转债择券+择时策略周度跟踪-20250910

Report Overview - The report is a weekly tracking of convertible bond selection and timing strategies from September 1st to September 5th, 2025, released on September 8th, 2025, by the Financial Products Center [1] Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The three strategies jointly hold 12 convertible bonds including Perai Convertible Bond, Jidong Convertible Bond, etc [1] - Affected by the market correction, the turnover of sub - low - price bonds increased, the option strategy maintained low turnover, and the new target price center was lower. The targets increased by the two strategies were mainly A+ rated [1] - The double - low strategy's target increase this week was mainly affected by the change in the conversion premium rate. With the recovery of the equity market, mis - priced targets may have higher recovery space and better trading opportunities [4] - The model's recommended direction points to the power equipment, petroleum and petrochemical, electronics, light manufacturing, and communication industries, still maintaining the technology manufacturing main line. The model marginally increased the petrochemical cycle industry, and optional consumption became the main pressured direction [5] Summary by Related Catalogs 1. Strategy - held Convertible Bonds - The three strategies jointly hold 12 convertible bonds: Perai Convertible Bond, Jidong Convertible Bond, Fule Convertible Bond, Qiaqia Convertible Bond, Aowei Convertible Bond, Kairun Convertible Bond, Changqi Convertible Bond, Jianfan Convertible Bond, Tiannai Convertible Bond, Aojia Convertible Bond, etc [1] 2. Sub - low - price Convertible Bond Strategy - The top 10 scoring targets for the sub - low - price convertible bond strategy include Chongqing Bank Convertible Bond, Xizi Convertible Bond, etc. The bond ratings of these targets are mainly AAA, AA, and A+ [2] 3. Option Convertible Bond Strategy - The option convertible bond strategy's increased targets include 25 Huomei EB, Xin 23 Convertible Bond, etc. The bond ratings are mainly AA, AA-, and A+ [4] 4. Double - low Strategy - The double - low strategy's target increase this week was mainly affected by the change in the conversion premium rate. Due to the equity market correction, the negative premium of convertible bonds deepened further. Mis - priced targets may have higher recovery space and better trading opportunities with the equity recovery [4] 5. Industry Dimension - The model's recommended direction points to the power equipment, petroleum and petrochemical, electronics, light manufacturing, and communication industries, still maintaining the technology manufacturing main line. The model marginally increased the petrochemical cycle industry, and optional consumption became the main pressured direction [5] 6. Strategy Performance - Sub - low - price strategy: Rose 1.35% in the past week, with an excess return of 0.44% compared to the Wind Convertible Bond Low - price Index. It has risen 16.03% this year, with an excess return of 0.74% compared to the benchmark [9][10] - Option strategy: Rose 0.58% in the past week, with an excess return of - 0.33% compared to the Wind Convertible Bond Low - price Index. It has risen 18.68% this year, with an excess return of 2.99% compared to the benchmark [9][10] - Double - low enhanced strategy: Rose 0.91% in the past week, with an excess return of 0.35% compared to the Wind Convertible Bond Double - low Index. It has risen 21.41% this year, with an excess return of 9.15% compared to the benchmark [9][10] - Industry rotation strategy: Fell 0.63% in the past week, with an excess return of - 1.18% compared to the Wind Convertible Bond Double - low Index. However, it still has a cumulative positive excess return of 3.51% compared to the benchmark this year [9][10] 7. Risk - return Characteristics (Last Year) - Sub - low - price strategy: Annualized return rate of 37.20%, Sharpe ratio of 2.90, Calmar ratio of 7.11, maximum drawdown of 5.23% [11] - Option strategy: Annualized return rate of 36.10%, Sharpe ratio of 3.31, Calmar ratio of 7.71, maximum drawdown of 4.68% [11] - Double - low enhanced strategy: Annualized return rate of 48.34%, Sharpe ratio of 2.77, Calmar ratio of 6.37, maximum drawdown of 7.59%, annualized excess return rate of 15.10% [11] - Industry rotation strategy: Annualized return rate of 44.23%, Sharpe ratio of 2.58, Calmar ratio of 6.68, maximum drawdown of 6.62%, annualized excess return rate of 11.77% [11] 8. Strategy/Factor Back - testing Results - Sub - low - price strategy: The factor is priceavg_priceavg with a weight of 100%, using the average closing price of the past week. The IC mean is - 8.15%, IC standard deviation is 24.84%, ICIR is - 32.81%, the frequency of IC>0 is 17.94%, and the p - Value is 0.00% [19] - Option strategy: The factor is amplitude mean with a weight of 100%, using the intraday volatility of convertible bonds relative to the underlying stock. The IC mean is - 4.46%, IC standard deviation is 19.34%, ICIR is - 23.05%, the frequency of IC>0 is 31.30%, and the p - Value is 0.00% [19] - Double - low enhanced strategy: Composed of multiple factors such as impliedvol_diff1, MaxPricePremium_diff1_3m, etc., each with a weight of 20% [19] - Industry rotation strategy: Composed of factors such as Amihud_diff1_3m, MaxPricePremium_diff1_1m, etc., each with a weight of 25% [19]