Workflow
金融工程定期:6月转债配置:转债估值适中,看好偏股低估风格
KAIYUAN SECURITIES·2025-06-17 11:12

Quantitative Models and Construction Methods - Model Name: "百元转股溢价率" (Premium Rate per 100 Yuan Conversion) Model Construction Idea: Compare convertible bond valuation with equity valuation using historical percentile metrics to assess relative allocation value [4][15] Model Construction Process: Fit a cross-sectional curve of conversion premium rate and conversion value at each time point. Substitute conversion value = 100 into the fitted formula to derive "百元转股溢价率". Formula: yi=α0+α11xi+ϵiy_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i} Here, yi y_{i} represents the conversion premium rate of the i i -th bond, and xi x_{i} represents the conversion value of the i i -th bond [44] Model Evaluation: Provides a relative valuation perspective for convertible bonds versus equities [15] - Model Name: "修正 YTM – 信用债 YTM" (Adjusted YTM Minus Credit Bond YTM) Model Construction Idea: Adjust convertible bond yield-to-maturity (YTM) by removing the impact of conversion clauses to compare with credit bond YTM [4][15] Model Construction Process: Adjusted YTM=Convertible Bond YTM×(1Conversion Probability)+Expected Conversion Annualized Return×Conversion Probability\text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Annualized Return} \times \text{Conversion Probability} Conversion probability is calculated using the Black-Scholes model, incorporating stock price, strike price, stock volatility, remaining term, and discount rate. The median of the differences between adjusted YTM and credit bond YTM is then computed: "修正 YTM – 信用债 YTM" Median=median{X1,X2,...,Xn}\text{"修正 YTM – 信用债 YTM" Median} = \text{median}\{X_1, X_2, ..., X_n\} Here, Xi X_i represents the difference between adjusted YTM and credit bond YTM for the i i -th bond [45][46] Model Evaluation: Suitable for assessing relative allocation value between debt-heavy convertible bonds and credit bonds [15] Quantitative Factors and Construction Methods - Factor Name: 转股溢价率偏离度 (Conversion Premium Rate Deviation) Factor Construction Idea: Measure deviation of conversion premium rate from fitted values to assess valuation differences [21] Factor Construction Process: Conversion Premium Rate Deviation=Conversion Premium RateFitted Conversion Premium Rate\text{Conversion Premium Rate Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate} Fitted values are determined by the cross-sectional curve fitting process [21] Factor Evaluation: Effective in comparing valuation across different convertible bonds [21] - Factor Name: 理论价值偏离度 (Theoretical Value Deviation) Factor Construction Idea: Assess price expectation differences using Monte Carlo simulation [21] Factor Construction Process: Theoretical Value Deviation=Convertible Bond Closing PriceTheoretical Value1\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1 Monte Carlo simulation considers conversion, redemption, downward revision, and repurchase clauses, simulating 10,000 paths at each time point using the same credit term limit rate as the discount rate [21] Factor Evaluation: Provides a comprehensive valuation perspective by incorporating multiple convertible bond clauses [21] - Composite Factor Name: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) Factor Construction Idea: Combine conversion premium rate deviation and theoretical value deviation for enhanced valuation analysis [21] Factor Construction Process: Convertible Bond Comprehensive Valuation Factor=Rank(Conversion Premium Rate Deviation)+Rank(Theoretical Value Deviation)\text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank(Conversion Premium Rate Deviation)} + \text{Rank(Theoretical Value Deviation)} Factor Evaluation: Demonstrates superior performance across various convertible bond categories [21] - Factor Name: 转债市场情绪捕捉指标 (Convertible Bond Market Sentiment Capture Indicator) Factor Construction Idea: Use momentum and volatility deviation to identify market sentiment [29] Factor Construction Process: Market Sentiment Capture Indicator=Rank(20-day Momentum)+Rank(Volatility Deviation)\text{Market Sentiment Capture Indicator} = \text{Rank(20-day Momentum)} + \text{Rank(Volatility Deviation)} Factor Evaluation: Effective in guiding convertible bond style rotation strategies [29] Model Backtesting Results - "百元转股溢价率" Model: Rolling three-year percentile at 47.4%, rolling five-year percentile at 50.9% [4][15][18] - "修正 YTM – 信用债 YTM" Model: Current median value at -0.03% [4][15][18] Factor Backtesting Results - 转股溢价率偏离度 Factor: Enhanced excess returns in the past four weeks for偏股,平衡,偏债 convertible bonds at 1.33%, 0.27%, and 0.04%, respectively [5][23] - 理论价值偏离度 Factor: Demonstrates superior performance in偏股 convertible bonds [20][21] - 转债综合估值因子 Factor: - 偏股转债低估指数: IR = 1.22, annualized return = 24.91%, annualized volatility = 20.39%, max drawdown = -22.83%, Calmar ratio = 1.09, monthly win rate = 63.64% [24] - 平衡转债低估指数: IR = 1.16, annualized return = 13.77%, annualized volatility = 11.87%, max drawdown = -16.04%, Calmar ratio = 0.86, monthly win rate = 60.23% [24] - 偏债转债低估指数: IR = 1.29, annualized return = 12.21%, annualized volatility = 9.45%, max drawdown = -17.59%, Calmar ratio = 0.69, monthly win rate = 56.82% [24] Style Rotation Backtesting Results - 转债风格轮动 Model: - IR = 1.47, annualized return = 24.23%, annualized volatility = 16.54%, max drawdown = -15.54%, Calmar ratio = 1.56, monthly win rate = 65.91% [35] - Recent four-week return = 2.24%, year-to-date return = 26.75% [31][32]