可转债择时策略研究：如何参与高估值的转债市场

Quantitative Models and Construction Methods 1. Model Name: Valuation Momentum (Mom) - Model Construction Idea: The model aims to capture short-term valuation trends in the convertible bond market by identifying upward or downward momentum in valuation levels[23][27][37] - Model Construction Process: - Calculate the 5-day moving average (MA5) of the valuation index[37] - Introduce a buffer to reduce noise: $ MA5_{buf} = MA5 \times (1 + 5/10000) $[37] - Define valuation momentum as: $ Mom = value - MA5_{buf} $[37] - Signal generation: - $ Mom > 0 $: Indicates positive momentum, suggesting a buy/add position[37] - $ Mom \leq 0 $: Indicates insufficient momentum, suggesting hold/reduce position[37] - Model Evaluation: The model effectively identifies short-term valuation trends but faces challenges with high turnover rates, making real-world implementation difficult[38][42][50] 2. Model Name: Cross-Sectional Timing Strategy - Model Construction Idea: Combines valuation levels and valuation momentum to optimize timing signals for convertible bond investments[46][50] - Model Construction Process: - Valuation grouping: Divide the valuation index into quintiles (Q1-Q5) based on historical percentiles[19][46] - Momentum grouping: Divide valuation momentum into quintiles (Q1-Q5) based on historical trends[23][46] - Cross-sectional analysis: Analyze the interaction between valuation levels and momentum to generate signals[46] - Final signal: - Positive momentum ($ Mom > 0 $) and high valuation ($ Q5 $): High allocation to convertible bonds[47][50] - Other scenarios: Adjust allocation based on specific group interactions[46][50] - Model Evaluation: The strategy reduces turnover in high-valuation scenarios, improving practical feasibility while maintaining performance[50][51] --- Model Backtesting Results 1. Valuation Momentum (Mom) - Annualized Return: 21.13%[57] - Maximum Drawdown: 19.69%[57] - Annualized Volatility: 17.85%[57] - Win Rate: 47.20%[57] - Calmar Ratio: 1.07[57] - Sharpe Ratio: 1.11[57] 2. Cross-Sectional Timing Strategy - Annualized Return: 18.29%[66] - Maximum Drawdown: 6.74%[66] - Annualized Volatility: 11.32%[66] - Win Rate: 48.10%[66] - Calmar Ratio: 2.72[66] - Sharpe Ratio: 1.45[66] --- Quantitative Factors and Construction Methods 1. Factor Name: Valuation Momentum (Mom) - Factor Construction Idea: Measures the short-term trend of valuation levels to identify potential price movements in convertible bonds[23][27][37] - Factor Construction Process: - Define valuation momentum as: $ Mom = value - MA5 $[23][27] - Group data into quintiles (Q1-Q5) based on momentum levels[23][27] - Factor Evaluation: Positive momentum (Q5) is associated with higher short-term returns, validating the hypothesis that upward valuation trends attract inflows and drive prices higher[25][29] 2. Factor Name: Valuation Percentile - Factor Construction Idea: Measures the relative valuation level of convertible bonds over a rolling 250-day window to assess overvaluation or undervaluation[19][46] - Factor Construction Process: - Calculate the valuation index for each day[14] - Determine the percentile rank of the current valuation relative to the past 250 days[19] - Group data into quintiles (Q1-Q5) based on percentile ranks[19] - Factor Evaluation: High valuation levels (Q5) are associated with lower long-term returns but can still generate positive short-term returns due to market exuberance[19][46] --- Factor Backtesting Results 1. Valuation Momentum (Mom) - 1-Day Return: - Q1: -0.05%[24] - Q2: 0.00%[24] - Q3: 0.01%[24] - Q4: 0.04%[24] - Q5: 0.14%[24] - 1-Year Return: - Q1: 5.67%[24] - Q2: 6.53%[24] - Q3: 5.78%[24] - Q4: 5.08%[24] - Q5: 3.83%[24] 2. Valuation Percentile - 1-Week Return: - Q1: 0.17%[19] - Q2: 0.32%[19] - Q3: 0.16%[19] - Q4: -0.13%[19] - Q5: 0.19%[19] - 1-Year Return: - Q1: 12.57%[20] - Q2: 9.21%[20] - Q3: 5.35%[20] - Q4: 2.52%[20] - Q5: 2.21%[20]