转债配置月报：5月转债配置：转债估值适中-20250520

Quantitative Models and Construction Methods Model Name: Convertible Bond Valuation Model - Construction Idea: The model aims to compare the valuation of convertible bonds with their underlying stocks and other credit bonds to determine relative investment value[4][13] - Construction Process: - Convertible Bond and Stock Valuation: Construct the "Hundred Yuan Conversion Premium Rate" to compare the valuation of convertible bonds and stocks over time. Calculate the rolling historical percentile to measure the relative configuration value[4][13] - Formula: $y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i}$ where $y_{i}$ is the conversion premium rate of the i-th bond, $x_{i}$ is the conversion value of the i-th bond[46] - Convertible Bond and Credit Bond Valuation: Focus on the impact of conversion terms on the yield to maturity (YTM) of convertible bonds, and calculate the "Adjusted YTM - Credit Bond YTM" median to measure the relative configuration value between convertible bonds and credit bonds[4][13] - Formula: $\text{Adjusted YTM} = \text{Convertible Bond YTM} \times \text{Maturity Probability} + \text{Expected Conversion Yield} \times \text{Conversion Probability}$ $= \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Yield} \times \text{Conversion Probability}$ $\text{Adjusted YTM - Credit Bond YTM Median} = \text{median}\{X_1, X_2, ..., X_n\}$ where $X_i$ represents the difference between the adjusted YTM of the i-th convertible bond and the YTM of a credit bond of the same grade and maturity[47][48] - Evaluation: The model provides a systematic approach to evaluate the relative investment value of convertible bonds compared to their underlying stocks and other credit bonds[4][13] Model Name: Convertible Bond Style Rotation Model - Construction Idea: The model captures market sentiment using momentum and volatility deviation indicators to construct a convertible bond style rotation portfolio[5][23] - Construction Process: - Market Sentiment Indicators: Use convertible bond 20-day momentum and volatility deviation as market sentiment capture indicators[5][23] - Formula: $\text{Convertible Bond Style Market Sentiment Capture Indicator} = \text{Rank}(\text{Convertible Bond 20-day Momentum}) + \text{Rank}(\text{Volatility Deviation})$ - Portfolio Construction: Rank the convertible bond style indices based on the sentiment indicators, and allocate the portfolio based on the rankings. If all three styles are selected, invest 100% in the balanced low valuation style[5][23][32] - Evaluation: The model effectively captures market sentiment and adjusts the portfolio allocation to optimize returns[5][23] Model Backtest Results Convertible Bond Valuation Model - Hundred Yuan Conversion Premium Rate: Rolling three-year percentile at 43.5%, rolling five-year percentile at 49.8%[4][13][16] - Adjusted YTM - Credit Bond YTM Median: Current median at 0.11%[4][13][16] Convertible Bond Style Rotation Model - Recent 4-week Returns: Convertible bond style rotation return at 8.58%, year-to-date return at 23.98%[5][33][35] - Information Ratio: Convertible bond style rotation IR at 1.46, convertible bond low valuation equal-weight index IR at 1.22, convertible bond equal-weight index IR at 0.71[38] Quantitative Factors and Construction Methods Factor Name: Convertible Bond Comprehensive Valuation Factor - Construction Idea: Combine the deviation of conversion premium rate and theoretical value deviation (Monte Carlo model) to construct a comprehensive valuation factor[5][24] - Construction Process: - Conversion Premium Rate Deviation: - Formula: $\text{Conversion Premium Rate Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate}$ - Theoretical Value Deviation (Monte Carlo Model): - Formula: $\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1$ Monte Carlo model simulates 10,000 paths at each time point, using the same credit term limit rate as the discount rate to calculate the theoretical value of the convertible bond[25] - Comprehensive Valuation Factor: - Formula: $\text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank}(\text{Conversion Premium Rate Deviation}) + \text{Rank}(\text{Theoretical Value Deviation (Monte Carlo Model)})$ - Evaluation: The factor provides a robust method to evaluate the valuation of convertible bonds comprehensively[5][24] Factor Backtest Results Convertible Bond Comprehensive Valuation Factor - Recent 4-week Returns: Low valuation factor enhanced excess returns in convertible bonds: 1.56% for equity-biased, 0.10% for balanced, 0.18% for debt-biased[27] - Information Ratio: Equity-biased convertible bond low valuation index IR at 1.22, balanced convertible bond low valuation index IR at 1.16, debt-biased convertible bond low valuation index IR at 1.29[28] Convertible Bond Low Valuation Index Components Equity-biased Convertible Bond Low Valuation Index Components - Components: Guangda Convertible Bond, Jindan Convertible Bond, Jingdang Convertible Bond, etc.[6][43] Balanced Convertible Bond Low Valuation Index Components - Components: Liqun Convertible Bond, Hebang Convertible Bond, Ying 19 Convertible Bond, etc.[6][44] Debt-biased Convertible Bond Low Valuation Index Components - Components: Dongnan Convertible Bond, Shunbo Convertible Bond, Huitong Convertible Bond, etc.[6][45]