五月可转债量化月报：转债的配置与择时价值

Investment Rating - The report does not explicitly provide an investment rating for the convertible bond sector, but it discusses the relative performance and suitability of different types of convertible bonds, indicating a preference for balanced and bond-like convertible bonds for long-term holding [7][13]. Core Insights - The report emphasizes the value of convertible bonds in terms of allocation and timing strategies, categorizing them into bond-like, balanced, and equity-like convertible bonds. It suggests that balanced and bond-like convertible bonds have higher risk premiums and are better suited for long-term investment, while equity-like convertible bonds offer better timing opportunities due to their lower risk premiums [1][7][13]. - The report highlights the performance of convertible bonds in the recent market, noting that the equity-like convertible bonds performed the best in the last month, driven by stock contributions, while the overall market experienced a decline followed by a rebound [3][29]. Summary by Sections Convertible Bond Allocation and Timing Value - Convertible bonds can be categorized into bond-like, balanced, and equity-like types based on their pricing deviations. The report suggests that balanced and bond-like convertible bonds are more suitable for long-term investment due to their higher Sharpe and Calmar ratios compared to equity-like convertible bonds, which have higher volatility and drawdowns [1][7][11]. Market Review: Convertible Bond Market Downturn and Rebound - The convertible bond market experienced a downturn followed by a rebound, with stock contributions providing a positive return of 0.31% while valuation adjustments led to a negative return of -0.83% over the past month. Equity-like convertible bonds showed the strongest performance, with a positive stock contribution of 2.18% [3][29]. Convertible Bond Strategy Tracking - The report outlines various strategies for selecting and timing convertible bonds, including a low valuation strategy that has achieved a 21.7% absolute return since 2018. The strategy focuses on selecting the lowest priced convertible bonds and adjusting allocations based on relative valuations [32][40].