华宝聚合系列科普文章：可转债投资中如何实现绝对收益型策略？

Report Overview - The report is a private fund special report focusing on how to achieve absolute return strategies in convertible bond investments [1] Industry Investment Rating - Not provided in the report Core Viewpoints - For most investors, diversifying underlying strategies is the most direct way for asset allocation. The report introduces the convertible bond arbitrage strategy, an absolute return strategy, to enrich investors' investment toolkits [7] - Traditional convertible bond enhancement strategies face market volatility risks and do not belong to absolute return strategies. The convertible bond arbitrage strategy is the core path for absolute return strategies [9][11][13] - The convertible bond arbitrage strategy has unique return attributes and can maintain stability during the collective drawdown of neutral strategies, highlighting its allocation value in absolute return strategies [19] Section Summaries Convertible Bond Introduction - Convertible bond strategies mainly invest in convertible bonds. Convertible bonds have both bond and equity conversion properties, and their prices are related to the underlying stock price in a curve with an increasing slope. They can be seen as a combination of a regular bond and an American exotic option, and their "T+0" trading feature allows for intraday trading [8] Traditional Convertible Bond Enhancement Strategies - Traditional convertible bond enhancement strategies involve holding a basket of convertible bonds, with different selection methods. The "dual-low strategy" selects bonds with low conversion premium rates and prices, while more mature research uses multi-factor models. These strategies aim to profit from the price increase of convertible bonds but face market volatility risks and are not absolute return strategies [11] Convertible Bond Arbitrage Strategies - The simplest convertible bond arbitrage strategy is to convert bonds into stocks and sell them when the conversion premium rate is negative, but this is rare. The more commonly used strategy is similar to the option Gamma scalping strategy, which requires accurate pricing of the option part of the convertible bond. The key is to estimate the Delta elasticity accurately. The pricing of the option part of convertible bonds is complex and often uses simulation methods. In practice, the long side is to buy convertible bonds, and the short side can use securities lending or stock index futures for hedging [13][16][17] Optimal Allocation of Convertible Bond Arbitrage Strategies - The convertible bond arbitrage strategy performs better in high-volatility market environments. When selecting a manager, factors such as the ability to price complex options, trading execution in hedging, and the ability to select convertible bond targets should be considered. Managers with option research, trading, and convertible bond investment backgrounds may be more suitable [18]