五月可转债量化月报：转债的配置与择时价值-20250514

• Convertible bond allocation and timing strategies are divided into three categories: debt-biased, balanced, and equity-biased convertible bonds. Allocation is based on equal weighting, with bonds meeting criteria such as a balance of over 3 billion and a rating of AA- or above. Debt-biased and balanced convertible bonds show higher Sharpe and Calmar ratios, indicating better long-term allocation value, while equity-biased convertible bonds exhibit higher annualized returns but greater volatility and drawdowns, making them less suitable for long-term holding[7][11][13] - CCBA pricing deviation indicator (convertible bond price/CCBA model pricing - 1) is introduced as a timing factor. This indicator effectively measures the option valuation level of convertible bonds and is used to construct timing strategies for debt-biased, balanced, and equity-biased convertible bonds. The strategy adjusts weights based on the Z-score of the past three years' pricing deviation, reducing convertible bond allocation when valuation is high[8][12][13] - Timing strategies significantly improve performance for equity-biased convertible bonds, with Sharpe and Calmar ratios increasing to 0.87 and 0.74, respectively. For debt-biased and balanced convertible bonds, timing has less impact, suggesting these categories are better suited for long-term allocation without frequent adjustments[13][16][17] - Relative return strategies include the "low valuation strategy," which selects the 15 convertible bonds with the lowest pricing deviation from the CCBA_out model in each category (debt-biased, balanced, equity-biased). This strategy achieves an annualized return of 21.7% and an excess return of 12.3% since 2018, demonstrating strong stability even during market downturns[32][35][36] - The "low valuation + strong momentum strategy" combines pricing deviation factors with stock momentum factors (1, 3, 6-month momentum scores). This strategy achieves an annualized return of 24.5% and an excess return of 14.7% since 2018, showing higher elasticity and strong performance in 2023 with a 9.0% absolute return[35][37][40] - The "low valuation + high turnover strategy" selects the lowest 50% valuation convertible bonds and further filters based on high turnover factors (5-day and 21-day turnover rates). This strategy achieves an annualized return of 23.4% and an excess return of 13.7% since 2018, with stable excess returns in 2023 and a 10.9% absolute return[39][41][44] - Absolute return strategies include the "balanced debt-biased enhancement strategy," which uses turnover rate factors and stock momentum factors for debt-biased bonds and turnover rate factors for balanced bonds. This strategy achieves an annualized return of 23.1% since 2018, with low volatility and drawdowns[44][45][47] - The "credit bond substitution strategy" selects convertible bonds with YTM+1% greater than 3-year AA-rated credit bond YTM, combined with stock momentum factors for allocation. This strategy achieves an annualized return of 7.3% since 2018, with volatility and drawdowns below 3%[48][51][52] - The "volatility control strategy" combines enhanced strategies for debt-biased, balanced, and equity-biased convertible bonds with credit bonds, controlling portfolio volatility at 4%. This strategy achieves an annualized return of 10.0% since 2018, with volatility and drawdowns around 4%-5%[53][55][56]