八月可转债量化月报：转债处于低配置价值区间-20250818

• The report discusses the valuation of convertible bonds (CB) using the pricing deviation indicator, which is calculated as the ratio of the CB price to the CCBA model price minus one. As of August 15, 2025, the pricing deviation indicator for the CB market is 5.42%, placing it in the 99.9th percentile since 2018, indicating a high valuation zone[6] - The report also mentions a rotation strategy between CBs and a stock-bond portfolio based on the pricing deviation indicator. The strategy involves calculating a Z-score from the pricing deviation and its standard deviation over the past three years, then adjusting the CB weight accordingly. This strategy has historically generated stable excess returns[21][23] - The report evaluates different CB strategies, including a low-valuation strategy, a low-valuation plus strong momentum strategy, a low-valuation plus high turnover strategy, a balanced debt-enhanced strategy, a credit bond replacement strategy, and a volatility control strategy. Each strategy is constructed using specific factors and has shown varying degrees of absolute and excess returns since 2018[33][36][40][44][48][52] Model and Factor Construction 1. Pricing Deviation Indicator: - Construction Idea: Measure the deviation of CB prices from their theoretical values - Construction Process: - Calculate the pricing deviation as follows: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCBA Model Price}} - 1 $ - Use this indicator to assess the valuation level of the CB market[6] - Evaluation: Indicates that the CB market is currently in a high valuation zone[6] 2. Rotation Strategy Between CBs and Stock-Bond Portfolio: - Construction Idea: Rotate between CBs and a stock-bond portfolio based on CB valuation - Construction Process: - Calculate the Z-score of the pricing deviation: $ Z = \frac{\text{Pricing Deviation}}{\text{Standard Deviation (3 years)}} $ - Adjust the CB weight using the Z-score: $ \text{CB Weight} = 50% + 50% \times \text{Z-score} $ - Allocate the remaining weight to the stock-bond portfolio[21] - Evaluation: This strategy has historically generated stable excess returns[21][23] 3. Low-Valuation Strategy: - Construction Idea: Select CBs with the lowest valuation deviations - Construction Process: - Use the CCB_out model to calculate the pricing deviation: $ \text{Pricing Deviation} = \frac{\text{CB Price}}{\text{CCB_out Model Price}} - 1 $ - Select the 15 CBs with the lowest deviations in each of the debt, balanced, and equity-biased categories (total 45 CBs) - Ensure the selected CBs have a balance of over 300 million and a rating of AA- or above[33] - Evaluation: This strategy has shown strong stability and significant absolute and excess returns since 2018[33] 4. Low-Valuation + Strong Momentum Strategy: - Construction Idea: Combine low valuation with strong momentum for higher elasticity - Construction Process: - Combine the pricing deviation factor with the stock momentum factor (1, 3, 6 months) - Select CBs based on combined scores[36] - Evaluation: This strategy has shown strong elasticity and significant absolute and excess returns since 2018[36] 5. Low-Valuation + High Turnover Strategy: - Construction Idea: Combine low valuation with high turnover for higher liquidity - Construction Process: - Select the lowest 50% valuation CBs - Within this pool, select CBs with the highest turnover rates (5, 21 days) and the highest CB to stock turnover ratios (5, 21 days)[40] - Evaluation: This strategy has shown stable excess returns and significant absolute returns since 2018[40] 6. Balanced Debt-Enhanced Strategy: - Construction Idea: Enhance returns by combining low valuation with turnover and momentum factors - Construction Process: - Select the lowest 50% valuation CBs, excluding equity-biased CBs - Use turnover and momentum factors for debt-biased CBs and turnover factors for balanced CBs[44] - Evaluation: This strategy has shown significant absolute returns with low volatility and drawdown since 2018[44] 7. Credit Bond Replacement Strategy: - Construction Idea: Replace credit bonds with CBs for higher returns - Construction Process: - Select CBs with YTM + 1% greater than 3-year AA credit bond YTM - Ensure selected CBs have a balance of over 300 million and a rating of AA- or above - Select the top 20 CBs based on 1-month stock momentum, with a maximum weight of 2% per CB - Use volatility control to reduce short-term drawdown, allocate remaining weight to credit bonds[48] - Evaluation: This strategy has shown stable returns with low volatility and drawdown since 2018[48] 8. Volatility Control Strategy: - Construction Idea: Control portfolio volatility while enhancing returns - Construction Process: - Select the top 15 CBs in each of the debt, balanced, and equity-biased categories based on low valuation and strong momentum scores - Use volatility control to maintain portfolio volatility at 4% - Allocate remaining weight to credit bonds[52] - Evaluation: This strategy has shown stable returns with controlled volatility and drawdown since 2018[52] Model and Factor Backtest Results 1. Low-Valuation Strategy: - Annualized Return: 23.0% - Annualized Volatility: 13.5% - Maximum Drawdown: 15.6% - Excess Return: 11.9% - IR: 2.08[36] 2. Low-Valuation + Strong Momentum Strategy: - Annualized Return: 25.4% - Annualized Volatility: 14.2% - Maximum Drawdown: 11.9% - Excess Return: 14.0% - IR: 2.32[40] 3. Low-Valuation + High Turnover Strategy: - Annualized Return: 25.2% - Annualized Volatility: 15.2% - Maximum Drawdown: 15.9% - Excess Return: 13.9% - IR: 2.20[44] 4. Balanced Debt-Enhanced Strategy: - Annualized Return: 23.2% - Annualized Volatility: 12.2% - Maximum Drawdown: 13.4% - IR: Not provided[48] 5. Credit Bond Replacement Strategy: - Annualized Return: 7.5% - Annualized Volatility: 2.1% - Maximum Drawdown: 2.8% - IR: Not provided[52] 6. Volatility Control Strategy: - Annualized Return: 10.2% - Annualized Volatility: 4.4% - Maximum Drawdown: 4.2% - IR: Not provided[56]