金融工程定期：7月转债配置：转债估值偏贵，看好平衡低估风格

Quantitative Models and Construction Methods Model Name: Convertible Bond Valuation Model - Construction Idea: Compare the valuation of convertible bonds with their underlying stocks using a time-series comparable valuation indicator called "Premium Rate per 100 Yuan Conversion"[5] - Construction Process: - Calculate the rolling historical percentile to measure the relative allocation value of convertible bonds and stocks[5] - 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 convertible bond, $x_{i}$ is the conversion value of the i-th convertible bond[42] - Evaluation: The model indicates that the convertible bond valuation is relatively expensive[5] - Test Results: - Rolling three-year percentile: 64.9% - Rolling five-year percentile: 67.3%[5] Model Name: Convertible Bond and Credit Bond Valuation Comparison Model - Construction Idea: Compare the valuation of debt-oriented convertible bonds and credit bonds by stripping out the impact of conversion terms on the convertible bond's yield to maturity (YTM)[6] - Construction Process: - Calculate "Adjusted YTM – Credit Bond YTM" median to measure the relative allocation value between debt-oriented convertible bonds and credit bonds[6] - Formula: $\text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Annual Yield} \times \text{Conversion Probability}$ $\text{"Adjusted YTM – Credit Bond YTM" Median} = \text{median}\{X_1, X_2, ..., X_n\}$ 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 term[43] - Evaluation: The overall allocation cost-effectiveness of debt-oriented convertible bonds is relatively low[6] - Test Results: - Current "Adjusted YTM – Credit Bond YTM" median: -1.26%[6] Quantitative Factors and Construction Methods Factor Name: Convertible Bond Comprehensive Valuation Factor - Construction Idea: Enhance the allocation value of convertible bonds from a valuation perspective by combining the deviation of conversion premium rate and theoretical value deviation (Monte Carlo model)[7][20] - Construction Process: - Combine the ranks of conversion premium rate deviation and theoretical value deviation (Monte Carlo model) to form the comprehensive valuation factor[21] - Formula: $\text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank}(\text{Conversion Premium Rate Deviation}) + \text{Rank}(\text{Theoretical Value Deviation (Monte Carlo Model)})$ - Construct low valuation indices for equity-oriented, balanced, and debt-oriented convertible bonds based on the top 1/3 ranking of the comprehensive valuation factor[22] - Evaluation: The comprehensive valuation factor performs well in equity-oriented, balanced, and debt-oriented convertible bonds[20] - Test Results: - Equity-oriented convertible bond low valuation factor: -1.40% - Balanced convertible bond low valuation factor: -0.55% - Debt-oriented convertible bond low valuation factor: 1.12%[23] Factor Name: Convertible Bond Market Sentiment Factor - Construction Idea: Capture market sentiment using convertible bond momentum and volatility deviation to construct a convertible bond style rotation portfolio[27] - Construction Process: - Calculate the median of the sentiment factors within the low valuation style indices[27] - Formula: $\text{Convertible Bond Market Sentiment Factor} = \text{Rank}(\text{Convertible Bond 20-Day Momentum}) + \text{Rank}(\text{Volatility Deviation})$ - Allocate positions based on the ranking of sentiment factors, with bi-weekly adjustments[28] - Evaluation: The style rotation portfolio based on market sentiment factors shows stable excess returns[27] - Test Results: - Recent 4-week style rotation return: 2.37% - Year-to-date style rotation return: 29.73%[30] Model Backtest Results Convertible Bond Comprehensive Valuation Factor - Annualized Return: 24.63% - Annualized Volatility: 20.59% - Maximum Drawdown: -22.94% - Information Ratio (IR): 1.20 - Calmar Ratio: 1.07 - Monthly Win Rate: 60.67%[24] Convertible Bond Market Sentiment Factor - Annualized Return: 24.00% - Annualized Volatility: 16.69% - Maximum Drawdown: -15.89% - Information Ratio (IR): 1.44 - Calmar Ratio: 1.51 - Monthly Win Rate: 64.04%[33]