六月可转债量化月报：转债市场当前仍在合理区间内运行-20250617

Quantitative Models and Construction Methods 1. Model Name: CCBA Pricing Model - Model Construction Idea: The CCBA pricing model is used to calculate the pricing deviation of convertible bonds, defined as the difference between the market price and the model price, adjusted for redemption probability[6][24] - Model Construction Process: - The pricing deviation is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA\ Model\ Price} - 1 $ - Here, the "Convertible Bond Price" represents the market price of the bond, and the "CCBA Model Price" is derived from the CCBA pricing model[6][24] - The model incorporates historical volatility as a central parameter to determine the deviation level[7] - Model Evaluation: The model effectively identifies valuation ranges for convertible bonds, providing insights into their relative attractiveness[6] 2. Model Name: CCB_out Pricing Model - Model Construction Idea: This model builds upon the CCBA model by incorporating delisting risk to refine the pricing deviation calculation[24] - Model Construction Process: - The pricing deviation is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCB_out\ Model\ Price} - 1 $ - The "CCB_out Model Price" adjusts the CCBA model price by accounting for delisting probabilities[24] - Convertible bonds are categorized into three domains: debt-biased, balanced, and equity-biased, with the lowest deviation bonds selected for each domain[24] - Model Evaluation: The model demonstrates strong stability and adaptability, achieving consistent returns even in volatile market conditions[24] 3. Model Name: Return Decomposition Model - Model Construction Idea: This model decomposes the returns of convertible bonds into three components: bond floor returns, equity-driven returns, and valuation-driven returns[17] - Model Construction Process: - The model uses historical data to separate the total return of convertible bonds into: - Bond floor returns, representing the fixed-income component - Equity-driven returns, reflecting the impact of the underlying stock's performance - Valuation-driven returns, capturing changes in the bond's relative pricing[17][21] - Model Evaluation: The model provides a detailed understanding of the drivers of convertible bond performance, aiding in strategy optimization[17] --- Quantitative Factors and Construction Methods 1. Factor Name: Pricing Deviation Factor (CCB_out) - Factor Construction Idea: Measures the relative valuation of convertible bonds by comparing market prices to model-derived prices[24] - Factor Construction Process: - The factor is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCB_out\ Model\ Price} - 1 $ - Bonds with the lowest deviation are selected for further analysis[24] - Factor Evaluation: The factor effectively identifies undervalued bonds, contributing to the success of valuation-based strategies[24] 2. Factor Name: Momentum Factor - Factor Construction Idea: Captures the price momentum of the underlying stock over different time horizons[29] - Factor Construction Process: - Momentum scores are calculated based on the stock's returns over the past 1, 3, and 6 months, with equal weighting applied to each period[29] - Factor Evaluation: The factor enhances the responsiveness of valuation-based strategies, improving their adaptability to market trends[29] 3. Factor Name: Turnover Factor - Factor Construction Idea: Measures the trading activity of convertible bonds to identify liquidity and investor interest[33] - Factor Construction Process: - The factor is derived from: - Bond turnover rates over 5-day and 21-day periods - The ratio of bond turnover to stock turnover over the same periods[33] - Factor Evaluation: The factor effectively identifies actively traded bonds, improving the liquidity profile of selected portfolios[33] --- Backtesting Results of Models 1. CCBA Pricing Model - Annualized Return: 8.6% - Annualized Volatility: 11.6% - Maximum Drawdown: 19.9% - Information Ratio (IR): Not explicitly provided[6] 2. CCB_out Pricing Model - Annualized Return: 21.8% - Annualized Volatility: 13.6% - Maximum Drawdown: 15.6% - Information Ratio (IR): 2.10[27] 3. Return Decomposition Model - Annualized Return: Not explicitly provided - Annualized Volatility: Not explicitly provided - Maximum Drawdown: Not explicitly provided - Information Ratio (IR): Not explicitly provided[17] --- Backtesting Results of Factors 1. Pricing Deviation Factor (CCB_out) - Annualized Return: 21.8% - Annualized Volatility: 13.6% - Maximum Drawdown: 15.6% - Information Ratio (IR): 2.10[27] 2. Momentum Factor - Annualized Return: 24.5% - Annualized Volatility: 14.3% - Maximum Drawdown: 11.9% - Information Ratio (IR): 2.39[31] 3. Turnover Factor - Annualized Return: 23.4% - Annualized Volatility: 15.4% - Maximum Drawdown: 15.9% - Information Ratio (IR): 2.15[35]