金融工程定期：9月转债配置：转债估值偏贵，看好偏股低估风格

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (100 Yuan Conversion Premium Rate) - Model Construction Idea: This model compares the valuation of convertible bonds and their underlying stocks by calculating a time-series comparable valuation indicator, "百元转股溢价率", and uses rolling historical percentiles to measure the relative allocation value between convertible bonds and stocks [3][13] - Model Construction Process: 1. Fit the relationship curve between the conversion premium rate and conversion value in the cross-sectional space at each time point 2. Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" 3. Formula: $y_{i} = \alpha_{0} + \alpha_{1} \cdot \frac{1}{x_{i}} + \epsilon_{i}$ - $y_{i}$: Conversion premium rate of the $i$-th bond - $x_{i}$: Conversion value of the $i$-th bond - $\alpha_{0}, \alpha_{1}$: Fitted coefficients - $\epsilon_{i}$: Residual term [43] - Model Evaluation: The rolling three-year and five-year percentiles of this indicator are at 98.00% and 93.70%, respectively, indicating that convertible bonds are relatively expensive compared to stocks [3][13] 2. Model Name: "修正 YTM – 信用债 YTM"中位数 (Modified YTM - Credit Bond YTM Median) - Model Construction Idea: This model evaluates the relative allocation value between debt-oriented convertible bonds and credit bonds by stripping the impact of conversion terms on the convertible bond's yield-to-maturity (YTM) [4][13] - Model Construction Process: 1. Adjust the YTM of debt-oriented convertible bonds using the formula: $\text{Modified YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Yield} \times \text{Conversion Probability}$ 2. Calculate the conversion probability using the Black-Scholes (BS) model, incorporating stock price, strike price, stock volatility, remaining term, and discount rate 3. Compute the difference between the modified YTM and the YTM of credit bonds with the same rating and term 4. Take the median of these differences across all debt-oriented convertible bonds: $\text{"修正 YTM – 信用债 YTM"中位数} = \text{median}\{X_1, X_2, ..., X_n\}$ - $X_i$: Difference for the $i$-th bond - $n$: Number of debt-oriented convertible bonds [44] - Model Evaluation: The current median value is -2.48%, indicating that the overall cost-effectiveness of debt-oriented convertible bonds is relatively low [4][13] --- Quantitative Factors and Construction Methods 1. Factor Name: 转股溢价率偏离度 (Conversion Premium Deviation) - Factor Construction Idea: Measures the deviation of the conversion premium rate from its fitted value, making it comparable across different parities [18] - Factor Construction Process: - Formula: $\text{Conversion Premium Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate}$ - The number of convertible bonds determines the fitting quality [18] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation) - Factor Construction Idea: Measures the price expectation difference using a Monte Carlo simulation that fully considers the terms of convertible bonds (e.g., conversion, redemption, downward revision, and resale) [18] - Factor Construction Process: - Formula: $\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1$ - Theoretical value is calculated by simulating 10,000 paths at each time point using the Monte Carlo method, with the same credit term interest rate as the discount rate [18] 3. Factor Name: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) - Factor Construction Idea: Combines the above two factors to enhance the systematic allocation value of convertible bonds [17][18] - Factor Construction Process: - Formula: $\text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank(Conversion Premium Deviation)} + \text{Rank(Theoretical Value Deviation)}$ - Select the top 1/3 of convertible bonds based on this factor to construct low-valuation indices for different styles (e.g., equity-biased, balanced, debt-biased) [18][19] 4. Factor Name: 转债市场情绪捕捉指标 (Convertible Bond Market Sentiment Capture Indicator) - Factor Construction Idea: Captures market sentiment using momentum and volatility deviation of convertible bonds [24] - Factor Construction Process: - Formula: $\text{Market Sentiment Capture Indicator} = \text{Rank(20-day Momentum)} + \text{Rank(Volatility Deviation)}$ - Use the median value of these indicators within low-valuation style indices to determine sentiment [25] --- Backtesting Results of Models 1. "百元转股溢价率" Model - Rolling three-year percentile: 98.00% - Rolling five-year percentile: 93.70% [3][13] 2. "修正 YTM – 信用债 YTM" Model - Current median value: -2.48% [4][13] --- Backtesting Results of Factors 1. 转债综合估值因子 - Equity-biased convertible bond low-valuation index: - Annualized return: 25.46% - Annualized volatility: 20.55% - Maximum drawdown: -22.94% - IR: 1.24 - Calmar ratio: 1.11 - Monthly win rate: 62.64% [21] - Balanced convertible bond low-valuation index: - Annualized return: 14.85% - Annualized volatility: 11.88% - Maximum drawdown: -15.95% - IR: 1.25 - Calmar ratio: 0.93 - Monthly win rate: 62.64% [21] - Debt-biased convertible bond low-valuation index: - Annualized return: 13.31% - Annualized volatility: 9.50% - Maximum drawdown: -17.78% - IR: 1.40 - Calmar ratio: 0.75 - Monthly win rate: 58.24% [21] 2. 转债市场情绪捕捉指标 - Convertible bond style rotation strategy: - Annualized return: 24.37% - Annualized volatility: 16.71% - Maximum drawdown: -15.89% - IR: 1.46 - Calmar ratio: 1.53 - Monthly win rate: 64.84% [30]