转债择券+择时策略周度跟踪-20250903

Report Industry Investment Rating - No information provided Core Viewpoints - This week, the three strategies jointly held 22 convertible bonds, including Pufa Convertible Bond, Muyuan Convertible Bond, 23 Hope E1, etc. The option strategy maintained low turnover with few new targets, while the sub - low - price strategy had increased turnover recently, possibly due to the high enthusiasm in the equity market [1]. - The model recommends the technology sector at the industry level, driven mainly by the momentum factor, consistent with previous reports. The recommended industries include communication, electronics, computer, power equipment, and household appliances, with a marginal increase in the computer factor score and a decline in the household appliance factor score but still within the recommended range [1]. Summary by Related Catalogs Strategy Performance - The sub - low - price strategy rose 2.72% last week, with an excess return of 0.07% compared to the Wind Convertible Bond Low - Price Index. It has risen 18.32% this year, with an excess return of 1.01% compared to the benchmark [10]. - The option strategy rose 3.21% last week, with an excess return of 0.55% compared to the Wind Convertible Bond Low - Price Index. It has risen 20.66% this year, with an excess return of 2.93% compared to the benchmark [10]. - The double - low enhancement strategy rose 3.08% last week, with an excess return of 1.16% compared to the Wind Convertible Bond Double - Low Index. It has risen 24.14% this year, with an excess return of 9.67% compared to the benchmark [10]. - The industry rotation strategy rose 3.21% last week, with an excess return of 1.30% compared to the Wind Convertible Bond Double - Low Index. It has risen 18.37% this year [10]. Risk - Return Characteristics (Last Year) - The sub - low - price strategy has an annualized return of 33.58%, a Calmar ratio of 5.58, and a maximum drawdown of 6.02% [12]. - The option strategy has an annualized return of 33.20%, a Calmar ratio of 7.09, and a maximum drawdown of 4.68% [12]. - The double - low enhancement strategy has an annualized return of 45.33%, a Calmar ratio of 5.92, and a maximum drawdown of 7.65%, with an annualized excess return of 13.60% [12]. - The industry rotation strategy has an annualized return of 43.77%, a Calmar ratio of 6.61, and a maximum drawdown of 6.62%, with an annualized excess return of 12.22% [12]. Factor Back - test Results - For the sub - low - price strategy, the priceavg factor has a weight of 100%, an IC mean of - 3.44%, an IC standard deviation of 17.53%, an ICIR of - 19.63%, an IC>0 frequency of 35.25%, and a p - Value of 0.01% [20]. - For the option strategy, the amplitude_mean_6m factor has a weight of 100%, an IC mean of - 4.41%, an IC standard deviation of 19.36%, an ICIR of - 22.80%, an IC>0 frequency of 31.42%, and a p - Value of 0.00% [20]. - For the double - low enhancement strategy, multiple factors are used with different weights. For example, the impliedvol diff1 3m, MaxPricePremium, pricechangediff di ff1 1w, priceavg priceavg, stkratio diff1 1w, Amihud diff1 3m, and MaxPricePremium factors each have a 20% or 25% weight. The pricechangediff di ff1 1w factor has an IC mean of - 3.02%, an IC standard deviation of 9.17%, an ICIR of - 32.92%, an IC>0 frequency of 24.90%, and a p - Value of 0.00% [20]. - For the industry rotation strategy, factors like diff1 1m, pricechangediff_mean 2w, and stkratio diff1 1m are used with 25% weights. The diff1 1m factor has an IC mean of - 3.29%, an IC standard deviation of 23.44%, an ICIR of - 14.04%, an IC>0 frequency of 42.31%, and a p - Value of 0.45% [20].