SEALAND SECURITIES(SZ:000750) Guohai Securities·2025-06-04 14:34Report Industry Investment Rating No relevant content provided. Core View of the Report The CSI Convertible Bond Index is approaching its previous high, and the overall market valuation is at a moderately high level under the stock - bond steady state. The high - level operation of the index is mainly due to the sharp rise of low - price bonds since September 2024. The current convertible bond valuation is moderately high, and if the market remains stable, the valuation is expected to maintain the current equilibrium level. The Vega strategy can capture mispriced convertible bonds in terms of volatility sensitivity. When market volatility intensifies, low - Vega convertible bonds show stronger resilience. In the current market situation, using the low - to - medium Vega strategy for bond selection is a good approach, and the Q2 quantile Vega portfolio is more practical [5]. Summary by Relevant Catalogs 1. Analysis of the Convertible Bond Market Situation - The CSI Convertible Bond Index is approaching its previous high, mainly driven by the sharp rise of low - price bonds since September 2024. The overall market valuation is moderately high, with the 100 - yuan premium rate maintaining in the 22% - 23% range as of May 30. Historically, valuation compression was caused by micro - cap stock negative feedback, the large - cap dividend style, and credit risk events. If the market remains stable, the valuation is expected to stay at the current equilibrium [5][6][9]. - Different price ranges of convertible bonds show significant valuation differentiation. Bonds priced between 100 - 110 yuan are mostly bond - like, and their valuation is at a five - year high. High - and medium - priced convertible bonds have relatively lower valuations, with those above 130 yuan at a low level since 2021 [7]. 2. The Convertible Bond's Low - to - Medium Vega Strategy 2.1 How the Low - to - Medium Vega Strategy Resists Volatility - Convertible bonds are a composite product of bonds and embedded options, and their value is often mispriced due to stock - bond fluctuations. The Vega strategy can capture mispriced convertible bonds in terms of volatility sensitivity. When market volatility increases, low - to - medium Vega convertible bonds show stronger resilience [14]. 2.2 How to Construct the Low - to - Medium Vega Portfolio - Determine the convertible bond pool: On the rebalancing day, select bonds with a rating above BBB (excluding), a remaining term of more than 1 year, a listing date of more than one year ago, and a balance of more than 100 million yuan. - Calculate the convertible bond Vega value: On the rebalancing day, calculate the Vega values of eligible convertible bonds, select valid and positive Vega values, and exclude extremely high and low Vega values. - Construct the portfolio: Divide the calculated Vega values into five equal groups using the quantile method, with a two - way fee of 0.3%. Rebalance on the first trading day of each month and calculate the portfolio return, IC value, and win - rate using equal - weight [18]. 2.3 When Different Quantile Vega Strategies Dominate - In the rapid upward period (October 2024 - March 2025), the Q3 quantile Vega convertible bond portfolio achieved the best risk - return ratio, with a ranking of Q3>Q4>Q2>Q5>Q1 in terms of return and Q3<Q2<Q5<Q4<Q1 in terms of volatility [23]. - In the sideways shock period (May - July 2023), the Q2 quantile Vega portfolio had the best risk - return ratio, with a return ranking of Q3>Q2>Q4>Q5>Q1 and a volatility ranking of Q5<Q4<Q2<Q1<Q3 [24]. - In the rapid downward period (June - September 2024), the medium - quantile Vega convertible bond portfolio had the smallest drawdown, with a return ranking of Q3>Q4>Q2>Q1>Q5 and a volatility ranking of Q2<Q3<Q4<Q5<Q1 [27]. - The low - to - medium quantile Vega portfolio can balance upward elasticity and downward drawdown, and has good adaptability in different market styles. In terms of annual performance, its Sharpe ratio ranked first in different years and achieved excess returns during the 2022 Q4 fixed - income + product redemption wave and the 2024 convertible bond credit event [30]. 2.4 The Unique Alpha of the Low - to - Medium Quantile Vega Portfolio - Since 2021, the Q2 and Q3 quantile Vega portfolios have obtained Alpha compared to the double - low strategy under the same conditions, especially showing relative advantages in a market environment with declining risk appetite and rising volatility. However, the low - to - medium quantile Vega portfolio's significant drawdowns were mostly due to credit events [32]. 2.5 The Cost - Effectiveness of the Current Low - to - Medium Vega Strategy - Currently, convertible bonds are not cheap, and it is difficult for the stock market to rise significantly. The market may enter a shock period. In this environment, the low - to - medium Vega factor strategy has high cost - effectiveness, and the Q2 quantile portfolio is expected to be more cost - effective [34].