertible bonds and their underlying stocks by calculating a time-series comparable valuation indicator, "百元转股溢价率" (Premium Rate per 100 Yuan Conversion), and using rolling historical percentiles to measure the relative allocation value[4][15]. - Model Construction Process: - Fit the relationship curve between the conversion premium rate and conversion value in the cross-sectional space at each time point - Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" - Formula: $y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i}$ where $y_{i}$ represents the conversion premium rate of the $i$-th bond, and $x_{i}$ represents the conversion value of the $i$-th bond[44] - Model Evaluation: Provides a relative valuation perspective for comparing convertible bonds and their underlying stocks[15] 2. Model Name: "修正 YTM – 信用债 YTM" (Adjusted YTM - Credit Bond YTM) - Model Construction Idea: This model isolates the impact of conversion terms on the yield-to-maturity (YTM) of convertible bonds to assess the relative allocation value between debt-heavy convertible bonds and credit bonds[5][15]. - Model Construction Process: - Adjust the YTM of debt-heavy convertible bonds by considering the probability of conversion and maturity - Formula: $\text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Annualized Return of Conversion} \times \text{Conversion Probability}$ - Conversion probability is calculated using the Black-Scholes (BS) model, incorporating stock price, strike price, stock volatility, remaining maturity, and discount rate - Calculate the median difference between the adjusted YTM of convertible bonds and the YTM of credit bonds of the same rating and maturity: $\text{"Adjusted YTM - Credit Bond YTM Median"} = \text{median}\{X_1, X_2, ..., X_n\}$ where $X_i$ represents the difference for the $i$-th convertible bond[45][46] - Model Evaluation: Highlights the cost-effectiveness of debt-heavy convertible bonds compared to credit bonds[5] 3. Model Name: Convertible Bond Style Rotation Model - Model Construction Idea: This model captures market sentiment using momentum and volatility deviation indicators to construct a convertible bond style rotation portfolio, with bi-weekly rebalancing[6][27]. - Model Construction Process: - Calculate the following sentiment indicators for each convertible bond: - 20-day momentum - Volatility deviation - Rank the indicators in reverse order and sum the rankings to determine the market sentiment capture indicator for each style index: $\text{Market Sentiment Capture Indicator} = \text{Rank (20-day Momentum)} + \text{Rank (Volatility Deviation)}$ - Allocate portfolio weights based on the rankings, with a preference for the style index with the lowest indicator value. If rankings are equal, allocate weights equally. If all three styles are selected, allocate 100% to the balanced low-valuation style[28] - Model Evaluation: Demonstrates superior performance compared to the equal-weighted convertible bond index, with a focus on balanced low-valuation styles[27][33] --- Quantitative Factors and Construction Methods 1. Factor Name: 转股溢价率偏离度 (Conversion Premium Deviation) - Factor Construction Idea: Measures the deviation of the conversion premium rate from its fitted value, enabling comparability across different parities[19][20]. - Factor Construction Process: $\text{Conversion Premium Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate}$ - The number of convertible bonds determines the fitting quality[20] - Factor Evaluation: Provides a robust measure for identifying valuation discrepancies in convertible bonds[20] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation, Monte Carlo Model) - Factor Construction Idea: Quantifies the price expectation gap by considering various convertible bond terms (e.g., conversion, redemption, downward revision, put options) through Monte Carlo simulation[19][20]. - Factor Construction Process: $\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1$ - Simulate 10,000 paths at each time point using the Monte Carlo model, with the same credit term interest rate as the discount rate[20] - Factor Evaluation: Effectively captures valuation discrepancies, particularly for equity-heavy convertible bonds[19][20] 3. Factor Name: 转债综合估值因子 (Comprehensive Convertible Bond Valuation Factor) - Factor Construction Idea: Combines the rankings of the above two factors to enhance valuation analysis across all domains (equity-heavy, balanced, debt-heavy)[19][20]. - Factor Construction Process: $\text{Comprehensive Convertible Bond Valuation Factor} = \text{Rank (Conversion Premium Deviation)} + \text{Rank (Theoretical Value Deviation)}$ - Factor Evaluation: Demonstrates superior performance in identifying undervalued convertible bonds across different styles[19][20] --- Backtesting Results of Models 1. Convertible Bond Style Rotation Model - Annualized Return: 23.38% - Annualized Volatility: 16.48% - Maximum Drawdown: -15.54% - IR: 1.42 - Calmar Ratio: 1.50 - Monthly Win Rate: 65.12%[33] --- Backtesting Results of Factors 1. 转股溢价率偏离度 Factor - Equity-Heavy Convertible Bonds: Enhanced excess return of 0.9% over the past 4 weeks[22] - Balanced Convertible Bonds: Enhanced excess return of 1.2% over the past 4 weeks[22] - Debt-Heavy Convertible Bonds: Enhanced excess return of -0.3% over the past 4 weeks[22] 2. 理论价值偏离度 Factor - Equity-Heavy Convertible Bonds: Enhanced excess return of 0.9% over the past 4 weeks[22] - Balanced Convertible Bonds: Enhanced excess return of 1.2% over the past 4 weeks[22] - Debt-Heavy Convertible Bonds: Enhanced excess return of -0.3% over the past 4 weeks[22] 3. 转债综合估值因子 Factor - Equity-Heavy Convertible Bonds: Enhanced excess return of 0.9% over the past 4 weeks[22] - Balanced Convertible Bonds: Enhanced excess return of 1.2% over the past 4 weeks[22] - Debt-Heavy Convertible Bonds: Enhanced excess return of -0.3% over the past 4 weeks[22]